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)