Panel A: time-series regressions of six value-weighted Size-B/P portfolios | ||||||
Book-to-price (B/P) ratio | ||||||
L | M | H | L | M | H | |
a | t(a) | |||||
S | 0.0102 | 0.0105 | 0.0108 | 7.4308 | 4.4938 | 5.6696 |
B | 0.0124 | 0.0091 | 0.0118 | 6.8522 | 3.8634 | 6.4458 |
b | t(b) | |||||
S | 0.9637 | 0.9964 | 0.9703 | 41.1513 | 36.2183 | 35.8284 |
B | 0.8361 | 1.0214 | 0.8295 | 27.6969 | 28.5669 | 20.8687 |
s | t(s) | |||||
S | 1.0039 | 0.9383 | 0.8557 | 15.9153 | 16.3385 | 11.3131 |
B | −0.1946 | −0.2434 | −0.0465 | −2.8370 | −2.4971 | −0.5165 |
h | t(h) | |||||
S | −0.5849 | −0.5197 | −0.2689 | −6.2171 | −6.9004 | −3.9751 |
B | −0.9928 | −0.6007 | 0.6912 | −12.4860 | −7.2244 | 5.1532 |
r | t(r) | |||||
S | −0.0695 | −0.1448 | −0.0617 | −1.1264 | −1.9122 | −0.7331 |
B | 0.0188 | −0.0456 | 0.0110 | 0.2597 | −0.6538 | 0.1965 |
c | t(c) | |||||
S | 0.2515 | 0.1051 | 0.3064 | 2.6156 | 1.0264 | 2.3582 |
B | 0.1114 | 0.2802 | 0.0565 | 1.2338 | 3.4851 | 0.5584 |
Adj. R-square | Residual standard error | |||||
S | 0.9782 | 0.9714 | 0.9606 | 0.0120 | 0.0137 | 0.0148 |
B | 0.9625 | 0.9609 | 0.9513 | 0.0122 | 0.0136 | 0.0134 |
Panel B: time-series regressions of six Size-OP portfolios | ||||||
Operating Profitability | ||||||
W | N | R | W | N | R | |
a | t(a) | |||||
S | 0.0012 | 0.0020 | −0.0018 | 0.5498 | 0.4592 | −1.0778 |
B | −0.0009 | 0.0028 | 0.0021 | −0.5008 | 1.4503 | 0.6190 |
b | t(b) | |||||
S | 1.0075 | 1.0408 | 1.0492 | 35.8879 | 20.1490 | 31.7018 |
B | 1.1300 | 1.0253 | 1.0883 | 26.7879 | 34.3991 | 25.3012 |
s | t(s) | |||||
S | 1.1712 | 0.9800 | 1.5637 | 13.2828 | 5.5382 | 18.1679 |
B | 0.2480 | 0.2628 | −0.1445 | 2.3517 | 3.3480 | −1.1030 |
h | t(h) | |||||
S | −0.4482 | −0.7244 | −0.2020 | −4.5108 | −3.9157 | −1.9726 |
B | −0.4560 | −0.5496 | −0.7022 | −4.4978 | −5.9760 | −6.6825 |
r | t(r) | |||||
S | −0.3429 | −0.2601 | 1.1319 | −4.6763 | −2.5519 | 15.7233 |
B | −0.2265 | −0.1198 | 0.2987 | −3.5011 | −1.3591 | 3.4009 |
c | t(c) | |||||
S | 0.2644 | 0.1610 | 0.5398 | 2.4244 | 0.7310 | 4.2483 |
B | 0.4613 | 0.0414 | 0.1860 | 5.8956 | 0.3561 | 1.3955 |
Adj. R-square | Residual standard error | |||||
S | 0.9720 | 0.9301 | 0.9653 | 0.0143 | 0.0238 | 0.0172 |
B | 0.9643 | 0.9640 | 0.9486 | 0.0150 | 0.0139 | 0.0172 |
Panel C: time-series regressions of six Size-Inv portfolios | ||||||
Investment | ||||||
C | N | A | C | N | A | |
a | t(a) | |||||
S | −0.0017 | 0.0018 | −0.0016 | −1.0068 | 0.8186 | −0.9026 |
B | −0.0029 | 0.0003 | −0.0030 | −1.5573 | 0.1566 | −1.5819 |
b | t(b) | |||||
S | 1.0274 | 1.0548 | 1.0708 | 35.4151 | 33.9728 | 31.3516 |
B | 1.1116 | 1.0704 | 1.0683 | 27.7982 | 32.5243 | 27.9726 |
s | t(s) | |||||
S | 1.1998 | 1.1137 | 1.2837 | 14.5888 | 14.7519 | 18.0777 |
B | 0.4978 | 0.3165 | 0.4139 | 5.5174 | 4.7070 | 4.0713 |
h | t(h) | |||||
S | −0.5135 | −0.5369 | −0.2393 | −4.8437 | −6.2005 | −2.2282 |
B | −0.3527 | −0.4482 | −0.6269 | −3.2055 | −5.6888 | −5.9485 |
r | t(r) | |||||
S | −0.0871 | −0.0789 | −0.1329 | −0.9804 | −0.8737 | −1.3784 |
B | 0.0023 | −0.0330 | 0.0481 | 0.0249 | −0.5768 | 0.5404 |
c | t(c) | |||||
S | 0.5330 | −0.0210 | −0.7507 | 3.2129 | −0.2007 | −4.8137 |
B | 0.4623 | 0.0445 | −0.2540 | 3.7475 | 0.4260 | −1.9740 |
Adj. R-square | Residual standard error | |||||
S | 0.9739 | 0.9713 | 0.9722 | 0.0141 | 0.0149 | 0.0148 |
B | 0.9595 | 0.9680 | 0.9607 | 0.0160 | 0.0135 | 0.0157 |