This table reports annualized alpha and regression coefficients for the three-factor and four-factor regressions for low-volatility and high-volatility portfolios. the results show that the positive (negative) alpha for low-volatility (high-volatility) portfolio remain high and significant and the volatility effect is a distinct effect and size, value and momentum factors cannot subsume it. | |||||||||||
Fama French style regression coefficient for top and bottom decile volatility portfolios | Fama French-Carhart style regression coefficient for top and bottom decile volatility portfolios | ||||||||||
LV portfolio | Coeff. | t-value | HV portfolio | Coeff. | t-value | LV portfolio | Coeff. | t-value | HV Portfolio | Coeff. | t-value |
3-factor alpha (annualized) | 12% | 5.25 | 3-factor alpha (annualized) | −0.212 | −6.57 | 4-factor alpha (annualized) | 10.37% | 4.89 | 4-factor alpha (annualized) | −19.09% | −6.22 |
EWI | 0.58 | 24.09 | EWI | 1.22 | 35.84 | EWI | 0.6207 | 25.81 | EWI | 1.16 | 33.45 |
SMB | 0.03 | 0.73 | SMB | −0.01 | −0.12 | SMB | 0.03 | 0.60 | SMB | 0.00 | 0.04 |
VMG | −0.09 | −2.43 | VMG | 0.34 | 6.22 | VMG | −0.10 | −2.89 | VMG | 0.35 | 6.85 |
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| WML | 0.13 | 4.75 | WML | −0.17 | −4.26 |