|
|
Detail
for 25 Portfolios Formed on Size and Accruals
| Monthly
Returns: |
|
July
1963 - October 2024 |
| |
|
|
| Annual Returns: |
|
1964 - 2023 |
| |
|
|
| Construction: |
|
The portfolios,
which are constructed at the end of each June, are the intersections of 5 portfolios formed on size
(market equity, ME) and 5 portfolios formed on accrual (AC).
The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t.
AC for June of year t is the change in operating working capital per split-adjusted share from the fiscal yearend
t-2 to t-1 divided by book equity per share in t-1. The AC breakpoints are NYSE quintiles. |
| |
|
|
| Stocks: |
|
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, (positive) book equity data for t-1, and
non-missing operating working capital data for t-2 and t-1. |
|
