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 |