Size | Book-to-market quintiles | ||||||||||
Quintile | Low | 2 | 3 | 4 | High | Low | 2 | 3 | 4 | High | |
a |
| t(a) | |||||||||
Small | −0.29 | 0.11 | 0.01 | 0.12 | 0.12 | −3.28 | 1.60 | 0.14 | 2.03 | 1.95 | |
2 | −0.12 | −0.11 | 0.04 | 0.00 | −0.04 | −1.84 | −1.94 | 0.81 | 0.06 | −0.66 | |
3 | 0.02 | −0.01 | −0.06 | −0.03 | 0.05 | 0.38 | −0.20 | −0.99 | −0.40 | 0.59 | |
4 | 0.17 | −0.23 | −0.15 | 0.05 | −0.10 | 2.59 | −3.22 | −1.98 | 0.65 | −1.18 | |
Big | 0.11 | −0.10 | −0.11 | −0.15 | −0.10 | 2.49 | −1.66 | −1.55 | −2.42 | −0.99 | |
h |
| t(h) | |||||||||
Small | −0.42 | −0.14 | 0.11 | 0.28 | 0.52 | −9.92 | −4.39 | 4.07 | 10.41 | 17.90 | |
2 | −0.46 | −0.01 | 0.29 | 0.42 | 0.70 | −15.41 | −0.42 | 11.67 | 16.54 | 24.60 | |
3 | −0.43 | 0.12 | 0.37 | 0.52 | 0.67 | −14.63 | 3.81 | 12.25 | 17.15 | 18.83 | |
4 | −0.46 | 0.09 | 0.38 | 0.52 | 0.80 | −15.22 | 2.63 | 11.16 | 15.78 | 20.57 | |
Big | −0.31 | 0.03 | 0.26 | 0.62 | 0.84 | −14.29 | 1.13 | 7.68 | 20.86 | 18.56 | |
r |
| t(r) | |||||||||
Small | −0.56 | −0.33 | 0.01 | 0.11 | 0.11 | −13.00 | −10.32 | 0.34 | 3.90 | 3.74 | |
2 | −0.20 | 0.14 | 0.27 | 0.25 | 0.20 | −6.65 | 5.14 | 10.36 | 9.36 | 6.79 | |
3 | −0.20 | 0.22 | 0.32 | 0.28 | 0.32 | −6.77 | 6.77 | 10.30 | 8.83 | 8.58 | |
4 | −0.18 | 0.26 | 0.27 | 0.14 | 0.25 | −5.88 | 7.67 | 7.69 | 4.00 | 6.10 | |
Big | 0.13 | 0.24 | 0.08 | 0.22 | 0.01 | 5.86 | 8.45 | 2.29 | 7.31 | 0.23 | |
c |
| t(c) | |||||||||
Small | −0.57 | −0.11 | 0.19 | 0.39 | 0.61 | −12.36 | −3.23 | 6.70 | 13.17 | 18.98 | |
2 | −0.58 | 0.06 | 0.31 | 0.54 | 0.71 | −17.65 | 2.21 | 11.49 | 19.50 | 22.86 | |
3 | −0.66 | 0.13 | 0.42 | 0.64 | 0.77 | −20.53 | 3.83 | 12.67 | 19.13 | 19.58 | |
4 | −0.49 | 0.31 | 0.51 | 0.60 | 0.78 | −14.82 | 8.56 | 13.50 | 16.73 | 18.19 | |
Big | −0.38 | 0.25 | 0.41 | 0.65 | 0.72 | −16.04 | 8.31 | 11.15 | 20.17 | 14.50 |