Panel A: time-series regression of six value-weighted Size-B/P portfolios | ||||||
Book-to-price (B/P) ratio | ||||||
L | M | H | L | M | H | |
a | t(a) | |||||
S | 0.0113 | 0.0113 | 0.0112 | 7.4842 | 4.5837 | 6.1412 |
B | 0.0123 | 0.0092 | 0.0123 | 6.2322 | 3.3146 | 6.4849 |
b | t(b) | |||||
S | 0.8979 | 0.9231 | 0.9059 | 32.6701 | 27.0157 | 32.2014 |
B | 0.8504 | 1.0340 | 0.8424 | 27.3918 | 22.4104 | 22.1472 |
s | t(s) | |||||
S | 0.9057 | 0.8874 | 0.8548 | 27.9738 | 15.5660 | 19.8422 |
B | −0.1441 | −0.1149 | −0.0931 | −3.4693 | −1.3686 | −2.7201 |
h | t(h) | |||||
S | −0.4025 | −0.3497 | −0.0262 | −5.0751 | −4.3756 | −0.4383 |
B | −0.9630 | −0.4761 | 0.6607 | −15.1937 | −5.5671 | 7.1594 |
Adj. R-square | Residual standard error | |||||
S | 0.9803 | 0.9782 | 0.9746 | 0.0114 | 0.0120 | 0.0119 |
B | 0.9623 | 0.9545 | 0.9542 | 0.0122 | 0.0147 | 0.0130 |
Panel B: time-series regression of six value-weighted Size-OP portfolios | ||||||
Profitability | ||||||
W | N | R | W | N | R | |
a | t(a) | |||||
S | 0.0038 | 0.0042 | −0.0022 | 1.3466 | 0.7791 | −0.5303 |
B | 0.0000 | 0.0027 | 0.0010 | −0.0179 | 1.5449 | 0.3059 |
b | t(b) | |||||
S | 0.9236 | 0.9733 | 1.0657 | 24.3001 | 17.2826 | 17.4507 |
B | 1.0967 | 0.9896 | 1.1164 | 19.0453 | 34.3179 | 20.3752 |
s | t(s) | |||||
S | 1.0674 | 0.8611 | 0.7540 | 7.9772 | 5.1362 | 5.5995 |
B | 0.4230 | 0.3508 | −0.1688 | 3.8493 | 7.9956 | −1.5525 |
h | t(h) | |||||
S | −0.2302 | −0.5825 | −0.4059 | −1.8362 | −3.4193 | −2.2086 |
B | −0.1523 | −0.4188 | −0.7060 | −1.3302 | −4.9840 | −6.5449 |
Adj. R-square | Residual standard error | |||||
S | 0.9456 | 0.9158 | 0.8514 | 0.0200 | 0.0261 | 0.0356 |
B | 0.9520 | 0.9698 | 0.9388 | 0.0174 | 0.0127 | 0.0188 |
Panel C: time-series regressions of six value-weighted Size-Inv portfolios | ||||||
Investment | ||||||
C | N | A | C | N | A | |
a | t(a) | |||||
S | −0.0002 | 0.0024 | −0.0015 | −0.1061 | 1.1784 | −0.7269 |
B | −0.0025 | 0.0000 | −0.0038 | −1.3087 | 0.0310 | −2.4503 |
b | t(b) | |||||
S | 0.9521 | 0.9745 | 0.9667 | 34.0437 | 37.7947 | 50.2415 |
B | 1.0796 | 1.0393 | 1.0323 | 26.3027 | 37.0603 | 31.6716 |
s | t(s) | |||||
S | 1.1180 | 0.9787 | 1.0170 | 19.8524 | 22.2040 | 16.8657 |
B | 0.5370 | 0.3491 | 0.3535 | 8.8230 | 7.1627 | 5.0630 |
h | t(h) | |||||
S | −0.2089 | −0.4312 | −0.3873 | −2.3319 | −5.7192 | −3.2013 |
B | −0.1090 | −0.3505 | −0.6595 | −0.9868 | −4.6239 | −7.1360 |
Adj. R-square | Residual standard error | |||||
S | 0.9701 | 0.9778 | 0.9508 | 0.0151 | 0.0131 | 0.0197 |
B | 0.9595 | 0.9742 | 0.9621 | 0.0160 | 0.0121 | 0.0155 |