They are companies under stress. Usually, they have histories of exponential growth of profits, sales, market share, and other healthy, desirable attributes. Generally they have so many investment opportunities internally that they do not pay high dividends. They are healthy companies. Dividing the Market by Size and BTM Ratio Fama and French took all the stocks in the N.Y. Stock Exchange and divided them into 10 groups, or deciles, by market capitalization.
Market capitalization is the total value of all the securities of a firm.
It is found by multiplying the price of a share by the number of shares outstanding. Having now established arbitrary size groups, the pair took all stocks traded on all exchanges and distributed them into the appropriate size groups. Because of the smaller, average size of the non-NYSE stocks, the groups now contained many more stocks listed in the smaller deciles than seen in the equal distribution of the original NYSE deciles. They now had 100 portfolios or styles. Each portfolio was followed for one year, and then the procedure was done all over again.