Size | Book-to-market quintiles | |||||||||
Quintile | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High |
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Small | −0.69* | −0.28* | −0.05 | −0.09 | 0.17* | 1.36* | 1.26* | 1.13* | 1.05* | 1.06* |
2 | −0.22* | 0.02* | 0.31* | 0.15 | 0.20* | 1.25* | 1.20* | 1.09* | 1.19* | 1.25* |
3 | 0.05 | 0.08 | 0.14 | 0.27* | 0.18 | 1.20* | 1.13* | 1.09* | 1.07* | 1.17* |
4 | −0.02 | −0.01 | 0.07* | 0.12* | 0.15* | 1.10* | 1.09* | 1.06* | 1.04* | 1.11* |
Big | −0.07 | 0.01 | 0.07 | 0.06* | 0.17* | 0.98* | 0.93* | 0.91* | 0.95* | 1.07* |
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Small | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 1.41 | 1.50 | 1.50 | 1.00 | 1.50 |
2 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 1.50 | 1.20 | 1.90 | 1.20 | 1.50 |
3 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 1.49 | 1.50 | 1.20 | 1.50 | 1.50 |
4 | 0.50 | 0.50 | 0.49 | 0.50 | 0.50 | 1.50 | 1.50 | 1.47 | 1.50 | 1.50 |
Big | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 1.10 | 1.50 | 1.50 | 1.50 | 1.45 |
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Small | 1.21 | 1.50 | 1.50 | 1.20 | 1.50 | 0.06* | 0.05* | 0.01 | 0.16* | 0.04* |
2 | 1.50 | 1.20 | 1.30 | 1.20 | 1.50 | 0.52* | 0.04* | 0.23* | 0.25* | 0.23* |
3 | 1.50 | 1.50 | 1.80 | 1.50 | 1.51 | 0.14* | 0.02* | 0.13* | 0.05* | 0.22* |
4 | 1.50 | 1.50 | 1.43 | 1.50 | 1.20 | 0.08* | 0.04 | 0.04* | 0.02* | 0.02 |
Big | 1.00 | 1.50 | 1.50 | 1.20 | 1.19 | 0.06* | 0.05* | 0.07* | 0.09* | 0.13* |
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Small | 0.98* | 0.99* | 1.00* | 0.96* | 1.00* | −0.07 | −0.05* | −0.05* | −0.09* | −0.10* |
2 | 0.82* | 0.99* | 0.88* | 0.91* | 0.93* | −0.09 | −0.04* | −0.04 | −0.05 | −0.02 |
3 | 0.93* | 0.99* | 0.93* | 0.98* | 0.91* | −0.02 | −0.04* | −0.03 | −0.04 | −0.05 |
4 | 0.94* | 0.97* | 0.97* | 0.99* | 0.99* | 0.06* | −0.04 | −0.07* | −0.04* | −0.07* |
Big | 0.94* | 0.95* | 0.94* | 0.96* | 0.95* | −0.01 | −0.01 | −0.05* | −0.07* | 0.09 |
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Small | 0.25* | 0.33* | 0.17* | 0.31* | 0.22* |
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2 | 0.48* | 0.23* | 0.50* | 0.41* | 0.41* |
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3 | 0.43* | 0.11* | 0.28* | 0.23* | 0.35* |
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4 | 0.29* | 0.26* | 0.27* | 0.22* | 0.27* |
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Big | 0.22* | 0.25* | 0.28* | 0.27* | 0.37* |
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