00Thaler_FM i-xxvi.qxd

336 DANIEL AND TITMAN

Table 9.4

Average Book-to-Market and Size of Test Portfolios

Portfolios are formed based on size (SZ), book-to-market (B/M), and preformation
HML factor loadings. At each yearly formation date, the average size and book-to-
market for each portfolio is then calculated, using value weighting:

Then, at each point, and are divided by the median market equity (ME)
and median book-to-market for NYSE firms at that point in time. The two time se-
ries are then averaged to get the numbers that are presented in the table below.

Char Port Factor Loading Portfolio

B/M SZ 1 2 3 4 5

Panel A: Book-to-Market Relative to Median

11 0.415 0.466 0.492 0.501 0.440
12 0.404 0.453 0.487 0.501 0.505
13 0.360 0.399 0.457 0.507 0.542

21 0.980 0.991 1.013 1.017 1.011
22 0.963 0.996 1.003 1.013 1.021
23 0.949 0.975 0.998 1.027 1.025

31 1.908 1.841 1.876 1.941 2.242
32 1.624 1.725 1.708 1.732 1.890
33 1.568 1.563 1.554 1.638 1.747

Average 1.019 1.045 1.065 1.097 1.158

Panel B: Market Equity Relative to Median

11 0.239 0.262 0.255 0.251 0.212
12 1.178 1.235 1.280 1.239 1.240
13 34.716 42.269 55.325 30.111 24.842

21 0.226 0.248 0.265 0.264 0.239
22 1.194 1.171 1.197 1.205 1.204
23 23.951 41.405 27.428 25.675 21.163

31 0.173 0.207 0.227 0.237 0.205
32 1.146 1.187 1.215 1.217 1.191
33 10.615 27.661 21.152 11.626 15.288

Average 8.160 12.849 12.038 7.981 7.287

SZt BMt

SZ

ME

ME BM

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