Size

Book-to-market quintiles

Quintiles

Low

2

3

4

High

Low

2

3

4

High

CAPM-SSAEPD-EGARCH

CAPM-SSAEPD

Small

1.36^#

1.26^#

1.13^#

1.05^#

1.06^#

1.43

1.27

1.25

1.16

1.19

2

1.25^#

1.20^#

1.09^#

1.19^#

1.25

1.26

1.21

1.12

1.13

1.25

3

1.20^#

1.13

1.09^#

1.07^#

1.17^#

1.23

1.13

1.12

1.09

1.20

4

1.10

1.09

1.06

1.04^#

1.11^#

1.08

1.05

1.06

1.08

1.25

Big

0.98

0.93

0.91^#

0.95^#

1.07

0.97

0.93

0.93

0.98

1.07