Size

Book-to-market quintiles

Quintile

Low

2

3

4

High

Low

2

3

4

High

FF5-SSAEPD-GARCH^a

FF5-Normal^b

Small

0.71

0.50

0.91

0*

0.28

0*

0*

0*

0.01*

0*

2

0.98

1.00

0*

0.94

0.76

0*

0.07

0.13

0.06

0.01*

3

0.67

0.87

0.17

0.46

0*

0*

0*

0*

0*

0*

4

0.81

0.93

0.19

0.96

0.92

0*

0*

0*

0*

0*

Big

0*

0*

0.82

0.74

0.17

0.79

0*

0*

0*

0*