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Detail for 25 Portfolios Formed on Operating Profitability
and Investment
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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 profitability (OP) and 5 portfolios formed on investment (Inv). OP for
June of year t is annual revenues minus cost of goods sold, interest expense,
and selling, general, and administrative expenses divided by book equity for the
last fiscal year end in t-1. The OP breakpoints are NYSE quintiles. 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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Please be aware that some of the value-weight averages of operating profitability for deciles 1 and 10 are extreme. These are driven by extraordinary values of OP for individual firms. We have spot checked the accounting data that produce the extraordinary values and all the numbers we examined accurately reflect the data in the firm's accounting statements.
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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 (positive) BE for t-1, total assets data for t-2 and 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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