... -0.144 0.000 0.000 Small Big 0 .35 5 -0.246 Small Big 0.9 63 0.989 βih coefficient 0.080 0.024 0.958 0.981 0.226 0.1 73 0.976 0.955 0.000 0.000 P Value 0.0 13 0.260 High 0. 130 0.964 0.000 0.000 0.001 ... Journal of Finance 61: 21 63- 2185 Fama, E F and R Roll 1971 Parameter estimates for symmetric stable distributions, Journal of the American Statistical Association 66: 33 1 -33 8 Ferson, W.E and R.H ... (B/M) groups, L (low, firms in the bottom 30 % of LSE B/M), M (Medium, middle 40% of LSE B/M), and H (high, firms in the top 30 % of LSE B/M) Table 3. 3 presents the results of the model for the...