

Detail
for 25 Portfolios Formed on Size and Accruals
Monthly
Returns: 

July
1963  March 2021 



Annual Returns: 

1964  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 accrual (AC).
The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t.
AC for June of year t is the change in operating working capital per splitadjusted share from the fiscal yearend
t2 to t1 divided by book equity per share in t1. The AC 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 June of t, (positive) book equity data for t1, and
nonmissing operating working capital data for t2 and t1. 
