alpha

投资组合Low

投资组合High

投资组合High-Low

基于β^GARCH分组

MKT、SMB、HML

0.77

(1.00)

0.33

(0.49)

−0.45

(−1.46)

MKT、SMB、HML、MOM

0.74

(0.96)

0.29

(0.43)

−0.46

(−1.49)

MKT、SMB、HML、RMW、CMA

1.22

(1.52)

0.76

(1.10)

−0.46

(−1.46)

MKT、SMB、HML、RMW、CMA、MOM

1.19

(1.49)

0.72

(1.06)

−0.47

(−1.50)

基于β^Retailsale分组

MKT、SMB、HML

0.68

(0.83)

−0.08

(−0.11)

−0.76^***

(−3.09)

MKT、SMB、HML、MOM

0.63

(0.78)

−0.13

(−0.17)

−0.76^***

(−3.07)

MKT、SMB、HML、RMW、CMA

1.01

(1.23)

0.21

(0.27)

−0.81^***

(−3.19)

MKT、SMB、HML、RMW、CMA、MOM

0.97

(1.18)

0.17

(0.21)

−0.80^***

(−3.17)

基于β^JQI分组

MKT、SMB、HML

0.36

(0.47)

0.77

(1.13)

0.41

(1.02)

MKT、SMB、HML、MOM

0.32

(0.42)

0.75

(1.10)

0.42

(1.07)

MKT、SMB、HML、RMW、CMA

0.87

(1.10)

1.11

(1.59)

0.24

(0.59)

MKT、SMB、HML、RMW、CMA、MOM

0.83

(1.06)

1.09

(1.56)

0.26

(0.63)