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% |