00Thaler_FM i-xxvi.qxd

Table

8.7 (

cont.

)

Panel 1B

V

alue-

Glamour

Value

Glamour

B/M

1

2

3

4

5

6

7

8

9

10

Index (9, 10 – 1, 2) t-Statistic

W

25

−0.112

−0.110

−0.104

−0.100

−0.097

−0.091

−0.093

−0.092

−0.098

−0.102

−0.102

0.011

1.802

N

88

−0.029

−0.028

−0.026

−0.025

−0.023

−0.020

−0.021

−0.020

−0.018

−0.022

−0.023

0.008

2.988

P^122

0.038

0.040

0.039

0.037

0.036

0.037

0.038

0.037

0.038

0.039

0.037

−0.001

−0.168

B^25

0.114

0.114

0.119

0.113

0.112

0.113

0.117

0.126

0.133

0.148

0.121

0.026

1.729

Panel 2: Portfolio Returns across Best and Worst GNP Growth Quarters

Panel 2A

Glamour

Value

C/P

1

1

1

2

2

2

3

3

3

Value-Glamour

GS

1

2

3

1

2

3

1

2

3

GNP

(1, 3 -3, 1)

t-Statistic

W

orst 10

0.032

0.014

−0.009

0.037

0.016

0.013

0.041

0.020

0.008

−0.017

0.050

2.485

Next worst 34

0.021

0.010

0.011

0.018

0.014

0.011

0.027

0.023

0.012

0.000

0.016

1.473

Next best 34

0.026

0.029

0.026

0.040

0.033

0.029

0.046

0.046

0.034

0.012

0.020

2.176

Best 10

0.122

0.107

0.103

0.140

0.123

0.123

0.139

0.133

0.136

0.031

0.036

1.786

Panel 2B

Value-

Glamour

Value

Glamour

B/M

1

2

3

4

5

6

7

8

9

10

GNP

(9, 10 -1, 2) t-Statistic

W

orst 10

−0.004

0.001

0.012

0.018

0.009

0.016

0.017

0.028

0.021

0.015

−0.017

0.020

0.983

Next worst 34

0.011

0.008

0.011

0.009

0.008

0.010

0.010

0.016

0.017

0.012

0.000

0.005

0.494

Next best 34

0.022

0.028

0.027

0.025

0.030

0.035

0.036

0.035

0.041

0.039

0.012

0.015

1.555

Best 10

0.092

0.102

0.118

0.117

0.117

0.135

0.132

0.141

0.145

0.151

0.031

0.051

2.685