Equal weight of the returns (%)

SV, SN, and SG

6.69

2.18

7.82

5.55

7.43

0.99

0.50

0.77

0.57

−3.46

6.36

2.92

2.98

6.89

0.90

3.27

BV, BN, and BG

1.07

−0.98

1.54

0.44

5.70

1.12

0.59

−0.23

2.26

−5.08

5.47

2.98

2.00

2.52

−0.58

1.26

Difference in returns (%)

SMB

5.63

3.17

6.28

5.11

1.72

−0.13

−0.09

1.00

−1.69

1.63

0.89

−0.06

0.97

4.37

1.48

2.02

(0.783)

(0.839)

(1.233)

(2.017)^**

(0.478)

(−0.052)

(−0.061)

(0.553)

(−0.82)

(0.348)

(0.334)

(−0.028)

(0.342)

(2.612)^***

(0.554)

(2.221)^**