Size quintile | Book-to-market quintiles | ||||||||||||||||||||||||||||||||
Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | ||||||||||||||
| β0 | β1 | β2 | β3 | |||||||||||||||||||||||||||||
Small | −0.79* | −0.06 | 0.11* | 0.21* | 0.35* | 1.08* | 0.98* | 0.88* | 0.84* | 0.87* | 1.28* | 1.17* | 0.99* | 1.00* | 1.03* | −0.11* | 0.05* | 0.09* | 0.26* | 0.44* | |||||||||||||
2 | −0.38* | −0.13 | 0.27* | 0.17* | −0.12 | 1.12* | 1.03* | 0.94* | 0.89* | 1.07* | 0.98* | 0.90* | 0.80* | 0.78* | 0.91* | −0.43* | 0.02 | 0.26* | 0.30* | 0.63* | |||||||||||||
3 | −0.06 | 0.15 | 0.02 | 0.05 | 0.12 | 1.07* | 1.04* | 0.96* | 0.97* | 1.03* | 0.71* | 0.64* | 0.51* | 0.48* | 0.50* | −0.49* | 0.01 | 0.27* | 0.48* | 0.63* | |||||||||||||
4 | 0.04 | −0.08 | −0.08* | 0.07 | 0.11 | 1.08* | 1.05* | 1.05* | 0.98* | 1.03* | 0.40* | 0.34* | 0.26* | 0.17* | 0.17* | −0.39* | 0.08* | 0.21* | 0.35* | 0.59* | |||||||||||||
Big | 0.08 | −0.01 | −0.09 | −0.09 | −0.01 | 1.00* | 1.05* | 1.01* | 0.99* | 1.03* | −0.24* | −0.19* | −0.20* | −0.22* | −0.14* | −0.29* | 0.07 | 0.23* | 0.43* | 0.64* | |||||||||||||
| α | p1 | p2 |
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Small | 0.30 | 0.60 | 0.70* | 0.50 | 0.30 | 1.30 | 1.90 | 2.34* | 1.60 | 1.30 | 2.10 | 1.13* | 1.03* | 1.45 | 2.35 |
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2 | 0.50 | 0.40 | 0.40 | 0.60 | 0.50 | 1.70 | 1.60 | 1.45 | 1.70 | 1.00* | 1.30 | 2.20 | 1.75 | 1.49 | 1.16* |
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3 | 0.30* | 0.60* | 0.60 | 0.70 | 0.50 | 1.14* | 2.20 | 1.74 | 2.20 | 1.60 | 2.35 | 1.16* | 1.31 | 1.45 | 1.45 |
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4 | 0.60 | 0.40 | 0.70* | 0.50 | 0.50 | 1.45* | 1.60 | 1.91 | 1.30* | 1.75 | 1.01* | 2.05 | 1.02* | 1.30* | 1.59 |
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Big | 0.50 | 0.60 | 0.60 | 0.60 | 0.40 | 1.75 | 1.90 | 2.20 | 2.06 | 1.30 | 1.45 | 2.05 | 2.05 | 1.16 | 1.74 |
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| a | b | c | d | |||||||||||||||||||||||||||||
Small | 0.05 | 0.05* | 0.00 | 0.03 | 0.04 | 0.96* | 0.92* | 0.94* | 0.95* | 0.96* | −0.03 | 0.08 | 0.01 | 0.07 | 0.07 | 0.37* | 0.41* | 0.36* | 0.32 | 0.30* | |||||||||||||
2 | 0.02 | 0.03 | 0.05 | 0.02* | 0.06 | 0.98* | 0.93* | 0.92* | 0.95* | 0.94* | −0.02* | −0.03 | −0.10 | 0.06 | 0.08 | 0.17* | 0.36* | 0.39* | 0.34* | 0.42* | |||||||||||||
3 | 0.02 | 0.09* | 0.05 | 0.08 | 0.04 | 0.98* | 0.94* | 0.95* | 0.91* | 0.96* | −0.03 | 0.08 | 0.01 | 0.07 | 0.07 | 0.23* | 0.30* | 0.31* | 0.45* | 0.26* | |||||||||||||
4 | 0.10 | 0.06 | 0.03 | 0.07* | 0.24* | 0.92* | 0.93* | 0.95* | 0.95* | 0.82* | −0.02 | −0.03 | −0.10* | 0.06 | 0.08 | 0.25* | 0.41* | 0.35* | 0.18* | 0.43* | |||||||||||||
Big | 0.04 | 0.03 | 0.01 | 0.07 | 0.06 | 0.89* | 0.98* | 0.97* | 0.94* | 0.97* | −0.10* | −0.08 | −0.03 | 0.08 | 0.03 | 0.16 | 0.25 | 0.25* | 0.37* | 0.36* | |||||||||||||