Relative performance of different grouping methods based on the same strategy of portfolios with J = K for the whole sample period 1997–2012.

This table reports the differences of the average annualized returns and the corresponding t-statistics of two strategies that are different only in the grouping methods. The three panels are for the loser, winner and contrarian portfolios, respectively. In the first row, G3, G5 and G10 stand for tertile, quintile and decile groupings. The sample period is January 1997 to December 2012. The superscripts * and ** denote the significance at 5% and 1% levels, respectively.Relative performance of different grouping methods based on the same strategy of portfolios with J = K for the whole sample period 1997–2012.