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Detail for
6
Portfolios Formed on Size and Investment
Monthly Returns: |
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July 1963 - July 2024 |
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Annual Returns: |
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1964 - 2023 |
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Construction: |
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The
portfolios, which are constructed at the end of each June, are the
intersections of 2 portfolios formed on size (market equity, ME) and 3
portfolios formed on investment (Inv).
The size breakpoint for year t is the median NYSE market equity at the end of June of year t.
Investment is the change in total assets from the fiscal year ending in year t-2 to the fiscal year ending in t-1,
divided by t-2 total assets. The Inv breakpoints are the 30th and 70th NYSE percentiles. |
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Stocks: |
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The portfolios
for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for
which we have market equity data for June of t and total assets data for t-2 and
t-1.
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