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Detail
for 25 Portfolios Formed on Size and Investment
| Monthly
Returns: |
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July
1963 - September 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 5 portfolios formed on size (market equity, ME)
and 5 portfolios formed on investment (Inv). The size breakpoints for year t are the NYSE market equity quintiles 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 NYSE quintiles. |
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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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