| 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 | ||