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 | −3.31 | 1.61 | 0.17 | 2.12 | 1.99 | |
2 | −0.11 | −0.10 | 0.05 | −0.00 | −0.04 | −1.73 | −1.88 | 0.95 | −0.04 | −0.64 | |
3 | 0.02 | −0.01 | −0.07 | −0.02 | 0.05 | 0.40 | −0.10 | −1.06 | −0.25 | 0.60 | |
4 | 0.18 | −0.23 | −0.13 | 0.05 | −0.09 | 2.73 | −3.29 | −1.81 | 0.73 | −1.09 | |
Big | 0.12 | −0.11 | −0.10 | −0.15 | −0.09 | 2.50 | −1.82 | −1.39 | −2.33 | −0.93 | |
h |
| t(h) | |||||||||
Small | −0.43 | −0.14 | 0.10 | 0.27 | 0.52 | −10.11 | −4.38 | 3.90 | 10.12 | 17.55 | |
2 | −0.46 | −0.01 | 0.29 | 0.43 | 0.69 | −15.22 | −0.45 | 11.77 | 16.78 | 24.44 | |
3 | −0.43 | 0.12 | 0.37 | 0.52 | 0.67 | −14.70 | 3.71 | 12.28 | 17.07 | 18.75 | |
4 | −0.46 | 0.09 | 0.38 | 0.52 | 0.80 | −15.18 | 2.76 | 11.03 | 15.88 | 20.26 | |
Big | −0.31 | 0.03 | 0.26 | 0.62 | 0.85 | −14.12 | 1.09 | 7.54 | 21.05 | 18.74 | |
r |
| t(r) | |||||||||
Small | −0.58 | −0.34 | 0.01 | 0.11 | 0.12 | −13.26 | −10.56 | 0.31 | 3.89 | 3.95 | |
2 | −0.21 | 0.13 | 0.27 | 0.26 | 0.21 | −6.75 | 4.89 | 10.35 | 9.86 | 7.04 | |
3 | −0.21 | 0.22 | 0.33 | 0.28 | 0.33 | −6.99 | 6.77 | 10.36 | 8.98 | 8.88 | |
4 | −0.19 | 0.27 | 0.28 | 0.14 | 0.25 | −6.06 | 7.75 | 7.99 | 4.16 | 6.14 | |
Big | 0.13 | 0.25 | 0.07 | 0.23 | 0.02 | 5.64 | 8.79 | 2.07 | 7.62 | 0.49 | |
c |
| t(c) | |||||||||
Small | −0.57 | −0.12 | 0.19 | 0.39 | 0.62 | −12.27 | −3.46 | 6.59 | 13.15 | 19.10 | |
2 | −0.59 | 0.06 | 0.31 | 0.55 | 0.72 | −17.76 | 1.94 | 11.27 | 19.39 | 22.92 | |
3 | −0.67 | 0.13 | 0.42 | 0.64 | 0.78 | −20.59 | 3.64 | 12.52 | 18.97 | 19.62 | |
4 | −0.51 | 0.31 | 0.51 | 0.60 | 0.79 | −15.11 | 8.33 | 13.35 | 16.41 | 18.03 | |
Big | −0.39 | 0.26 | 0.41 | 0.66 | 0.73 | −16.08 | 8.38 | 10.80 | 19.88 | 14.54 |