Panel A. Size2/BM5 Portfolio | Panel B. Size2/OP5 Portfolio | ||||
High HML loading regime | High HML loading regime | ||||
| Estimates | p-value |
| Estimates | p-value |
Intercept HML | 0.6015** 1.8977*** | 0.0295 0.0000 | Intercept HML | 0.9891*** 1.4130*** | 0.0012 0.0000 |
Low HML loading regime | Low HML loading regime | ||||
| Estimates | p-value |
| Estimates | p-value |
Intercept HML | 0.6521 −0.0014 | 0.2708 0.9926 | Intercept HML | 1.1690** −0.7112*** | 0.0469 0.0000 |
lnσ | 1.4235*** | 0.0000 | Lnσ | 1.5047*** | 0.0000 |
LL | −932.9821 | LL | −959.7233 | ||
Panel C. Size2/Inv2 Portfolio | Panel D. Size1/Mom5 Portfolio | ||||
High HML loading regime | High HML loading regime | ||||
| Estimates | p-value |
| Estimates | p-value |
Intercept HML | 0.7191** 1.4983*** | 0.0179 0.0000 | Intercept HML | 1.3288*** 1.1133*** | 0.0000 0.0000 |
Low HML loading regime | Low HML loading regime | ||||
| Estimates | p-value |
| Estimates | p-value |
Intercept HML | 0.6019 −0.1457 | 0.2675 0.3341 | Intercept HML | 3.3594*** −1.0502*** | 0.0000 0.0000 |
lnσ | 1.4026*** | 0.0000 | lnσ | 1.5001*** | 0.0000 |
LL | −925.5339 | LL | −956.2988 |