| Size | Book-to-market quintiles | ||||
| Quintile | Low | 2 | 3 | 4 | High |
|
| CAPM-SSAEPD-EGARCH | ||||
| Small | 6.33# | 5.86# | 5.63# | 5.50# | 5.75# |
| 2 | 5.46# | 5.05# | 4.92# | 5.03# | 5.51# |
| 3 | 4.91# | 4.50# | 4.54# | 4.65# | 5.35# |
| 4 | 4.16# | 3.91# | 4.11# | 4.58# | 5.30# |
| Big | 3.65 | 3.50# | 4.02# | 4.46# | 5.55# |
|
| CAPM-EGARCH | ||||
| Small | 6.45 | 5.93 | 5.67 | 5.61 | 5.87 |
| 2 | 5.51 | 5.13 | 4.97 | 5.09 | 5.59 |
| 3 | 4.97 | 4.53 | 4.55 | 4.67 | 5.43 |
| 4 | 4.19 | 3.93 | 4.17 | 4.62 | 5.36 |
| Big | 3.64# | 3.53 | 4.05 | 4.53 | 5.74 |
|
| CAPM-SSAEPD | ||||
| Small | 6.52 | 6.04 | 5.85 | 5.58 | 5.77 |
| 2 | 5.57 | 5.14 | 5.00 | 5.11 | 5.61 |
| 3 | 4.98 | 4.55 | 4.56 | 4.81 | 5.47 |
| 4 | 4.32 | 4.04 | 4.28 | 4.70 | 5.52 |
| Big | 3.66 | 3.60 | 4.20 | 4.73 | 5.74 |