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Table 4 Average monthly excess returns for portfolios formed on Size-B/M, Size-OP, and Size-Inv

From: Whether profitability and investment factors have additional explanatory power comparing with Fama-French Three-Factor Model: empirical evidence on Chinese A-share stock market

Panel A: excess returns of size-B/P portfolios

 

L

M

H

Small

0.0236

0.0231

0.0207

Big

0.0151

0.0092

0.0061

Panel B: excess returns of Size-OP portfolios

 

W

N

R

Small

0.0172

0.0170

0.0081

Big

0.0046

0.0082

0.0016

Panel C: excess returns of Size-Inv portfolios

 

C

N

A

Small

0.0136

0.0158

0.0121

Big

0.0033

0.0050

0.0031

  1. In this table, the average excess returns of six Size-B/M portfolios, Size-OP portfolios, and Size-Inv portfolios are presented in panel A, B, and C, respectively. Across the columns are the two size groups and across the rows are the three B/M groups, three OP groups, and three Inv groups, respectively