| Panel C | |||||||||||||
| Book Assets Leverage | |||||||||||||
| Low Leverage | 0.06 | 0.04 | 0.09 | 1.33 | 2.04 | 1.95 | 0.32 | 1.32 | 0.47 | 0.28 | 26.84 | 5.29 | −1.48 |
| 2 | 0.13 | 0.08 | 0.14 | 1.29 | 1.99 | 1.88 | 0.26 | 1.30 | 0.40 | 0.50 | 25.93 | 5.28 | −1.06 |
| 3 | 0.20 | 0.12 | 0.19 | 1.24 | 1.94 | 1.82 | 0.27 | 1.29 | 0.36 | 0.70 | 24.69 | 5.20 | −0.85 |
| 4 | 0.26 | 0.17 | 0.23 | 1.19 | 1.88 | 1.74 | 0.27 | 1.26 | 0.33 | 0.88 | 23.86 | 5.18 | −0.71 |
| 5 | 0.33 | 0.23 | 0.28 | 1.15 | 1.82 | 1.68 | 0.27 | 1.24 | 0.30 | 1.07 | 23.34 | 5.15 | −0.58 |
| 6 | 0.40 | 0.30 | 0.32 | 1.11 | 1.76 | 1.63 | 0.25 | 1.23 | 0.27 | 1.28 | 22.20 | 5.11 | −0.45 |
| 7 | 0.47 | 0.37 | 0.36 | 1.07 | 1.72 | 1.57 | 0.26 | 1.21 | 0.24 | 1.51 | 21.13 | 5.04 | −0.34 |
| 8 | 0.54 | 0.45 | 0.42 | 1.00 | 1.64 | 1.48 | 0.26 | 1.17 | 0.21 | 1.70 | 20.09 | 5.00 | −0.23 |
| 9 | 0.62 | 0.54 | 0.47 | 0.94 | 1.59 | 1.42 | 0.27 | 1.14 | 0.18 | 2.05 | 18.80 | 4.92 | −0.09 |
| High Leverage | 0.75 | 0.67 | 0.52 | 1.04 | 1.75 | 1.55 | 0.36 | 1.25 | 0.16 | 4.15 | 15.96 | 4.38 | 0.19 |
| High-Low | 0.69 | 0.63 | 0.43 | −0.29 | −0.30 | −0.39 | 0.04 | −0.07 | −0.32 | 3.87 | −10.88 | −0.91 | 1.67 |
| Panel D | |||||||||||||
| MKMV Default Probability (EDF) | |||||||||||||
| Low EDF | 0.18 | 0.14 | 0.22 | 0.87 | 1.37 | 1.28 | 0.05 | 0.98 | 0.24 | 0.06 | 44.32 | 6.84 | −1.17 |
| 2 | 0.27 | 0.23 | 0.29 | 0.95 | 1.52 | 1.40 | 0.12 | 1.05 | 0.25 | 0.15 | 32.53 | 6.32 | −0.87 |
| 3 | 0.31 | 0.25 | 0.30 | 1.01 | 1.62 | 1.49 | 0.19 | 1.11 | 0.26 | 0.25 | 28.09 | 5.90 | −0.75 |
| 4 | 0.33 | 0.26 | 0.30 | 1.06 | 1.70 | 1.57 | 0.23 | 1.16 | 0.27 | 0.39 | 24.55 | 5.51 | −0.67 |
| 5 | 0.35 | 0.28 | 0.29 | 1.12 | 1.78 | 1.64 | 0.25 | 1.22 | 0.29 | 0.56 | 21.61 | 5.17 | −0.60 |
| 6 | 0.38 | 0.29 | 0.30 | 1.17 | 1.87 | 1.72 | 0.31 | 1.28 | 0.30 | 0.80 | 18.90 | 4.83 | −0.52 |
| 7 | 0.40 | 0.31 | 0.30 | 1.22 | 1.95 | 1.80 | 0.36 | 1.33 | 0.31 | 1.13 | 16.68 | 4.53 | −0.45 |
| 8 | 0.44 | 0.34 | 0.31 | 1.27 | 2.03 | 1.87 | 0.41 | 1.37 | 0.32 | 1.64 | 14.45 | 4.23 | −0.35 |
| 9 | 0.49 | 0.38 | 0.33 | 1.32 | 2.11 | 1.95 | 0.41 | 1.43 | 0.33 | 2.58 | 11.92 | 3.87 | −0.25 |
| High EDF | 0.60 | 0.48 | 0.37 | 1.36 | 2.18 | 2.00 | 0.45 | 1.48 | 0.33 | 6.57 | 9.81 | 3.36 | 0.03 |
| High-Low | 0.42 | 0.34 | 0.15 | 0.48 | 0.81 | 0.72 | 0.39 | 0.50 | 0.09 | 6.51 | −34.50 | −3.48 | 1.20 |
| Panel E | |||||||||||||
| BETA-CRSP VW Only | |||||||||||||
| Low Beta | 0.44 | 0.38 | 0.37 | 0.22 | 0.48 | 0.35 | 0.18 | 0.76 | 0.22 | 1.18 | 21.38 | 4.64 | −0.39 |
| 2 | 0.41 | 0.34 | 0.34 | 0.53 | 0.92 | 0.80 | 0.19 | 0.87 | 0.21 | 0.99 | 24.83 | 5.04 | −0.41 |
| 3 | 0.39 | 0.31 | 0.31 | 0.71 | 1.17 | 1.05 | 0.23 | 0.99 | 0.23 | 1.03 | 25.64 | 5.21 | −0.46 |
| 4 | 0.38 | 0.30 | 0.30 | 0.86 | 1.38 | 1.26 | 0.24 | 1.08 | 0.24 | 1.07 | 25.43 | 5.23 | −0.49 |
| 5 | 0.38 | 0.30 | 0.30 | 1.00 | 1.58 | 1.46 | 0.26 | 1.17 | 0.26 | 1.15 | 24.54 | 5.25 | −0.51 |
| 6 | 0.38 | 0.30 | 0.30 | 1.14 | 1.80 | 1.67 | 0.27 | 1.25 | 0.27 | 1.28 | 23.66 | 5.25 | −0.54 |
| 7 | 0.38 | 0.29 | 0.29 | 1.29 | 2.05 | 1.90 | 0.29 | 1.34 | 0.30 | 1.46 | 22.15 | 5.18 | −0.58 |
| 8 | 0.36 | 0.27 | 0.28 | 1.49 | 2.35 | 2.18 | 0.33 | 1.46 | 0.33 | 1.68 | 20.05 | 5.05 | −0.64 |