| Book to Market Equity (BE/ME) | |||||||
| Mean Excess Return | Standard Deviation | ||||||
| Low (L) | Medium (M) | High (H) | Low | Medium | High | ||
| Size | Small (S) | −0.0009 | 0.0006 | 0.0044 | 0.10654 | 0.03963 | 0.23705 |
| Medium (M) | 0.0022 | −0.0014 | −0.0010 | 0.10542 | 0.03664 | 0.02831 | |
| Big (B) | 0.0043 | 0.0027 | −0.0002 | 0.23217 | 0.15311 | 0.05864 | |