分组

β^JQI

流通市值加权组合 超额收益率

Low

−4.49

0.39 (1.08)

2

−0.92

0.61^* (1.69)

3

−0.58

0.58^* (1.79)

4

−0.40

0.60^* (1.65)

5

−0.26

0.54^** (2.098)

6

−0.13

0.61^* (2.04)

7

−0.00

0.67^* (1.79)

8

0.13

0.72^* (1.86)

9

0.32

0.72^* (1.88)

High

1.25

0.84^* (1.87)

High-Low

5.73

0.46^* (1.68)