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  Detail for 6 Portfolios Formed on Size and Dividend Yield

Monthly Returns:   July 1927 - May 2024
Annual Returns:   1928 - 2023
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 Dividend Yield (DP). The size breakpoint for year t is the median NYSE market equity at the end of June of year t. The dividend yield use to form portfolios in June of year t is the total dividends paid from July of t-1 to June of t per dollar of equity in June of t. The DP breakpoints are the 30th and 70th NYSE percentiles.
The portfolios for July of year t to June of t+1 include NYSE, AMEX, and NASDAQ stocks for which we have ME for June of year t, and at least 7 monthly returns (to compute the dividend yield) from July of t-1 to June of t. Firms with negative or zero dividends are excluded.