Panel A: time-series regressions on six Size-B/M portfolios | ||||||
Book-to-Market (B/M) ratio | ||||||
L | M | H | L | M | H | |
a | t(a) | |||||
S | −0.2123 | −0.0328 | 0.2391 | −1.2440 | −0.3040 | 1.4394 |
B | 0.0339 | −0.0369 | 0.0197 | 0.2766 | −0.2794 | 0.1673 |
b | ||||||
S | 0.9867 | 1.0036 | 0.8091 | 18.0426 | 37.3893 | 18.0305 |
B | 1.0715 | 1.1142 | 1.0577 | 30.4708 | 21.6453 | 42.6438 |
s | ||||||
S | 0.7036 | 0.7975 | 0.4312 | 13.4733 | 17.5148 | 5.5548 |
B | 0.2231 | 0.1980 | 0.1550 | 4.6577 | 3.4748 | 2.2473 |
h | ||||||
S | −0.2137 | 0.2549 | 0.3912 | −2.0573 | 4.1878 | 3.8325 |
B | −0.2152 | 0.0582 | 0.6456 | −4.9748 | 0.9063 | 9.2306 |
r | ||||||
S | −0.7327 | −0.1351 | −0.3846 | −5.4871 | −2.2599 | −3.0270 |
B | −0.1506 | −0.0322 | 0.0110 | −2.7377 | −0.3318 | 0.1531 |
c | ||||||
S | −0.3047 | −0.2155 | −0.0974 | −2.7655 | −2.3334 | −0.7657 |
B | −0.2294 | −0.0887 | −0.1666 | −2.3567 | −1.1923 | −1.4554 |
Adj. R-square | Residual standard error | |||||
S | 0.9517 | 0.9733 | 0.9084 | 1.152 | 0.7979 | 1.251 |
B | 0.967 | 0.9591 | 0.958 | 0.7727 | 0.8809 | 0.8895 |
Panel B: time-series regressions on Size-OP portfolios | ||||||
Operating profitability | ||||||
W | N | R | W | N | R | |
a | t(a) | |||||
S | −0.0188 | 0.0898 | −0.0396 | −0.3438 | 1.1708 | −0.4349 |
B | −0.0842 | 0.0989 | −0.0640 | −0.7461 | 2.2880 | −1.9871 |
b | ||||||
S | 0.9812 | 0.9853 | 1.0646 | 81.0285 | 51.1117 | 32.7726 |
B | 1.1136 | 0.9412 | 1.0298 | 27.2225 | 50.5000 | 97.2971 |
s | ||||||
S | 0.8675 | 0.9675 | 0.9317 | 33.4687 | 20.9395 | 14.3934 |
B | −0.0693 | −0.0541 | −0.1339 | −1.0857 | −1.2950 | −4.5316 |
h | ||||||
S | −0.1143 | 0.2669 | 0.2011 | −4.5007 | 6.3486 | 3.9980 |
B | 0.2443 | 0.0392 | −0.0708 | 4.5818 | 1.0984 | −2.7060 |
r | ||||||
S | −0.6348 | 0.2597 | 0.4475 | −18.4610 | 5.1374 | 9.5450 |
B | −0.5864 | −0.1016 | 0.3304 | −8.4796 | −2.7847 | 12.2607 |
c | ||||||
S | 0.0768 | −0.0627 | −0.1247 | 1.6662 | −1.0611 | −1.5351 |
B | −0.2849 | 0.1389 | −0.0839 | −3.0221 | 2.6995 | −2.0856 |
Adj. R-square | Residual standard error | |||||
S | 0.9945 | 0.9851 | 0.9826 | 0.3928 | 0.5772 | 0.629 |
B | 0.9775 | 0.9863 | 0.9903 | 0.6871 | 0.4101 | 0.3345 |
Panel C: time-series regressions on Size-Inv portfolios | ||||||
Investment | ||||||
C | N | A | C | N | A | |
a | t(a) | |||||
S | −0.0540 | 0.1144 | 0.0071 | −0.8730 | 2.3620 | 0.1573 |
B | 0.0831 | −0.0428 | 0.0259 | 1.1236 | −0.7299 | 0.4733 |
b | ||||||
S | 1.0880 | 0.9710 | 0.9681 | 81.6853 | 35.9423 | 47.1125 |
B | 0.9326 | 0.9912 | 1.0521 | 32.4959 | 48.6599 | 77.8118 |
s | ||||||
S | 0.8760 | 0.8942 | 0.9702 | 19.7427 | 26.8312 | 30.5318 |
B | −0.0835 | −0.0167 | −0.1786 | −2.1632 | −0.9118 | −5.7904 |
h | ||||||
S | −0.0163 | 0.1754 | 0.0238 | −0.3663 | 5.4018 | 0.7234 |
B | −0.0260 | 0.0615 | −0.0658 | −0.4450 | 1.3401 | −1.4661 |
r | ||||||
S | −0.2339 | 0.1339 | −0.2181 | −5.6108 | 3.5684 | −4.7274 |
B | −0.0001 | 0.0573 | −0.0174 | −0.0013 | 1.1884 | −0.3659 |
c | ||||||
S | 0.3567 | 0.1159 | −0.4264 | 5.2777 | 2.0770 | −7.7210 |
B | 0.6429 | 0.1819 | −0.5734 | 7.3145 | 3.4479 | −8.1165 |
Adj. R-square | Residual standard error | |||||
S | 0.9908 | 0.9879 | 0.9907 | 0.5122 | 0.5121 | 0.4829 |
B | 0.9764 | 0.9872 | 0.9799 | 0.5425 | 0.4094 | 0.5188 |