Panel A. Sub period of Jan. 1992 to Dec. 1996

Market portfolio

Small-Low B/M

Small-Middle B/M

Beta

1.000

1.060

1.010

Return

1.724

−3.216

−0.226

Small-High B/M

Big-Low B/M

Big-Middle B/M

Big-High B/M

Beta

1.074

0.985

0.981

0.977

Return

2.112

0.094

1.264

6.572

Panel B. Sub period of Jan. 1997 to Dec. 2001

Market portfolio

Small-Low B/M

Small-Middle B/M

Beta

1.000

1.227

0.997

Return

−5.358

−9.940

−10.336

Small-High B/M

Big-Low B/M

Big-Middle B/M

Big-High B/M

Beta

0.981

1.083

0.847

0.946

Return

−7.578

−6.138

−3.802

−0.638

Panel C. Sub period of Jan. 2002 to Dec. 2006

Market portfolio

Small-Low B/M

Small-Middle B/M

Beta

1.000

1.181

0.977

Return

14.682

14.748

19.798

Small-High B/M

Big-Low B/M

Big-Middle B/M

Big-High B/M

Beta

0.955

0.977

0.952

0.953

Return

22.792

8.548

16.744

19.202

Panel D. Sub period of Jan. 2007 to Dec. 2011

Market portfolio

Small-Low B/M

Small-Middle B/M

Beta

1.000

1.020

0.872

Return

−3.720

−5.482

−1.258

Small-High B/M

Big-Low B/M

Big-Middle B/M

Big-High B/M

Beta

0.814

1.011

0.995

0.967

Return

3.860

−3.982

−4.822

−2.086

Panel E. Sub period of Jan. 2012 to Dec. 2016

Market portfolio

Small-Low B/M

Small-Middle B/M

Beta

1.000

1.021

0.885

Return

9.620

16.022

13.354