Table 4 Results portfolio small- and...

Table 4

Results portfolio small- and big-capitalization firms’ period: June 1997 to January 2018

Variables	Small						Big
	High book value (SH)		Med book value (SM)		Low book value (SL)		High book value (BH)		Med book value (BM)		Low book value (BL)
	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM
C	−0.32 (0.25)	−0.63 (0.21)	−0.37 (0.19)	0.20 (0.69)	−0.01 (0.95)	1.18** (0.02)	−1.53* (0.00)	0.73*** (0.10)	−0.04 (0.81)	−0.33 (0.36)	0.49*** (0.01)	0.49 (0.15)
Risk premium ${RM}_{t} - {rf}_{t}$	1.01* (0.00)	1.05* (0.00)	0.91* (0.00)	0.86* (0.00)	0.99* (0.00)	0.88* (0.00)	0.81* (0.00)	0.67* (0.00)	1.02* (0.00)	0.99* (0.00)	1.05* (0.00)	1.08* (0.00)
SMB	1.31* (0.00)	1.35* (0.00)	0.75* (0.00)	0.69* (0.00)	0.70* (0.00)	0.62* (0.00)	−0.13* (0.00)	−0.25* (0.00)	0.01 (0.65)	−0.01 (0.71)	−0.50** (0.08)	−0.00 (0.97)
HML	0.39* (0.00)	0.41* (0.00)	0.13* (0.00)	0.14* (0.00)	−0.22* (0.00)	−0.20* (0.00)	0.51* (0.00)	0.58* (0.00)	−0.07* (0.00)	−0.07* (0.00)	−0.13* (0.00)	−0.14* (0.00)
Long-term risk premium		0.05 (0.76)		0.20 (0.25)		−0.10 (0.56)		0.11 (0.46)		0.25** (0.04)		−0.29** (0.02)
Country risk		0.15 (0.49)		−0.48** (0.04)		−0.65* (0.00)		−1.25* (0.00)		−0.15 (0.36)		0.27*** (0.08)
IGAE		−0.38 (0.18)		0.00 (0.99)		0.48 (0.11)		−0.06 (0.80)		0.33 (0.12)		−0.25 (0.20)
Exchange Rate		0.29* (0.00)		−0.09 (0.33)		−0.19** (0.04)		−0.03 (0.65)		−0.02 (0.74)		0.09 (0.12)
Inflation rate		−1.09 (0.14)		0.41 (0.58)		−0.19 (0.79)		0.57 (0.39)		−1.28** (0.02)		−0.23 (0.65)
SPY500		−0.02 (0.67)		−0.04 (0.43)		0.05 (0.34)		−0.02 (0.68)		0.03 (0.37)		0.07*** (0.08)
R2	0.91	0.92	0.86	0.87	0.82	0.87	0.90	0.93	0.85	0.93	0.92	0.94
N	248	248	248	248	248	248	248	248	248	248	248	248
Breusch–Pagan test	0.11	0.20	0.05	0.11	0.12	0.75	0.09	0.20	0.04	0.12	0.08	0.40

Variables	Small						Big
	High book value (SH)		Med book value (SM)		Low book value (SL)		High book value (BH)		Med book value (BM)		Low book value (BL)
	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM	Trad FFM	Ext FFM
C	−0.32 (0.25)	−0.63 (0.21)	−0.37 (0.19)	0.20 (0.69)	−0.01 (0.95)	1.18** (0.02)	−1.53* (0.00)	0.73*** (0.10)	−0.04 (0.81)	−0.33 (0.36)	0.49*** (0.01)	0.49 (0.15)
Risk premium ${RM}_{t} - {rf}_{t}$	1.01* (0.00)	1.05* (0.00)	0.91* (0.00)	0.86* (0.00)	0.99* (0.00)	0.88* (0.00)	0.81* (0.00)	0.67* (0.00)	1.02* (0.00)	0.99* (0.00)	1.05* (0.00)	1.08* (0.00)
SMB	1.31* (0.00)	1.35* (0.00)	0.75* (0.00)	0.69* (0.00)	0.70* (0.00)	0.62* (0.00)	−0.13* (0.00)	−0.25* (0.00)	0.01 (0.65)	−0.01 (0.71)	−0.50** (0.08)	−0.00 (0.97)
HML	0.39* (0.00)	0.41* (0.00)	0.13* (0.00)	0.14* (0.00)	−0.22* (0.00)	−0.20* (0.00)	0.51* (0.00)	0.58* (0.00)	−0.07* (0.00)	−0.07* (0.00)	−0.13* (0.00)	−0.14* (0.00)
Long-term risk premium		0.05 (0.76)		0.20 (0.25)		−0.10 (0.56)		0.11 (0.46)		0.25** (0.04)		−0.29** (0.02)
Country risk		0.15 (0.49)		−0.48** (0.04)		−0.65* (0.00)		−1.25* (0.00)		−0.15 (0.36)		0.27*** (0.08)
IGAE		−0.38 (0.18)		0.00 (0.99)		0.48 (0.11)		−0.06 (0.80)		0.33 (0.12)		−0.25 (0.20)
ExchangeRate		0.29* (0.00)		−0.09 (0.33)		−0.19** (0.04)		−0.03 (0.65)		−0.02 (0.74)		0.09 (0.12)
Inflation rate		−1.09 (0.14)		0.41 (0.58)		−0.19 (0.79)		0.57 (0.39)		−1.28** (0.02)		−0.23 (0.65)
SPY500		−0.02 (0.67)		−0.04 (0.43)		0.05 (0.34)		−0.02 (0.68)		0.03 (0.37)		0.07*** (0.08)
R2	0.91	0.92	0.86	0.87	0.82	0.87	0.90	0.93	0.85	0.93	0.92	0.94
N	248	248	248	248	248	248	248	248	248	248	248	248
Breusch–Pagan test	0.11	0.20	0.05	0.11	0.12	0.75	0.09	0.20	0.04	0.12	0.08	0.40

Note(s): Trad. FFM refers to Traditional FFM and Ext. FFM refers to Extended FFM

Source(s): Authors’ estimations with data obtained from Bloomberg. * denotes significance at 1%, ** at 5% and *** at 10%, respectively

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