| Panel A. July 1990 to October 2020 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 3.62 | 5.38 | 4.96 | 5.16 | 3.78 | 3.07 | 3.43 |
| SD | 19.46 | 24.13 | 21.71 | 24.38 | 20.93 | 18.98 | 20.20 |
| Risk premia | 1.08 | 2.84 | 2.42 | 2.61 | 1.24 | 0.53 | 0.89 |
| Sharpe ratio | 0.06 | 0.12 | 0.11 | 0.11 | 0.06 | 0.03 | 0.04 |
| Return premia | 0.00 | 1.76 | 1.34 | 1.53 | 0.16 | −0.55 | −0.19 |
| Panel B. July 1990 to December 2005 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 3.27 | 4.91 | 4.16 | 4.59 | 2.61 | 3.01 | 2.99 |
| SD | 23.50 | 30.19 | 27.11 | 29.10 | 25.95 | 22.20 | 24.02 |
| Risk premia | −0.64 | 0.99 | 0.24 | 0.67 | −1.31 | −0.91 | −0.92 |
| Sharpe ratio | −0.03 | 0.03 | 0.01 | 0.02 | −0.05 | −0.04 | −0.04 |
| Return premia | 0.00 | 1.64 | 0.89 | 1.32 | −0.67 | −0.27 | −0.28 |
| Panel C. January 2006 to October 2020 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 3.99 | 5.88 | 5.80 | 5.75 | 5.01 | 3.14 | 3.89 |
| SD | 14.12 | 15.54 | 14.08 | 18.27 | 13.93 | 14.95 | 15.30 |
| Risk premia | 2.88 | 4.77 | 4.69 | 4.64 | 3.89 | 2.03 | 2.78 |
| Sharpe ratio | 0.20 | 0.31 | 0.33 | 0.25 | 0.28 | 0.14 | 0.18 |
| Return premia | 0.00 | 1.89 | 1.81 | 1.76 | 1.01 | −0.86 | −0.11 |