Size qunintiles | Book-to-market quintile | ||||||||||||||
Low | 2 | 3 | 4 | High |
| Low | 2 | 3 | 4 | High | |||||
| Sample 1: 1951-1982 |
| Sample 2: 1982-2007 | ||||||||||||
Small | 0.77 | 0.92 | 0.61 | 0.98 | 0.86 |
| 0.20 | 0.81 | 0.52 | 0.73 | 0.84 | ||||
2 | 0.98 | 0.96 | 0.96 | 0.96 | 0.89 |
| 0.93 | 0.98 | 0.84 | 0.90 | 0.50 | ||||
3 | 0.99 | 0.57 | 0.86 | 0.83 | 0.99 |
| 0.61 | 0.96 | 0.97 | 0.76 | 0.75 | ||||
4 | 0.85 | 0.96 | 0.82 | 0.65 | 0.73 |
| 0.46 | 0.69 | 0.86 | 0.90 | 0.93 | ||||
Big | 0.98 | 0.98 | 0.63 | 1.00 | 0.84 |
| 0.97 | 0.94 | 0.89 | 0.88 | 0.62 | ||||