2

1.10%

1.17%

1.19%

1.24%

1.32%

1.37%

1.35%

1.34%

3

1.32%

1.28%

1.31%

1.37%

1.39%

1.38%

1.39%

1.35%

4

1.24%

1.26%

1.26%

1.27%

1.36%

1.38%

1.38%

1.35%

5

1.24%

1.26%

1.27%

1.32%

1.40%

1.42%

1.39%

1.37%

6

1.17%

1.19%

1.24%

1.30%

1.39%

1.42%

1.40%

1.38%

7

1.17%

1.17%

1.23%

1.31%

1.37%

1.40%

1.40%

1.38%

8

1.07%

1.10%

1.12%

1.18%

1.21%

1.27%

1.30%

1.26%

9

1.04%

1.09%

1.10%

1.11%

1.22%

1.24%

1.25%

1.26%

High Leverage

1.06%

1.06%

1.10%

1.12%

1.12%

1.17%

1.18%

1.15%

High-Low

−0.14%

−0.20%

−0.15%

−0.16%

−0.18%

−0.15%

−0.15%

−0.14%

Panel D

MKMV Default Probability (EDF)

Low EDF

2.10%

2.10%

2.13%

2.22%

2.38%

1.13%

1.19%

1.20%

2

2.09%

2.10%

2.15%

2.18%

2.31%

1.17%

1.19%

1.20%

3

2.06%

2.07%

2.09%

2.14%

2.25%

1.26%

1.30%

1.29%

4

1.97%

1.96%

1.93%

2.02%

2.12%

1.34%

1.36%

1.35%

5

1.80%

1.81%

1.86%

1.86%

1.94%

1.43%

1.47%

1.47%

6

1.59%

1.63%

1.60%

1.72%

1.75%

1.36%

1.44%

1.35%

7

1.40%

1.33%

1.29%

1.33%

1.44%

1.42%

1.50%

1.42%

8

0.81%

0.83%

0.86%

0.88%

0.87%

1.49%

1.37%

1.37%

9

0.04%

0.05%

0.09%

0.12%

0.10%

1.29%

1.34%

1.30%

High EDF

−2.24%

−2.03%

−1.95%

−1.95%

−2.08%

1.47%

1.19%

1.16%

High-Low

−4.34%

−4.12%

−4.09%

−4.17%

−4.46%

0.34%

0.00%

−0.04%

Panel E

BETA-CRSP VW Only

Low Beta

1.08%

1.11%

1.15%

1.16%

1.20%

1.29%

1.28%

1.27%

2

1.13%

1.17%

1.18%

1.20%

1.22%

1.37%

1.34%

1.34%

3

1.19%

1.18%

1.19%

1.26%

1.29%

1.42%

1.36%

1.40%

4

1.21%

1.24%

1.26%

1.27%

1.27%

1.37%

1.38%

1.31%

5

1.22%

1.27%

1.23%

1.29%

1.33%

1.42%

1.41%

1.44%

6

1.20%

1.21%

1.29%

1.32%

1.34%

1.44%

1.44%

1.37%

7

1.15%

1.14%

1.18%

1.24%

1.29%

1.40%

1.37%

1.37%

8

1.07%

1.12%

1.11%

1.13%

1.28%

1.29%

1.33%

1.32%

9

1.08%

1.11%

1.14%

1.20%

1.35%

1.25%

1.24%

1.18%

High Beta

1.28%

1.30%

1.33%

1.44%

1.54%

1.13%

1.21%

1.15%

High-Low

0.21%

0.19%

0.17%

0.28%

0.34%

−0.16%

−0.07%

−0.13%