Size

Book-to-market quintiles

Quintile

Low

2

3

4

High

Low

2

3

4

High

FF5-SSAEPD-GARCH

FF5-Normal

Small

4.19*

3.60*

3.29*

3.45

3.49*

4.32

3.71

3.36

3.43

3.60

2

3.58*

3.26*

3.24*

3.29*

3.44*

3.63

3.38

3.27

3.32

3.54

3

3.54*

3.61*

3.57*

3.54*

3.96*

3.59

3.74

3.68

3.68

4.00

4

3.60*

3.76*

3.80*

3.77*

4.16*

3.67

3.85

3.93

3.82

4.18

Big

2.98*

3.53

3.77*

3.51*

4.27*

3.00

3.48

3.89

3.62

4.47