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Construction:
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All returns are in U.S. dollars, include dividends and
capital gains, and are not continuously compounded. We sort stocks in a
region into two market cap and three profitability (OP) groups at
the end of June of each year t.
Big stocks are those in the top 90% of June market cap for the region, and
small stocks are those in the bottom 10%. The OP breakpoints for big and
small stocks in a region are the 30th and 70th percentiles of OP for the
big stocks of the region.
The developed portfolios use developed size breaks, but we use OP breakpoints
for each region to allocate the region's stocks to the developed portfolios.
Similarly, the developed ex us portfolios use developed ex us size breaks and regional OP breakpoints.
The independent 2x3 sorts on size and OP produce six value-weight
portfolios, SW, SN, SR, BW, BN, and BR, where S and B indicate small or big
and W, N, and R indicate weak (low OP), neutral, and robust (high OP).
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Stocks:
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The portfolios for July of year t to June of t+1 include
all stocks for which we have market equity data for June of t, (positive) book equity data for t-1,
non-missing revenues data for t-1, and non-missing data for at least one of the
following: cost of goods sold, selling, general and administrative expenses, or
interest expense for t-1.
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