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 Investment

Daily Returns:   July 1, 1963 - May 31, 2024
Monthly Returns:   July 1963 - May 2024
Annual Returns:   1964 - 2023
Portfolios:   Investment bottom 30%, middle 40%, top 30%; quintiles; deciles.
Construction:   The portfolios are formed on 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 at the end of each June using NYSE breakpoints.
Stocks:   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.






Copyright Kenneth R. French