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