| Book to Market Equity (BE/ME) | |||||||
| Slope (RP) | p-value | ||||||
| Low | Medium | High | Low | Medium | High | ||
| Size | Small (S) | 0.218*** | 0.042*** | 0.489*** | 0.000 | 0.000 | 0.000 |
| Medium (M) | 0.216** | 0.038*** | 0.058 | 0.000 | 0.000 | 0.000 | |
| Big (B) | 0.239 | 0.471 | 0.057 | 0.000 | 0.000 | 0.000 | |