| VAR | TYPE | DEC10 - DEC1 | DECILE1 | DECILE2 | DECILE3 | DECILE4 | DECILE5 | DECILE6 | DECILE7 | DECILE8 | DECILE9 | DECILE10 |
| LN(BE\ME) | LEVEL | 3.14 | −2.52 | −1.52 | −1.15 | −0.89 | −0.68 | −0.50 | −0.32 | −0.14 | 0.08 | 0.62 |
| Stock Return | Average | 0.75% | 0.91% | 0.99% | 0.98% | 1.09% | 1.04% | 1.12% | 1.25% | 1.33% | 1.39% | 1.65% |
| Stock Return | SE | 0.22% | 0.31% | 0.29% | 0.27% | 0.26% | 0.25% | 0.24% | 0.24% | 0.24% | 0.25% | 0.27% |
| Stock Return | T | 3.36 | 2.95 | 3.44 | 3.62 | 4.21 | 4.15 | 4.59 | 5.26 | 5.44 | 5.60 | 6.14 |
| Firm Return Model | Average | 0.38% | 0.89% | 0.97% | 0.96% | 1.04% | 0.99% | 1.05% | 1.11% | 1.16% | 1.20% | 1.27% |
| Firm Return Model | SE | 0.21% | 0.28% | 0.26% | 0.23% | 0.21% | 0.19% | 0.18% | 0.17% | 0.16% | 0.16% | 0.14% |
| Firm Return Model | T | 1.78 | 3.13 | 3.76 | 4.14 | 4.94 | 5.13 | 5.81 | 6.66 | 7.06 | 7.59 | 9.15 |
| Firm Return Index | Average | 0.30% | 0.87% | 0.95% | 0.93% | 1.01% | 0.96% | 1.00% | 1.06% | 1.10% | 1.13% | 1.17% |
| Firm Return Index | SE | 0.21% | 0.29% | 0.26% | 0.24% | 0.22% | 0.20% | 0.19% | 0.18% | 0.18% | 0.18% | 0.17% |
| Firm Return Index | T | 1.46 | 3.04 | 3.64 | 3.94 | 4.64 | 4.71 | 5.25 | 5.89 | 6.10 | 6.41 | 7.03 |
| LN(ME) | LEVEL | 5.79 | 3.37 | 4.54 | 5.10 | 5.56 | 5.98 | 6.40 | 6.83 | 7.33 | 7.95 | 9.16 |
| Stock Return | Average | −0.34% | 1.28% | 1.20% | 1.16% | 1.20% | 1.14% | 1.04% | 1.17% | 1.09% | 1.06% | 0.94% |
| Stock Return | SE | 0.18% | 0.26% | 0.29% | 0.28% | 0.28% | 0.27% | 0.25% | 0.24% | 0.23% | 0.22% | 0.20% |
| Stock Return | T | −1.90 | 4.93 | 4.19 | 4.07 | 4.31 | 4.30 | 4.22 | 4.81 | 4.65 | 4.81 | 4.61 |
| Firm Return Model | Average | −0.33% | 1.17% | 1.08% | 1.07% | 1.09% | 1.03% | 0.92% | 1.06% | 0.97% | 0.93% | 0.84% |
| Firm Return Model | SE | 0.13% | 0.19% | 0.22% | 0.22% | 0.21% | 0.20% | 0.19% | 0.19% | 0.18% | 0.17% | 0.16% |
| Firm Return Model | T | −2.46 | 6.25 | 4.89 | 4.89 | 5.09 | 5.01 | 4.88 | 5.67 | 5.48 | 5.58 | 5.19 |
| Firm Return Index | Average | −0.21% | 1.08% | 1.03% | 1.02% | 1.05% | 0.99% | 0.89% | 1.04% | 0.96% | 0.93% | 0.87% |
| Firm Return Index | SE | 0.13% | 0.20% | 0.23% | 0.23% | 0.22% | 0.21% | 0.20% | 0.20% | 0.19% | 0.17% | 0.17% |
| Firm Return Index | T | −1.57 | 5.38 | 4.43 | 4.47 | 4.69 | 4.62 | 4.52 | 5.30 | 5.18 | 5.36 | 5.22 |
| MKMV EDF | LEVEL | 3.80 | −2.31 | −1.50 | −1.11 | −0.79 | −0.51 | −0.22 | 0.07 | 0.39 | 0.79 | 1.49 |
| Stock Return | Average | 0.05% | 1.04% | 1.08% | 1.09% | 1.27% | 1.24% | 1.20% | 1.25% | 1.28% | 1.22% | 1.09% |
| Stock Return | SE | 0.22% | 0.19% | 0.21% | 0.22% | 0.24% | 0.25% | 0.26% | 0.28% | 0.30% | 0.31% | 0.34% |
| Stock Return | T | 0.22 | 5.54 | 5.25 | 4.94 | 5.36 | 4.96 | 4.63 | 4.52 | 4.30 | 3.93 | 3.24 |
| Firm Return Model | Average | −0.08% | 1.02% | 1.03% | 1.01% | 1.15% | 1.13% | 1.08% | 1.12% | 1.11% | 1.04% | 0.94% |
| Firm Return Model | SE | 0.12% | 0.17% | 0.18% | 0.18% | 0.19% | 0.20% | 0.20% | 0.21% | 0.22% | 0.21% | 0.19% |
| Firm Return Model | T | −0.67 | 6.01 | 5.90 | 5.54 | 5.97 | 5.63 | 5.32 | 5.34 | 5.09 | 4.93 | 4.81 |
| Firm Return Index | Average | −0.09% | 1.00% | 1.00% | 0.98% | 1.10% | 1.08% | 1.02% | 1.05% | 1.04% | 0.99% | 0.91% |
| Firm Return Index | SE | 0.13% | 0.17% | 0.18% | 0.19% | 0.20% | 0.21% | 0.21% | 0.22% | 0.23% | 0.23% | 0.22% |
| Firm Return Index | T | −0.69 | 5.81 | 5.58 | 5.21 | 5.56 | 5.20 | 4.78 | 4.70 | 4.45 | 4.27 | 4.13 |