B/M

Low

2

3

4

High

三因子：RM-RF SMB HML

a

Small

0.119

0.603

0.672

0.233

0.504

2

0.176

−0.199

0.694

0.491

−0.138

3

0.663

0.794

0.973

0.355

0.382

4

−0.113

−0.257

−0.421

−0.465

−0.318

Big

0.188

−0.155^*

−0.429

−0.589

−0.144

五因子：RM-RF SMB HMLRMW CMA

a

b

Small

0.794^*

0.833

0.516

0.261

0.509

−0.365

−0.109^*

−0.294^***

0.577

0.334

2

−0.394

−0.481

−0.429

0.283

−0.117

−0.035^*

−0.866

0.137

0.911^**

0.242^***

3

−0.357

−0.395

−0.299

−0.164

−0.143

−0.166^*

−0.343

−0.356^**

0.174

0.072^**

4

0.372

−0.552

0.183

0.172

−0.146

−0.352^*

−0.803^**

−0.146

0.445

0.155^*

Big

−0.195

−0.303

−0.113

−0.187

−0.066

−0.161

−0.148

0.397^**

−0.281

0.155^**

r

c

Small

0.531

−0.772^*

−0.175

−0.113

−0.329^**

−0.462

0.728^***

−0.177

−1.032

0.448

2

0.791

0.219

0.287

0.339^***

0.567

0.503

0.139

0.187

0.439

0.167

3

−0.129^*

−0.101

−0.145^**

−0.241

−0.594

−0.268

−0.905

0.386

0.137

−0.191^**

4

−0.180

−0.126^*

0.711

−0.271

−0.309

−0.175

−0.311

−0.725

0.108^**

0.137

Big

−0.289^*

0.248^*

−0.664^**

0.259

−0.054

−0.264^**

−0.133

−0.575

−0.103

0.087