Table 2 Descriptive statistics Whole... | Emerald Publishing

Table 2

Descriptive statistics

	Whole period June 1997 to January 2018				Before and during financial crisis June 1997 to May 2010				After financial crisis June 2010 to January 2018
	Mean	Max	Min	Std. dev.	Mean	Max	Min	Std. dev.	Mean	Max	Min	Std. dev.
Big firms
B/H	1.45	24.87	−38.33	7.38	1.66	24.87	−38.33	9.28	1.09	11.67	−9.01	4.42
B/M	0.81	18.96	−32.58	6.62	1.02	18.96	−32.58	7.88	0.45	7.41	−9.09	3.61
B/L	0.71	19.54	−44.08	7.53	0.97	19.54	−44.08	8.84	0.26	13.27	−23.67	4.52
Small firms
S/H	0.97	45.83	−38.53	8.81	0.98	45.83	−38.53	10.60	0.97	11.12	−10.85	4.39
S/M	1.44	22.55	−30.62	6.79	1.59	22.55	−30.62	8.13	1.17	9.21	−8.43	3.52
S/L	0.90	14.51	−30.55	5.92	0.81	14.51	−30.55	6.98	1.04	9.67	−6.37	3.50
SMB, HML and market risk premium
SMB	0.11	13.27	−15.26	4.52	−0.09	13.27	−15.26	5.37	0.46	7.15	−6.50	2.49
HML	1.13	29.26	−38.64	7.38	1.26	29.26	−38.64	8.99	0.91	14.40	−9.23	5.35
MRP	0.21	14.26	−32.20	6.39	0.34	14.26	−32.20	7.71	−0.01	7.59	−11.01	3.17

	Whole periodJune 1997 to January 2018				Before and during financial crisisJune 1997 to May 2010				After financial crisisJune 2010 to January 2018
	Mean	Max	Min	Std. dev.	Mean	Max	Min	Std. dev.	Mean	Max	Min	Std. dev.
Big firms
B/H	1.45	24.87	−38.33	7.38	1.66	24.87	−38.33	9.28	1.09	11.67	−9.01	4.42
B/M	0.81	18.96	−32.58	6.62	1.02	18.96	−32.58	7.88	0.45	7.41	−9.09	3.61
B/L	0.71	19.54	−44.08	7.53	0.97	19.54	−44.08	8.84	0.26	13.27	−23.67	4.52
Small firms
S/H	0.97	45.83	−38.53	8.81	0.98	45.83	−38.53	10.60	0.97	11.12	−10.85	4.39
S/M	1.44	22.55	−30.62	6.79	1.59	22.55	−30.62	8.13	1.17	9.21	−8.43	3.52
S/L	0.90	14.51	−30.55	5.92	0.81	14.51	−30.55	6.98	1.04	9.67	−6.37	3.50
SMB, HML and market risk premium
SMB	0.11	13.27	−15.26	4.52	−0.09	13.27	−15.26	5.37	0.46	7.15	−6.50	2.49
HML	1.13	29.26	−38.64	7.38	1.26	29.26	−38.64	8.99	0.91	14.40	−9.23	5.35
MRP	0.21	14.26	−32.20	6.39	0.34	14.26	−32.20	7.71	−0.01	7.59	−11.01	3.17

Source(s): Authors’ estimations using data from Bloomberg. MRP is equal to $R M_{t} - {rf}_{t}$ ⁠, that is, market risk minus risk-free interest rate