

Detail
for 25 Portfolios Formed on Size and BooktoMarket
Daily
Returns: 

July 1,
1926  May 31, 2021 



Monthly
Returns: 

July
1926  May 2021 



Annual Returns: 

1927  2020 



Construction: 

The portfolios,
which are constructed at the end of each June, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on the
ratio of book equity to market equity (BE/ME). The size breakpoints for year t
are the NYSE market equity quintiles at the end of June of t. BE/ME for June of
year t is the book equity for the last fiscal year end in t1 divided by ME for
December of t1. The BE/ME breakpoints are NYSE quintiles. 



Stocks: 

The portfolios for
July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for
which we have market equity data for December of t1 and June of t, and
(positive) book equity data for t1. 
