While replicating the FF-2015 Size-BE/ME-OP 32 test portfolios I notice missing values in the combination Big,BE/ME 4th quartile, OP 4th quartile.
I am a bit puzzled, FF say they independently sort based on NYSE breakpoints.
To be precise, does this mean full-sample sorts for each year june? Or does it mean first sort by size, then sort by BE/ME, then by OP?
My current NYSE breakpoints are annually full (NYSE) sample median for size, full sample 25%, 50%,75% for BE/ME and full sample 25%,50% and 75% for OP.