|
|
Detail
for Portfolios Formed on Book-to-Market
| Daily Returns: |
|
July 1, 1926 - February 29, 2024 |
| |
|
|
| Monthly Returns: |
|
July 1926 - February 2024 |
| |
|
|
| Annual Returns: |
|
1927 - 2023 |
| |
|
|
| Portfolios: |
|
BE
< 0; bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative book equity are in only the BE < 0 portfolio. |
| |
|
|
| Construction: |
|
Portfolios
are formed on BE/ME at the end of each June using NYSE breakpoints. The BE used
in June of year t is the book equity for the last fiscal year end in t-1. ME is
price times shares outstanding at the end of December of t-1. |
| |
|
|
| Stocks: |
|
All
NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t-1 and June
of t, and BE for t-1. |
|
