| Book to Market Equity (BE/ME) | |||||||
| Slope (SMB) | p-value | ||||||
| Low | Medium | High | Low | Medium | High | ||
| Size | Small (S) | 0.256* | 0.031 | −0.033*** | 0.000 | 0.026 | 0.017 |
| Medium (M) | −0.210 | 0.068 | 0.007*** | 0.000 | 0.000 | 0.087 | |
| Big (B) | 0.712 | 0.012 | −0.449*** | 0.000 | 0.024 | 0.000 | |