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 |