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Detail for 25 Portfolios Formed on Size and Net Share Issues

Monthly Returns:   July 1963 - May 2024
Annual Returns:   1964 - 2023
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 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.
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 and non-missing split-adjusted shares outstanding data for t-2 and t-1.





Copyright Kenneth R. French