Inv

Low

2

3

4

High

三因子：RM-RF SMB HML

a

Small

−0.553

0.058

−0.570

−0.396^**

0.051

2

0.327

−0.136

−0.155

−0.099

0.232

3

−0.365

0.246

−0.229

0.354

−0.203

4

0.188

−0.081

−0.151

−0.196

0.148

Big

−0.318

0.096

0.168^*

−0.053

0.318

五因子：RM-RF SMB HMLRMW CMA

a

b

Small

0.525

0.612

0.269

0.577

0.334

−0.436^**

0.109^***

0.329

−0.823

0.222

2

−0.035

0.138

−0.121

0.138

−0.085

−0.232

0.866

−0.376

0.911

0.242^*

3

−0.676

−0.757

0.355

−0.798

0.362^***

−0.166

−0.344

−0.356

0.174^***

0.725^**

4

−0.177−

0.547

0.261

0.167

0.035−

−0.035

−0.081

−0.146

0.445^*

−0.155^***

Big

−0.462^*

0.154

−0.012

0.592

−0.396

0.613

0.147

−0.398^***

−0.281

0.512

r

c

Small

−0.531

−0.772^***

−0.175

−0.113

−0.329

0.462^***

−0.382^**

0.177

−0.103

−0.448^*

2

0.791

0.219

0.376

−0.339^*

0.568^*

0.503

0.393^**

0.817

0.398^*

−0.167^*

3

−0.291

−0.01

−0.458^**

−0.415^**

0.594

0.668

0.508^**

0.865^*

−0.371

−0.191^***

4

−0.801

−0.126

0.725

0.271

0.309^***

0.745^**

0.114

−0.725^*

0.108

−0.373^***

Big

0.289^*

0.248

0.664^*

−0.595^*

0.321

0.639^**

0.326

−0.749^***

−0.332^*

−0.478^***