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