Size

Book-to-market quintiles

Quintile

Low

2

3

4

High

Low

2

3

4

High

a

t(a)

Small

−0.29

0.11

0.01

0.12

0.12

−3.31

1.61

0.17

2.12

1.99

2

−0.11

−0.10

0.05

−0.00

−0.04

−1.73

−1.88

0.95

−0.04

−0.64

3

0.02

−0.01

−0.07

−0.02

0.05

0.40

−0.10

−1.06

−0.25

0.60

4

0.18

−0.23

−0.13

0.05

−0.09

2.73

−3.29

−1.81

0.73

−1.09

Big

0.12

−0.11

−0.10

−0.15

−0.09

2.50

−1.82

−1.39

−2.33

−0.93

h

t(h)

Small

−0.43

−0.14

0.10

0.27

0.52

−10.11

−4.38

3.90

10.12

17.55

2

−0.46

−0.01

0.29

0.43

0.69

−15.22

−0.45

11.77

16.78

24.44

3

−0.43

0.12

0.37

0.52

0.67

−14.70

3.71

12.28

17.07

18.75

4

−0.46

0.09

0.38

0.52

0.80

−15.18

2.76

11.03

15.88

20.26

Big

−0.31

0.03

0.26

0.62

0.85

−14.12

1.09

7.54

21.05

18.74

r

t(r)

Small

−0.58

−0.34

0.01

0.11

0.12

−13.26

−10.56

0.31

3.89

3.95

2

−0.21

0.13

0.27

0.26

0.21

−6.75

4.89

10.35

9.86

7.04

3

−0.21

0.22

0.33

0.28

0.33

−6.99

6.77

10.36

8.98

8.88

4

−0.19

0.27

0.28

0.14

0.25

−6.06

7.75

7.99

4.16

6.14

Big

0.13

0.25

0.07

0.23

0.02

5.64

8.79

2.07

7.62

0.49

c

t(c)

Small

−0.57

−0.12

0.19

0.39

0.62

−12.27

−3.46

6.59

13.15

19.10

2

−0.59

0.06

0.31

0.55

0.72

−17.76

1.94

11.27

19.39

22.92

3

−0.67

0.13

0.42

0.64

0.78

−20.59

3.64

12.52

18.97

19.62

4

−0.51

0.31

0.51

0.60

0.79

−15.11

8.33

13.35

16.41

18.03

Big

−0.39

0.26

0.41

0.66

0.73

−16.08

8.38

10.80

19.88

14.54