Small-High B/M

Big-Low B/M

Big-Middle B/M

Big-High B/M

Beta

0.890

0.952

0.925

1.179

Return

12.544

8.048

9.254

11.066

Panel F. Sub period of Jan. 2017 to Dec. 2021

Market portfolio

Small-Low B/M

Small-Middle B/M

Beta

1.000

1.351

1.039

Return

8.806

10.608

9.428

Small-High B/M

Big-Low B/M

Big-Middle B/M

Big-High B/M

Beta

0.966

1.003

0.918

1.039

Return

6.732

13.620

8.174

3.878