Size

Book-to-market quintiles

quintile

Low

2

3

4

High

Low

2

3

4

High

Mean

Median

Small

0.73

1.09

1.30

1.45

1.66

0.55

0.95

1.25

1.46

1.49

2

0.87

1.23

1.32

1.36

1.48

1.18

1.49

1.56

1.50

1.65

3

0.96

1.16

1.26

1.28

1.42

1.38

1.36

1.56

1.47

1.35

4

0.97

1.03

1.12

1.23

1.32

1.24

1.36

1.54

1.53

1.54

Big

0.88

0.89

0.94

0.98

0.03

1.07

1.05

1.15

1.08

1.22

Standard Deviation

Skewness

Small

12.23

10.58

9.21

8.64

9.57

2.71

4.40

1.77

2.73

3.07

2

7.98

7.88

7.34

7.61

8.75

0.35

1.87

2.06

1.68

1.75

3

7.64

6.61

6.75

6.83

8.63

1.01

0.27

1.01

1.16

1.88

4

6.24

6.30

6.41

7.02

8.98

0.21

0.82

0.94

1.79

2.02

Big

5.48

5.24

5.75

6.90

13.23

-0.02

-0.09

0.81

1.84

4.85

Kurtosis

P-value of Jarque-Bera Test

Small

30.86

60.01

18.48

33.33

33.26

0

0

0

0

0

2

7.90

24.01

24.94

20.94

20.43

0

0

0

0

0

3

13.40

9.46

17.17

15.91

22.39

0

0

0

0

0

4

6.45

15.00

17.40

23.24

24.78

0

0

0

0

0

Big

8.26

8.05

17.24

26.37

39.84

0

0

0

0

0