

Detail for
6
Portfolios Formed on Size and Cashflow/Price
Monthly Returns: 

July 1951  June 2021 



Annual Returns: 

1952  2020 



Construction: 

The
portfolios, which are constructed at the end of each June, are the intersections of 2 portfolios formed on size (market equity, ME)
and 3 portfolios formed on Cashflow/Price (CFP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
The cashflow used in June of year t is total earnings before extraordinary items, plus equity's share of depreciation, plus deferred
taxes (if available) for the last fiscal year end in t1. P (actually ME) is price times shares outstanding at the end of December of t1.
The CFP breakpoints are the 30th and 70th NYSE percentiles. 



Stocks: 

The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t1 and June of t,
and cashflow for calendar year t1. Firms with negative or zero cashflow are excluded.

