

Detail for 25 Portfolios Formed on BooktoMarket and Investment
Monthly
Returns: 

July
1963  December 2023 



Annual Returns: 

1964  2023 



Construction: 

The portfolios,
which are constructed at the end of each June, are the intersections of 5
portfolios formed on the ratio of book equity to market equity (BE/ME) and 5
portfolios formed on investment (Inv). 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. Investment is the change in total assets from the fiscal year ending in year t2
to the fiscal year ending in t1, divided by t2 total assets.
The Inv 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 ME for December of t1 and June of t, (positive) BE for t1, and total assets data for t2 and t1. 
