| Size | Book-to-market quintiles |
| ||||||||
| Quintile | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High |
|
| Sample 1: 9/1951-3/1982 | |||||||||
|
| Mean | Median | ||||||||
| Small | 0.88 | 1.15 | 1.12 | 1.35 | 1.51 | 0.69 | 0.80 | 1.05 | 1.33 | 1.48 |
| 2 | 0.85 | 1.08 | 1.21 | 1.28 | 1.51 | 1.03 | 1.17 | 1.33 | 1.34 | 1.57 |
| 3 | 0.90 | 1.09 | 1.12 | 1.28 | 1.26 | 1.24 | 1.17 | 1.60 | 1.39 | 1.15 |
| 4 | 0.81 | 0.86 | 1.19 | 1.17 | 1.18 | 1.02 | 1.22 | 1.46 | 1.20 | 1.22 |
| Big | 0.72 | 0.77 | 0.94 | 0.94 | 0.98 | 1.01 | 0.87 | 0.87 | 0.88 | 1.10 |
|
| Maximum | Minimum | ||||||||
| Small | 26.59 | 29.55 | 28.35 | 27.82 | 32.77 | −26.79 | −23.41 | −21.87 | −18.66 | −21.37 |
| 2 | 22.49 | 25.83 | 26.87 | 27.03 | 30.36 | −24.89 | −20.14 | −19.01 | −15.84 | −18.96 |
| 3 | 19.31 | 25.00 | 21.92 | 23.41 | 28.98 | −22.91 | −18.67 | −16.35 | −14.35 | −19.90 |
| 4 | 20.79 | 20.58 | 23.93 | 24.32 | 27.9 | −19.84 | −17.25 | −14.37 | −12.04 | −16.48 |
| Big | 22.35 | 14.39 | 19.08 | 19.76 | 15.66 | −14.73 | −12.72 | −10.91 | −11.30 | −12.89 |
|
| Standard Deviation | Skewness | ||||||||
| Small | 7.56 | 6.45 | 5.76 | 5.49 | 5.92 | −0.02 | 0.02 | 0.13 | 0.30 | 0.41 |
| 2 | 6.51 | 5.59 | 5.15 | 5.05 | 5.67 | −0.21 | −0.01 | −0.02 | 0.26 | 0.34 |
| 3 | 5.88 | 4.92 | 4.74 | 4.67 | 5.41 | −0.19 | −0.21 | −0.24 | 0.18 | 0.30 |
| 4 | 5.21 | 4.67 | 4.44 | 4.66 | 5.48 | −0.18 | −0.22 | 0.12 | 0.31 | 0.34 |
| Big | 4.39 | 4.05 | 3.91 | 4.17 | 4.76 | 0.00 | −0.01 | 0.39 | 0.37 | 0.27 |
|
| Kurtosis | P-value of Jarque-Bera Test | ||||||||
| Small | 1.15 | 1.69 | 2.60 | 2.67 | 3.58 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| 2 | 1.60 | 1.99 | 3.10 | 2.59 | 3.03 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| 3 | 1.63 | 2.59 | 1.94 | 1.89 | 2.99 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| 4 | 1.32 | 1.73 | 2.18 | 1.81 | 2.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| Big | 1.66 | 0.61 | 1.62 | 1.30 | 0.60 | 0.00 | 0.06 | 0.00 | 0.00 | 0.01 |
|
| Sample 2: 4/1982-3/2007 | |||||||||
|
| Mean | Median | ||||||||
| Small | 0.49 | 1.34 | 1.47 | 1.65 | 1.71 | 1.02 | 1.65 | 1.42 | 1.71 | 1.60 |
| 2 | 0.86 | 1.22 | 1.52 | 1.55 | 1.50 | 1.55 | 1.77 | 1.73 | 1.73 | 2.08 |
| 3 | 1.03 | 1.34 | 1.32 | 1.40 | 1.63 | 1.88 | 1.58 | 1.56 | 1.46 | 1.86 |
| 4 | 1.23 | 1.27 | 1.36 | 1.42 | 1.50 | 1.34 | 1.40 | 1.67 | 1.83 | 1.90 |
| Big | 1.15 | 1.27 | 1.20 | 1.20 | 1.29 | 1.02 | 1.51 | 1.40 | 1.31 | 1.42 |
|
| Maximum | Minimum | ||||||||
| Small | 39.80 | 38.64 | 26.98 | 19.89 | 16.31 | −34.18 | −30.93 | −28.53 | −28.96 | −28.73 |
| 2 | 29.71 | 17.00 | 13.47 | 11.02 | 13.85 | −32.82 | −31.56 | −27.76 | −26.36 | −29.32 |
| 3 | 24.47 | 13.54 | 13.00 | 15.02 | 13.17 | −29.57 | −29.19 | −24.47 | −22.71 | −26.22 |
| 4 | 25.67 | 14.88 | 15.99 | 12.64 | 14.01 | −25.94 | −28.83 | −24.67 | −18.26 | −23.84 |
| Big | 15.39 | 16.50 | 13.07 | 15.51 | 13.55 | −21.64 | −22.36 | −21.71 | −14.88 | −18.99 |
|
| Standard Deviation | Skewness | ||||||||
| Small | 8.03 | 6.73 | 5.31 | 4.91 | 5.06 | 0.20 | 0.18 | −0.38 | −0.72 | −0.92 |
| 2 | 7.26 | 5.62 | 4.75 | 4.65 | 5.15 | −0.34 | −0.94 | −1.16 | −1.27 | −1.20 |
| 3 | 6.72 | 5.19 | 4.49 | 4.43 | 4.69 | −0.45 | −0.92 | −0.96 | −0.79 | −1.20 |
| 4 | 6.05 | 4.87 | 4.69 | 4.31 | 4.64 | −0.23 | −0.91 | −0.82 | −0.60 | −0.95 |
| Big | 4.76 | 4.53 | 4.27 | 4.11 | 4.69 | −0.41 | −0.61 | −0.75 | −0.26 | −0.58 |
|
| Kurtosis | P-value of Jarque-Bera Test | ||||||||
| Small | 3.76 | 5.63 | 5.21 | 6.19 | 4.71 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| 2 | 2.10 | 4.02 | 5.33 | 5.16 | 5.13 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| 3 | 1.85 | 4.31 | 4.34 | 3.88 | 5.41 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| 4 | 2.39 | 5.50 | 3.85 | 2.27 | 3.94 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| Big | 1.74 | 2.97 | 3.39 | 1.55 | 1.60 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |