Size | Book-to-market quintiles | |||||||||
Quintile | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High |
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Small | −0.50 | −0.04 | 0.21 | 0.41 | 0.60 | 1.43 | 1.27 | 1.25 | 1.16 | 1.19 |
2 | −0.22 | 0.16 | 0.32 | 0.34 | 0.39 | 1.26 | 1.21 | 1.12 | 1.13 | 1.25 |
3 | −0.11 | 0.16 | 0.26 | 0.29 | 0.36 | 1.23 | 1.13 | 1.12 | 1.09 | 1.20 |
4 | −0.01 | 0.07 | 0.16 | 0.25 | 0.24 | 1.08 | 1.05 | 1.06 | 1.08 | 1.25 |
Big | −0.03 | 0.01 | 0.06 | 0.06 | −0.41 | 0.97 | 0.93 | 0.93 | 0.98 | 1.07 |
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Small | 7.51 | 5.71 | 5.06 | 4.55 | 5.14 | 0.50 | 0.66 | 0.63 | 0.69 | 0.59 |
2 | 4.15 | 3.46 | 3.21 | 3.46 | 4.41 | 0.60 | 0.62 | 0.68 | 0.66 | 0.61 |
3 | 3.11 | 2.42 | 2.56 | 2.86 | 4.14 | 0.72 | 0.63 | 0.68 | 0.52 | 0.60 |
4 | 2.22 | 1.95 | 2.23 | 2.78 | 4.24 | 0.50 | 0.54 | 0.74 | 0.66 | 0.54 |
Big | 1.53 | 1.51 | 2.12 | 2.97 | 6.72 | 0.55 | 0.44 | 0.52 | 0.49 | 0.17 |
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Small | 0.85 | 1.22 | 1.27 | 1.56 | 1.29 | 0.71 | 0.66 | 0.72 | 0.65 | 0.69 |
2 | 1.31 | 1.36 | 1.57 | 1.42 | 1.33 | 0.89 | 0.78 | 0.74 | 0.72 | 0.77 |
3 | 1.55 | 1.58 | 1.52 | 1.18 | 1.34 | 0.74 | 1.00 | 0.76 | 0.95 | 0.77 |
4 | 1.07 | 1.20 | 1.68 | 1.56 | 1.13 | 1.03 | 0.92 | 0.68 | 0.75 | 0.81 |
Big | 1.46 | 1.09 | 1.05 | 0.83 | 0.39 | 1.23 | 1.32 | 0.96 | 0.77 | 1.31 |