OP

Low

2

3

4

High

三因子：RM-RF SMB HML

a

Small

0.892

0.679

0.247

0.206

−0.436^*

2

0.306

0.191

0.147

−0.308

0.451

3

0.205

−0.576

−0.443

0.558

−0.198

4

0.365

0.643

−0.118

−0.471

−0.222

Big

−0.764

−0.519^*

−0.259

−0.379

0.099

五因子：RM-RF SMB HMLRMW CMA

a

b

Small

0.794

0.833^*

−0.516

0.261

0.509

0.193

−0.833^**

−0.294

0.886

0.328

2

0.394

0.481

0.429

0.283

−0.117

0.159

0.383^***

−0.578

−0.825^*

0.276

3

−0.357

−0.395

−0.395

0.641

−0.431

−0.202

0.281

−0.536

0.236

0.216

4

−0.372

−0.552

−0.183

0.703

0.443

0.585

−0.334

0.236

−0.334

0.337

Big

0.195

−0.303

−0.111

0.875

0.049^*

0.116^*

−0.432

0.481

−0.379^***

0.005

r

c

Small

−0.391

−0.515^**

−0.534

−0.686

0.624^**

0.549

0.272^***

0.417

−0.265^*

−0.429

2

−1.001

0.597^***

−0.153^**

0.349

0.458

0.334

0.567^**

0.123^***

0.688^***

0.321

3

−0.207

−0.188

0.139^**

0.666^***

0.146

−0.285^*

−0.651

0.639^**

−0.181

−0.299

4

0.237

−0.845

−0.924

0.519^**

0.426^***

0.551

0.297^*

−0.585

0.377

0.304^**

Big

−0.549^*

−0.206

0.370^*

0.393^*

0.002^***

−0.549^**

0.346^**

−0.331^**

0.869

−0.001^***