Size |
| Book-to-market quintiles | |||||||||
Quintile | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
Mean |
| Median | |||||||||
Small | 0.68 | 1.22 | 1.26 | 1.42 | 1.56 | 1.06 | 1.43 | 1.36 | 1.54 | 1.57 | |
2 | 0.89 | 1.14 | 1.35 | 1.36 | 1.44 | 1.37 | 1.56 | 1.60 | 1.55 | 1.85 | |
3 | 0.91 | 1.19 | 1.21 | 1.29 | 1.49 | 1.51 | 1.47 | 1.57 | 1.50 | 1.61 | |
4 | 1.01 | 0.99 | 1.12 | 1.26 | 1.27 | 1.09 | 1.24 | 1.45 | 1.54 | 1.60 | |
Big | 0.87 | 0.93 | 0.89 | 0.97 | 1.03 | 0.97 | 1.04 | 1.15 | 1.10 | 1.19 | |
Maximum |
| Minimum | |||||||||
Small | 39.85 | 38.56 | 28.13 | 27.78 | 33.27 | −34.24 | −30.94 | −28.69 | −28.88 | −28.88 | |
2 | 27.45 | 26.12 | 26.34 | 27.34 | 30.04 | −32.71 | −31.56 | −27.80 | −26.04 | −28.84 | |
3 | 24.69 | 25.03 | 21.94 | 23.40 | 29.20 | −29.79 | −28.99 | −24.26 | −23.03 | −26.17 | |
4 | 25.91 | 20.44 | 24.01 | 24.32 | 27.90 | −25.94 | −28.83 | −26.33 | −21.02 | −23.84 | |
Big | 22.35 | 16.53 | 19.08 | 19.76 | 17.57 | −21.64 | −22.36 | −21.74 | −19.32 | −19.13 | |
Standard Deviation |
| Skewness | |||||||||
Small | 8.01 | 6.90 | 6.02 | 5.68 | 6.11 | −0.02 | 0.00 | −0.17 | −0.22 | −0.26 | |
2 | 7.23 | 6.00 | 5.46 | 5.32 | 6.03 | −0.34 | −0.46 | −0.48 | −0.50 | −0.46 | |
3 | 6.67 | 5.51 | 5.03 | 4.94 | 5.52 | −0.36 | −0.52 | −0.53 | −0.33 | −0.41 | |
4 | 5.94 | 5.21 | 5.10 | 4.84 | 5.53 | −0.22 | −0.60 | −0.51 | −0.28 | −0.30 | |
Big | 4.70 | 4.47 | 4.38 | 4.39 | 5.05 | −0.22 | −0.38 | −0.31 | −0.25 | −0.30 | |
Kurtosis |
| P-value of Jarque-Bera Test | |||||||||
Small | 5.26 | 6.12 | 5.63 | 5.90 | 6.34 | 0 | 0 | 0 | 0 | 0 | |
2 | 4.45 | 5.33 | 5.91 | 6.11 | 6.16 | 0 | 0 | 0 | 0 | 0 | |
3 | 4.44 | 5.64 | 5.26 | 5.43 | 6.26 | 0 | 0 | 0 | 0 | 0 | |
4 | 4.72 | 5.90 | 6.35 | 5.06 | 5.52 | 0 | 0 | 0 | 0 | 0 | |
Big | 4.67 | 4.76 | 5.24 | 4.96 | 4.07 | 0 | 0 | 0 | 0 | 0 |