Book to Market Equity (BE/ME)

Slope (HML)

p-value

Low

Medium

High

Low

Medium

High

Size

Small (S)

−0.018

−0.030

−0.641

0.122

0.008

0.000

Medium (M)

−0.218

−0.040

−0.082

0.000

0.001

0.000

Big (B)

−0.718

−0.019

−0.131

0.000

0.110

0.000