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 |