| Value-weight | Equal-weight | ||||
| Return | Alpha | (t-value) | Return | Alpha | (t-value) |
Panel A Portfolio return and Alpha of three-factor model during 07/1926-06/1963 | ||||||
Low IV_FF3FM | 0.99 | 0.18*** | (4.04) | 1.00 | 0.22*** | (3.89) |
2 | 1.07 | 0.10* | (1.85) | 1.19 | 0.23*** | (4.53) |
3 | 1.04 | −0.06 | (−0.77) | 1.26 | 0.14*** | (2.03) |
4 | 1.04 | −0.13* | (−1.75) | 1.32 | 0.11* | (1.74) |
5 | 1.08 | −0.19** | (−2.22) | 1.43 | 0.12 | (1.52) |
6 | 1.02 | −0.30*** | (−2.90) | 1.37 | 0.00 | (0.00) |
7 | 1.10 | −0.22** | (−2.12) | 1.43 | 0.01 | (0.16) |
8 | 0.86 | −0.52*** | (−3.94) | 1.48 | −0.12 | (−1.18) |
9 | 0.85 | −0.50*** | (−3.19) | 1.44 | −0.20* | (−1.83) |
High IV_FF3FM | 0.71 | −0.63* | (−1.95) | 1.81 | 0.08 | (0.34) |
H-L | −0.28 | −0.81*** |
| 0.81 | −0.14 |
|
(t-value) | (−0.63) | (−2.45) |
| (1.36) | (−0.53) |
|
Panel B Portfolio return and Alpha of three-factor model during 07/1963-12/2014 | ||||||
Low IV_FF3FM | 0.92 | 0.10* | (1.73) | 1.10 | 0.16*** | (2.72) |
2 | 0.95 | 0.05 | (1.01) | 1.21 | 0.14*** | (2.82) |
3 | 0.97 | 0.00 | (0.07) | 1.32 | 0.19*** | (3.76) |
4 | 1.01 | −0.00 | (−0.04) | 1.38 | 0.20*** | (3.98) |
5 | 1.04 | −0.00 | (−0.03) | 1.39 | 0.19*** | (3.51) |
6 | 1.10 | 0.02 | (0.26) | 1.36 | 0.12* | (1.92) |
7 | 0.85 | −0.29 | (−0.78) | 1.32 | 0.03 | (0.43) |
8 | 0.64 | −0.59*** | (−4.77) | 1.19 | −0.12 | (−1.09) |
9 | 0.27 | −1.03*** | (−6.05) | 1.07 | −0.30* | (−1.96) |
High IV_FF3FM | −0.20 | −1.50*** | (−7.33) | 1.07 | −0.33 | (−1.40) |
H-L | −1.12*** | −1.60*** |
| −0.03 | −0.49** |
|
(t-value) | (−3.20) | (−6.97) |
| (−0.07) | (−1.99) |
|