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 | |||