Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information

Detail for Portfolios Formed on Book-to-Market

Daily Returns:   July 1, 1926 - May 31, 2024
Monthly Returns:   July 1926 - May 2024
Annual Returns:   1927 - 2023
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 t-1. ME is price times shares outstanding at the end of December of t-1.
Stocks:   All NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t-1 and June of t, and BE for t-1.





Copyright Kenneth R. French