Intra-industry value, momentum, and profitability factors (HMLN, UMDN, and PMUN) construction details:
| Construction: | These factors are constructed as the industry market capitalization weighted average return of factors constructed within industries using
the basic methodology employed by Fama and French to construct HML.
Each industry-specific factor is constructed using only firms from a single industry (Fama-French 49), as the equal-weighted average of value-weighted large and small cap strategies, where large and small are defined by NYSE median market capitalization. Within the large and small cap universes each strategy buys (sells) stocks in the top (bottom) 30% of the universe (industry and size) by the sorting characteristic. These characteristics are log-book-to-market (HMLN), cumulative returns over the first 11 months of the preceding year (UMDN), and gross profits-to-assets (PMUN). By construction, each of these factors is dollar-neutral with respect to each industry. |
| Universe: | HMLN and PMUN are rebalanced at the end of June, and UMDN is rebalanced at the end of each month, using all NYSE, AMEX, and NASDAQ firms for which the corresponding sorting characteristic is available.
HMLN excludes firms with negative book equity. PMUN includes financials, because the gross profits-to-assets is demeaned by industry. Accounting data are assumed available at the end of June for fiscal years ending on or before the end of December of the preceding calendar year. |
| Period: | July 1963 - December 2012. |
| More details: | See The other side of value: The gross profitability premium |