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