This table reports the results of the one-factor CAPM style alpha for volatility decile portfolios controlling for size, value, momentum, and beta. This table shows that the volatility effect is robust and remains strong.

Panel A: Annualized alpha from double sort on size (market capitalization) and volatility of past 3 years

LV

P2

P3

P4

P5

P6

P7

P8

P9

HV

LV-HV

Alpha

9.98%

7.89%

4.63%

3.86%

1.74%

−0.02%

−1.93%

−3.78%

−7.52%

−14.84%

24.82%

t-stat

5.25

4.39

2.87

2.46

1.09

−0.01

−1.28

−1.95

−2.93

−4.73

5.63

Panel B: Annualized alpha from double sort on value (earnings/price) and volatility of past 3 years

LV

P2

P3

P4

P5

P6

P7

P8

P9

HV

LV-HV

Alpha

5.50%

4.75%

4.30%

2.60%

2.10%

−2.50%

1.30%

−2.50%

−4.85%

−9.30%

14.80%

t-stat

2.10

2.13

1.99

1.10

0.99

−1.25

0.70

−0.77

−1.55

−2.14

3.78

Panel C: Annualized alpha from double sort on momentum (12 month minus 1 month returns) and volatility of past 3 years

LV

P2

P3

P4

P5

P6

P7

P8

P9

HV

LV-HV

Alpha

10.69%

8.62%

4.65%

2.63%

2.07%

−0.67%

−2.08%

−2.39%

−9.83%

−13.70%

24.39%

t-stat

5.24

4.80

2.83

1.78

1.36

−0.41

−1.36

−1.37

−3.99

−4.40

5.28

Panel D: Annualized alpha from double sort on beta (past 3 years) and volatility (past 3 years)

LV

P2

P3

P4

P5

P6

P7

P8

P9

HV

LV-HV

Alpha

3.74%

4.08%

2.19%

3.47%

1.35%

1.14%

−4.18%

−1.21%

−3.31%

−12.88%

16.63%

t-value

0.61

0.64

0.34

0.56

0.20

0.17

−0.62

−0.18

−0.48

−1.70

4.59