Multifactor Explanations of Asset Pricing Anomalies 61 Table II Summary Statistics for Simple Monthly Excess Returns(in Percent) on the LSV Equal-Weight Deciles:7/63-12/93,366 Months At the end of June of each yeart(1963-1993),the NYSE stocks on COMPUSTAT are allocated to ten portfolios,based on the decile breakpoints for BE/ME(book-to-market equity),E/P (earnings/price),C/P(cashflow/price),and past five-year sales rank(5-Yr SR).Equal-weight returns on the portfolios are calculated from July to the following June,resulting in a time series of 366 monthly returns for July 1963 to December 1993.To be included in the tests for a given year,a stock must have data on all of the portfolio-formation variables of this table. Thus,the sample of firms is the same for all variables. For portfolios formed in June of year t,the denominator of BE/ME,E/P,and C/P is market equity (ME,stock price times shares outstanding)for the end of December of year t-1,and BE,E,and C are for the fiscal year ending in calendar year t-1.Book equity BE is defined in Table I.E is earnings before extraordinary items but after interest,depreciation,taxes,and preferred divi- dends.Cash flow,C,is E plus depreciation. The five-year sales rank for June of year t,5-Yr SR(t),is the weighted average of the annual sales growth ranks for the prior five years,that is, 5 5-Yr SR(t)=> (6-j)×Rank(t-j) 1=1 The sales growth for year t-j is the percentage change in sales from t-j-1 to t-j, In[Sales(t-j)/Sales(t-j-1)].Only firms with data for all five prior years are used to determine the annual sales growth ranks for years t-5 to t-1. For each portfolio,the table shows the mean monthly return in excess of the one-month Treasury bill rate (Mean),the standard deviation of the monthly excess returns(Std.Dev.),and the ratio of the mean excess return to its standard error [t(mean)=Mean/(Std.Dev./36512)].Ave ME is the average size(ME,in $millions)of the firms in a portfolio,averaged across the 366 sample months. Deciles 1 2 3 4 5 6 9 10 BEME Low High Mean 0.42 0.50 0.53 0.58 0.65 0.72 0.81 0.84 1.03 1.22 Std.Dev. 5.81 5.56 5.57 5.52 5.23 5.03 4.96 5.06 5.52 6.82 t(Mean) 1.39 1.72 1.82 2.02 2.38 2.74 3.10 3.17 3.55 3.43 Ave.ME 2256 1390 1125 1037 1001 864 838 730 572 362 EP Low High Mean 0.55 0.45 0.54 0.63 0.67 0.77 0.82 0.90 0.99 1.03 Std.Dev. 6.09 5.62 5.51 5.35 5.14 5.18 4.94 4.88 5.05 5.87 t(Mean) 1.72 1.52 1.89 2.24 2.49 2.84 3.16 3.51 3.74 3.37 Ave.ME 1294 1367 1211 1209 1411 1029 1022 909 862 661 C/P Low High Mean 0.43 0.45 0.60 0.67 0.70 0.76 0.77 0.86 0.97 1.16 Std.Dev. 5.80 5.67 5.57 5.39 5.39 5.19 5.00 4.88 4.96 6.36 t(Mean) 1.41 1.52 2.06 2.37 2.47 2.78 2.93 3.36 3.75 3.47 Ave.ME 1491 1266 1112 1198 990 994 974 951 990 652 5-Yr SR High Low Mean 0.47 0.63 0.70 0.68 0.67 0.74 0.70 0.78 0.89 1.03 Std.Dev. 6.39 5.66 5.46 5.15 5.22 5.10 5.00 5.10 5.25 6.13 t(Mean) 1.42 2.14 2.45 2.52 2.46 2.78 2.68 2.91 3.23 3.21 Ave.ME 937 1233 1075 1182 1265 1186 1075 884 744 434