Table 5 Comparison of size and value... | Emerald Publishing

Table 5

Comparison of size and value effect

Explanatory variables	Portfolio	α(Intercept)	β (market risk)	s(Size)	h(Value)	R²	Adj R²
Mkt + SMB	S/L	−0.55** (−2.07)	0.93*** (15.85)	0.50*** (5.59)		0.74	0.74
	S/M	−0.21 (−1.17)	1.07*** (26.6)	0.39*** (6.33)		0.88	0.88
	S/H	0.80*** (3.22)	1.00*** (17.94)	0.66*** (7.85)		0.81	0.80
	B/L	0.10 (0.73)	0.85*** (29.51)	−0.51*** (−11.84)		0.85	0.84
	B/M	0.04 (0.34)	0.95*** (39.42)	−0.50*** (−13.77)		0.91	0.91
	B/H	−0.18 (−1.07)	1.23*** (34.59)	−0.50*** (−9.21)		0.89	0.89
Mkt + HML	S/L	−0.51** (−2.61)	1.26*** (30.54)		−0.70*** (−13.36)	0.86	0.85
	S/M	−0.47** (−2.39)	1.18*** (28.35)		0.06 (1.03)	0.85	0.85
	S/H	0.05 (0.26)	1.02*** (24.78)		0.72*** (13.85)	0.88	0.88
	B/L	0.54*** (3.53)	0.76*** (23.52)		−0.28*** (−6.75)	0.77	0.77
	B/M	0.40** (2.57)	0.82*** (25.45)		−0.11** (−2.60)	0.81	0.81
	B/H	−0.03 (−0.13)	0.99*** (27.77)		0.32*** (7.00)	0.87	0.87

Explanatory variables	Portfolio	α(Intercept)	β (market risk)	s(Size)	h(Value)	R²	Adj R²
Mkt + SMB	S/L	−0.55** (−2.07)	0.93*** (15.85)	0.50*** (5.59)		0.74	0.74
	S/M	−0.21 (−1.17)	1.07*** (26.6)	0.39*** (6.33)		0.88	0.88
	S/H	0.80*** (3.22)	1.00*** (17.94)	0.66*** (7.85)		0.81	0.80
	B/L	0.10 (0.73)	0.85*** (29.51)	−0.51*** (−11.84)		0.85	0.84
	B/M	0.04 (0.34)	0.95*** (39.42)	−0.50*** (−13.77)		0.91	0.91
	B/H	−0.18 (−1.07)	1.23*** (34.59)	−0.50*** (−9.21)		0.89	0.89
Mkt + HML	S/L	−0.51** (−2.61)	1.26*** (30.54)		−0.70*** (−13.36)	0.86	0.85
	S/M	−0.47** (−2.39)	1.18*** (28.35)		0.06 (1.03)	0.85	0.85
	S/H	0.05 (0.26)	1.02*** (24.78)		0.72*** (13.85)	0.88	0.88
	B/L	0.54*** (3.53)	0.76*** (23.52)		−0.28*** (−6.75)	0.77	0.77
	B/M	0.40** (2.57)	0.82*** (25.45)		−0.11** (−2.60)	0.81	0.81
	B/H	−0.03 (−0.13)	0.99*** (27.77)		0.32*** (7.00)	0.87	0.87

Note(s): ***, **, * indicates significant at 1%, 5%, and 10% level, respectively. t-values are shown in parentheses

Source(s): Authors' own work