Table 7 Portfolio properties Excess... | Emerald Publishing

Table 7

Portfolio properties

	Excess Return	Market Beta	Size	BM
Small size	7.81	0.47	96.13	3.79
Size-2	2.91	0.50	370.17	2.19
Size-3	4.37	0.57	958.64	1.40
Size-4	10.19	0.65	3369.34	1.35
Large-Size	9.62	0.89	18396.03	0.70
Low-BM	8.23	0.67	6690.14	0.36
BM-2	7.18	0.66	2021.83	0.72
BM-3	7.96	0.64	1141.33	1.22
BM-4	3.61	0.56	613.78	1.98
High BM	7.62	0.58	218.50	4.80
Low MMT	5.81	0.61	511.75	2.33
MMT-2	9.35	0.60	968.11	1.80
MMT-3	8.30	0.66	1598.60	1.63
MMT-4	7.79	0.60	1775.87	1.48
High MMT	3.89	0.64	1585.16	1.82

	Excess Return	Market Beta	Size	BM
Small size	7.81	0.47	96.13	3.79
Size-2	2.91	0.50	370.17	2.19
Size-3	4.37	0.57	958.64	1.40
Size-4	10.19	0.65	3369.34	1.35
Large-Size	9.62	0.89	18396.03	0.70
Low-BM	8.23	0.67	6690.14	0.36
BM-2	7.18	0.66	2021.83	0.72
BM-3	7.96	0.64	1141.33	1.22
BM-4	3.61	0.56	613.78	1.98
High BM	7.62	0.58	218.50	4.80
Low MMT	5.81	0.61	511.75	2.33
MMT-2	9.35	0.60	968.11	1.80
MMT-3	8.30	0.66	1598.60	1.63
MMT-4	7.79	0.60	1775.87	1.48
High MMT	3.89	0.64	1585.16	1.82

Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream