| 样本 | 市值加权投资组合收益率(%) | 等权投资组合收益率(%) | ||||
| 1 (low) | 5 (high) | high-low | 1 (low) | 5 (high) | high-low | |
| 全样本 | 0.6926 | −0.2144 | −0.9070** | 1.3948 | −0.0769 | −2.3937 |
| (2.06) | (−3.71) | |||||
| 未披露 | 0.4584 | −2.3665 | −2.8249*** | 0.9596 | −1.4518 | −2.4113*** |
| (−5.04) | (−5.62) | |||||
| 披露 | 0.6974 | −0.1446 | −0.8420* | 1.4089 | 0.0118 | −1.3971*** |
| (−1.93) | (−5.18) | |||||