In Fama and French (1993), p. 8, I read "In June of each year $t$ from 1963 to 1991, all NYSE stocks on CRSP are ranked on size (price times shares)."

Later on the same page, they write "Book-to-market equity, $BE/ME$, is then book common equity for the fiscal year ending in calendar year $t-1$, divided by market equity at the end of December of $t-1$."

December seems fine: a year ends in December. But why do they choose June and not December, too, for the size?

  • $\begingroup$ In the stock market everything gets slower around June. For a long period over summer. Maybe it's a natural choice? $\endgroup$ May 8, 2016 at 17:22

2 Answers 2


It is true that FF always use December for their fundamental metrics as this is the end of the fiscal year for most companies. However, the annual reports of the companies are not directly available and so are fundamental data. Thus, the main reason for using June it to avoid look ahead bias.


Size uses June market-cap data because market prices, unlike accounting data, is publicly available immediately. Book-to-market uses market-cap data from December to align with December book-value data. Asness, Frazzini (2013) The Devil in HML's Details argues for calculating a more up-to-date book-to-market by using June market-cap data (even though it is no long aligned to December book-value). Still, how Fama-French does it remains the standard approach in the literature.


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