I googled the term, the closest I could find was "breakpoint", which does not fit the context.

  • 2
    $\begingroup$ Partial duplicate of this question quant.stackexchange.com/questions/38048… The "breakpoints" are used to group stocks, for example some people define Big Cap as the largest companies accounting for 70% of total market cap. How do you find them exactly? The "breakpoint" is the precise dollar value of market cap that delimits the top 70% from the rest. It changes every year of course, 50 years ago 1 billion was a huge market cap, today it is considered small. The "breakpoints" are computed each year by applying percentiles to all NYSE stocks. $\endgroup$ – Alex C Nov 12 '19 at 0:26

NYSE is the abbreviation for New York Stock Exchange

Most financial researchers like Fama/French use the CRSP database for US financial data. It is maintained by the University of Chicago's Booth School of Business and provides data for NYSE-, AMEX-, and NASDAQ-listed securities from December 31, 1925 through the present.


The breakpoints in Fama/French (1993) are calculated using only NYSE-stocks (i.e. stocks listed at the New York Stock Exchange). Then, all stocks (NYSE, AMEX and NASDAQ listed stocks) are sorted into portfolios based on these breakpoints.

The addition of AMEX stocks into the mainly used CRSP database in July 1962 increased the CPI-adjusted value of all stocks (prior to 1962 these were just NYSE-listed stocks) in the CRSP database just about 300 billion USD (i.e. about 14%). This indicates, that these stocks tend to have very small market capitalization. Similarly, NASDAQ stocks entering in Dec. 1972 counted for only 12.6% of the total CPI-adjusted market capitalization of the entire CRSP database stocks.

Why did Fama/French (1993) only consider NYSE-stocks for calculating breakpoints?

If the breakpoints were based on considering all stocks in the CRSP sample, the result would be that the breakpoints effectively serve to separate the NYSE stocks from AMEX- and NASDAQ-stocks. Though their approach guarantees, that an equal amount of NYSE stocks is provided in each portfolio. As a result, they avoid the bias of separating their portfolios nearly perfectly on the stock exchange listing, which is also described on p.430 in their Fama/French (1992) paper:

If we used stocks from all three exchanges to determine the ME breakpoints, most portfolios would include only small stocks after 1973, when NASDAQ stocks are added to the sample.


Fama/French (1992), The Cross-Section of stock returns, The Journal of Finance 47(2)

Fama/French (1993), Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33(1)


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