3 portfolios sorted by size

Daily Returns: from January 2, 2001.

Every January of year t, we (ascending) sort the eligible stocks (as defined below) in terciles according to their market capitalization in December of year t-1. We then hold the portfolios during year t.

For each portfolio we provide the following time series: Average Book-to-Market, Firms Average Size, Market Value, Number of Firms, Equally Weighted Return and Value Weighted Return.

The Eligibility Criteria

A stock traded in BOVESPA is considered “eligible” for year t if it meets 3 criteria:
- The stock is the most traded stock of the firm (the one with the highest traded volume during last year);

- The stock was traded in more than 80% of the days in year t-1 with volume greater than R$ 500.000,00 per day. In case the stock was listed in year t-1, the period considered goes from the listing day to the last day of the year;

- The stock was initially listed prior to December of year t-1.