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