Size | Book-to-market quintiles | ||||||||||
Quintile | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
H0:β1 = β2 = β3 = β4 = β5 = 0 |
| H0:β0 = 0 | |||||||||
Small | 0* | 0* | 0* | 0* | 0* | 0* | 0.08 | 0.95 | 1.00 | 0.31 | |
2 | 0* | 0* | 0* | 0* | 0* | 0.13 | 0.19 | 0* | 0.58 | 0* | |
3 | 0* | 0* | 0* | 0* | 0* | 0.46 | 0.17 | 0* | 1.00 | 1.00 | |
4 | 0* | 0* | 0* | 0* | 0* | 0.01* | 0.24 | 0.57 | 0.36 | 0* | |
Big | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0.44 | 0.65 | 0* | |
H0:β1 = 0 |
| H0:β2 = 0 | |||||||||
Small | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
2 | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
3 | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
4 | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
Big | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0.20 | |
H0:β3 = 0 |
| H0:β4 = 0 | |||||||||
Small | 0* | 0.03* | 0* | 0* | 0* | 0* | 0* | 1.00 | 0* | 0* | |
2 | 0* | 0.57 | 0* | 0* | 0* | 0* | 0.96 | 0* | 0* | 0* | |
3 | 0* | 0* | 0* | 0* | 0* | 0* | 0.01* | 0* | 0.01* | 0* | |
4 | 0* | 0* | 0* | 0* | 0* | 0* | 0.91 | 0* | 0.53 | 0* | |
Big | 0* | 1.00 | 0* | 0* | 0* | 0* | 0* | 0.64 | 0* | 1.00 | |
H0:β5 = 0 |
| H0:b = c = 0 | |||||||||
Small | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
2 | 0* | 0.08 | 0* | 0* | 0* | 0* | 0* | 0* | 0.04* | 0.01* | |
3 | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
4 | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
Big | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | 0* | |
H0:a = 0 |
| H0:b = 0 | |||||||||
Small | 0* | 0* | 0* | 0* | 0* |
| 0* | 0* | 0* | 1.00 | 0* |
2 | 0* | 0* | 0* | 0* | 0* |
| 0.02* | 0* | 0* | 0.05 | 0* |
3 | 0* | 0* | 0* | 0* | 0* |
| 0* | 0* | 0* | 0* | 1.00 |
4 | 0* | 0* | 0* | 0* | 0* |
| 0* | 0* | 0* | 0* | 0* |
Big | 0* | 0* | 0* | 0* | 0* |
| 1.00 | 1.00 | 0* | 0* | 0* |
H0:c = 0 |
| H0:α = 0.5,p1 = p2 = 2 | |||||||||
Small | 0* | 1.00 | 0* | 0* | 0* |
| 0* | 0* | 0* | 0* | 0* |
2 | 0* | 1.00 | 0* | 1.00 | 0* |
| 0* | 0* | 0.05 | 0.01* | 0* |
3 | 0* | 0* | 0* | 1.00 | 0* |
| 0.02* | 0* | 0* | 0* | 0* |
4 | 0* | 1.00 | 1.00 | 0.95 | 0* |
| 0* | 0* | 0* | 0* | 0.04* |
Big | 0* | 0* | 0* | 0* | 0* |
| 0.35 | 0.37 | 0* | 0.23 | 0* |
H0:α = 0.5 |
| H0:p1 = p2 = 2 | |||||||||
Small | 0.57 | 0.01* | 0.17 | 0.62 | 0.08 |
| 0.02* | 0* | 0.01* | 0* | 0* |
2 | 0.47 | 0.06 | 0.40 | 0.46 | 0.01* |
| 0* | 0* | 0.02* | 0* | 0* |
3 | 0.07 | 0.04* | 0* | 0* | 0.18 |
| 0.01* | 0* | 0* | 0* | 0* |
4 | 0.02* | 0.08 | 0.03* | 0.69 | 0.42 |
| 0* | 0* | 0* | 0* | 0.04* |
Big | 1.00 | 0.52 | 0.14 | 0.46 | 0.33 |
| 0.20 | 0.21 | 0* | 0.13 | 0* |
H0:p1 = 2 |
| H0:p2 = 2 | |||||||||
Small | 0.35 | 0.01* | 0.40 | 1.00 | 0.01* |
| 0.48 | 0* | 0.02* | 0* | 0.16 |
2 | 0.01* | 0.52 | 0.15 | 0.06 | 0* |
| 0* | 0* | 0.13 | 0.28 | 1.00 |
3 | 0* | 0.07 | 0.80 | 1.00 | 0.52 |
| 0.68 | 0* | 0* | 0* | 0* |
4 | 0.86 | 0* | 0.18 | 0.04* | 0.14 |
| 0* | 0.12 | 0* | 0.37 | 0.35 |
Big | 0.44 | 0.95 | 0.49 | 0.21 | 0.02* |
| 0.31 | 0.15 | 0.01* | 0.90 | 0.23 |