

Detail
for Portfolios Formed on BooktoMarket
Daily Returns: 

July 1, 1926  January 31, 2020 



Monthly Returns: 

July 1926  January 2020 



Annual Returns: 

1927  2019 



Portfolios: 

BE
< 0; bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative book equity are in only the BE < 0 portfolio. 



Construction: 

Portfolios
are formed on BE/ME at the end of each June using NYSE breakpoints. The BE used
in June of year t is the book equity for the last fiscal year end in t1. ME is
price times shares outstanding at the end of December of t1. 



Stocks: 

All
NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t1 and June
of t, and BE for t1. 
