Panel A：市值加权投资组合
	(1)	(2)	(3)	(4)	(5)
Rank	Return	CAPM-α	FF3-α	FFC4-α	FF5-α
Low	0.0069	0.0044	0.0043	0.0052	0.0050
2	0.0073	0.0041	0.0042	0.0052	0.0102
3	0.0077	0.0033	0.0020	0.0030	−0.0192
4	0.0035	0.0016	0.0003	0.0008	−0.0143
High	−0.0022	−0.0144	−0.0167	−0.0173	−0.0297
High-Low	−0.0091**	−0.0234**	−0.0257**	−0.0252**	−0.0217**
High-Low	(−2.06)	(−2.00)	(−2.17)	(−2.25)	(−2.01)
Rank	Panel B：等权投资组合
Rank	Return	CAPM-α	FF3-α	FFC4-α	FF5-α
Low	0.0139	0.0005	0.0003	0.0013	−0.0004
2	0.0138	0.0004	−0.0003	0.0011	0.0100
3	0.0122	−0.0003	−0.0016	−0.0005	−0.0244
4	0.0087	−0.0038	−0.0059	−0.0051	−0.0275
High	−0.0008	−0.0189	−0.0215	−0.0219	−0.0443
High-Low	−0.0147***	−0.0239***	−0.0265***	−0.0259***	−0.0241***
High-Low	(−5.49)	(−3.71)	(−3.76)	(−3.59)	(−3.17)