| Market portfolio | Small-Low B/M | Small-Middle B/M | |||
Mean | 0.358 | 0.316 | 0.427 | |||
SD | 5.255 | 7.156 | 5.929 | |||
Skewness | 0.258 | 0.363 | 0.271 | |||
Kurtosis | 3.744 | 3.975 | 4.384 | |||
JB | 12.299 | 22.176 | 33.132 | |||
p-value | 0.002 | 0.000 | 0.000 | |||
ADF | −16.228 | −15.898 | −16.157 | |||
p-value | 0.000 | 0.000 | 0.000 | |||
| Small-High B/M | Big-Low B/M | Big-Middle B/M | Big-High B/M | ||
Mean | 0.562 | 0.280 | 0.372 | 0.528 | ||
SD | 6.002 | 5.667 | 5.109 | 5.743 | ||
Skewness | 0.384 | 0.120 | 0.341 | 0.466 | ||
Kurtosis | 4.400 | 3.935 | 4.032 | 4.011 | ||
JB | 38.234 | 13.985 | 22.943 | 28.323 | ||
p-value | 0.000 | 0.001 | 0.000 | 0.000 | ||
ADF | −15.851 | −16.356 | −16.568 | −17.178 | ||
p-value | 0.000 | 0.000 | 0.000 | 0.000 | ||