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Detail
for 25 Portfolios Formed on Size and Net Share Issues
| Monthly
Returns: |
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July
1963 - February 2024 |
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| Annual Returns: |
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1964 - 2023 |
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| Construction: |
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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 net share issues (NI).
The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t.
NI for June of year t is the change in the natural log of split-adjusted shares outstanding
from the fiscal yearend in t-2 to the fiscal yearend in t-1. The NI breakpoints are NYSE quintiles. |
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| Stocks: |
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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 and non-missing split-adjusted shares outstanding data
for t-2 and t-1. |
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