I\'m executing some tests in my Android device by using the following command:
adb shell am instrument -w package.name/android.test.runner.AndroidJU
But, does this process also generates a results file inside the device (xml, html, etc)?
No, it does not.
Report generation is generally handled at a higher layer than 'am instrument'. If you run your tests using Gradle, it should generate the report for you. I believe this is what Android Studio relies on as well.
If you must generate the report from the test itself, you can use a custom test runner. See this answer for one way to do it: http://www.stackoverflow.com/a/5574418/1999084