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 |