| Panel A. July 1990 to June 1995 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 2.59 | 2.28 | 0.48 | −1.31 | 6.40 | 2.19 | 0.74 |
| SD | 28.75 | 35.93 | 34.40 | 34.74 | 31.74 | 27.90 | 27.73 |
| Risk premia | −1.84 | −2.15 | −3.95 | −5.74 | 1.97 | −2.24 | −3.69 |
| Sharpe ratio | −0.06 | −0.06 | −0.11 | −0.17 | 0.06 | −0.08 | −0.13 |
| Return premia | 0.00 | −0.31 | −2.11 | −3.90 | 3.81 | −0.40 | −1.85 |
| Panel B. July 1997 to June 2002 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | −4.86 | −7.27 | −5.78 | −2.20 | −12.38 | −3.32 | −1.86 |
| SD | 23.32 | 31.50 | 26.36 | 29.34 | 25.39 | 21.07 | 26.57 |
| Risk premia | −9.30 | −11.71 | −10.22 | −6.65 | −16.83 | −7.77 | −6.31 |
| Sharpe ratio | −0.40 | −0.37 | −0.39 | −0.23 | −0.66 | −0.37 | −0.24 |
| Return premia | 0.00 | −2.41 | −0.92 | 2.65 | −7.53 | 1.53 | 2.99 |
| Panel C. January 2002 to December 2006 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | 14.68 | 21.18 | 20.58 | 19.00 | 18.19 | 11.94 | 12.18 |
| SD | 16.43 | 20.13 | 16.84 | 21.99 | 16.60 | 15.62 | 17.11 |
| Risk premia | 12.39 | 18.88 | 18.29 | 16.70 | 15.89 | 9.65 | 9.88 |
| Sharpe ratio | 0.75 | 0.94 | 1.09 | 0.76 | 0.96 | 0.62 | 0.58 |
| Return premia | 0.00 | 6.49 | 5.90 | 4.31 | 3.51 | −2.74 | −2.51 |
| Panel D. January 2007 to December 2011 | |||||||
|
| Mkt | Small- Low INV | Small- Middle INV | Small- High INV | Big- Low INV | Big- Middle INV | Big- High INV |
| Return | −3.72 | 2.85 | 1.97 | −3.46 | −2.20 | −3.68 | −6.69 |
| SD | 16.68 | 16.30 | 15.41 | 20.73 | 16.22 | 18.61 | 18.11 |
| Risk premia | −5.00 | 1.57 | 0.69 | −4.73 | −3.48 | −4.96 | −7.96 |
| Sharpe ratio | −0.30 | 0.10 | 0.04 | −0.23 | −0.21 | −0.27 | −0.44 |
| Return premia | 0.00 | 6.57 | 5.69 | 0.26 | 1.52 | 0.04 | −2.97 |