Table 5 Results Portfolio... | Emerald Publishing

Table 5

Results Portfolio small-capitalization firms before, during and after the 2008–2009 financial crisis

Variables	Before and during financial crisis June 1997–May 2010							After financial crisis June 2010–January 2018
	High book value (SH)		Med book value (SM)		Low book value (SL)			High book value (SH)		Med book value (SM)		Low book value (SL)
	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	−0.41 (0.37)	−0.74 (0.28)	−0.67 (0.13)	−0.21 (0.75)	−0.36 (0.42)	0.92 (0.16)	−0.38 (0.24)		2.14*** (0.06)	−0.72 (0.06)	−3.39** (0.02)	−0.72** (0.06)	0.21 (0.85)
Risk premium ${RM}_{t} - {rf}_{t}$	1.01* (0.00)	1.03* (0.00)	0.90* (0.00)	0.87* (0.00)	0.98* (0.00)	0.88* (0.00)	0.95* (0.00)		1.12* (0.00)	0.76* (0.00)	0.55* (0.00)	0.76* (0.00)	1.04* (0.00)
SMB	1.34* (0.00)	1.39* (0.00)	0.74* (0.00)	0.68* (0.00)	0.66* (0.00)	0.56* (0.00)	1.09* (0.00)		1.19* (0.00)	0.80* (0.00)	0.56* (0.00)	0.80* (0.00)	0.86* (0.00)
HML	0.42* (0.00)	0.42* (0.00)	0.13* (0.00)	0.16* (0.00)	−0.25* (0.00)	−0.25* (0.00)	0.31* (0.00)		0.35* (0.00)	0.15* (0.00)	0.12** (0.01)	−0.15* (0.00)	−0.06*** (0.09)
Long-term risk premium		0.14 (0.54)		0.18 (0.43)		−0.17 (0.47)			−0.47*** (0.03)		−0.42 (0.12)		0.04 (0.84)
Country risk		0.09 (0.75)		−0.40 (0.18)		−0.63** (0.03)			−0.45 (0.26)		0.11 (0.82)		0.12 (0.76)
IGAE		−0.61 (0.13)		0.16 (0.68)		0.40 (0.32)			−0.19 (0.56)		−0.10 (0.79)		0.69** (0.04)
Exchange rate		0.29** (0.04)		−0.06 (0.65)		−0.28** (0.04)			0.37* (0.00)		−0.28** (0.02)		−0.21** (0.02)
Inflation rate		−0.96 (0.38)		−0.15 (0.88)		−0.86 (0.44)			−1.22 (1.11)		1.99** (0.04)		−0.13 (0.86)
SPY500		0.02 (0.74)		−0.11 (0.16)		0.06 (0.41)			−0.16** (0.02)		0.17** (0.04)		−0.01 (0.94)
R2	0.92	0.93	0.88	0.88	0.87	0.88	0.81		0.85	0.63	0.64	0.72	0.79
N	156	156	156	156	156	156	92		92	92	92	92	92
Breusch–Pagan test	0.33	0.16	0.08	0.83	0.71	0.21	0.43		0.74	0.31	0.50	0.10	0.11

Variables	Before and during financial crisisJune 1997–May 2010							After financial crisisJune 2010–January 2018
	High book value (SH)		Med book value (SM)		Low book value (SL)			High book value (SH)		Med book value (SM)		Low book value (SL)
	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	−0.41 (0.37)	−0.74 (0.28)	−0.67 (0.13)	−0.21 (0.75)	−0.36 (0.42)	0.92 (0.16)	−0.38 (0.24)		2.14*** (0.06)	−0.72 (0.06)	−3.39** (0.02)	−0.72** (0.06)	0.21 (0.85)
Risk premium ${RM}_{t} - {rf}_{t}$	1.01* (0.00)	1.03* (0.00)	0.90* (0.00)	0.87* (0.00)	0.98* (0.00)	0.88* (0.00)	0.95* (0.00)		1.12* (0.00)	0.76* (0.00)	0.55* (0.00)	0.76* (0.00)	1.04* (0.00)
SMB	1.34* (0.00)	1.39* (0.00)	0.74* (0.00)	0.68* (0.00)	0.66* (0.00)	0.56* (0.00)	1.09* (0.00)		1.19* (0.00)	0.80* (0.00)	0.56* (0.00)	0.80* (0.00)	0.86* (0.00)
HML	0.42* (0.00)	0.42* (0.00)	0.13* (0.00)	0.16* (0.00)	−0.25* (0.00)	−0.25* (0.00)	0.31* (0.00)		0.35* (0.00)	0.15* (0.00)	0.12** (0.01)	−0.15* (0.00)	−0.06*** (0.09)
Long-term risk premium		0.14 (0.54)		0.18 (0.43)		−0.17 (0.47)			−0.47*** (0.03)		−0.42 (0.12)		0.04 (0.84)
Country risk		0.09 (0.75)		−0.40 (0.18)		−0.63** (0.03)			−0.45 (0.26)		0.11 (0.82)		0.12 (0.76)
IGAE		−0.61 (0.13)		0.16 (0.68)		0.40 (0.32)			−0.19 (0.56)		−0.10 (0.79)		0.69** (0.04)
Exchangerate		0.29** (0.04)		−0.06 (0.65)		−0.28** (0.04)			0.37* (0.00)		−0.28** (0.02)		−0.21** (0.02)
Inflation rate		−0.96 (0.38)		−0.15 (0.88)		−0.86 (0.44)			−1.22 (1.11)		1.99** (0.04)		−0.13 (0.86)
SPY500		0.02 (0.74)		−0.11 (0.16)		0.06 (0.41)			−0.16** (0.02)		0.17** (0.04)		−0.01 (0.94)
R2	0.92	0.93	0.88	0.88	0.87	0.88	0.81		0.85	0.63	0.64	0.72	0.79
N	156	156	156	156	156	156	92		92	92	92	92	92
Breusch–Pagan test	0.33	0.16	0.08	0.83	0.71	0.21	0.43		0.74	0.31	0.50	0.10	0.11

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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