Value-weight

Equal-weight

Return

Alpha

(t-value)

Return

Alpha

(t-value)

Panel A Portfolio return and Alpha of three-factor model during 07/1963-12/1989

Low IV_FF3FM

0.89

0.01

(0.07)

1.06

0.02

(0.28)

2

0.92

−0.00

(−0.07)

1.23

0.11*

(1.93)

3

1.05

0.08

(1.53)

1.41

0.23***

(4.43)

4

1.14

0.16***

(2.68)

1.51

0.28***

(5.46)

5

1.13

0.06

(0.82)

1.50

0.23***

(4.51)

6

1.16

0.05

(0.59)

1.47

0.13**

(2.19)

7

0.99

−0.24***

(−2.43)

1.37

−0.05

(−0.63)

8

0.76

−0.51***

(−4.60)

1.29

−0.18*

(−1.82)

9

0.26

−1.14***

(−8.64)

1.01

−0.60***

(−4.63)

High IV_FF3FM

−0.37

−1.87***

(−10.54)

0.87

−0.95***

(−4.51)

H-L

−1.26***

−1.88***

−0.28

−0.97***

(t-value)

(−3.28)

(−8.75)

(−0.71)

(−4.34)

Panel B Portfolio return and Alpha of three-factor model during 01/1990-12/2014

Low IV_FF3FM

0.98

0.22***

(2.91)

1.15

0.35***

(4.59)

2

1.01

0.12*

(1.71)

1.20

0.24***

(3.27)

3

0.92

−0.05

(−0.62)

1.26

0.22***

(2.86)

4

0.89

−0.16

(−1.51)

1.27

0.16**

(2.34)

5

0.97

−0.11

(−0.94)

1.30

0.19**

(2.08)

6

1.07

−0.07

(−0.50)

1.27

0.11

(0.99)

7

0.73

−0.48***

(−2.74)

1.28

0.08

(0.57)

8

0.55

−0.79***

(−3.75)

1.11

−0.11

(−0.59)

9

0.31

−1.10***

(−1.06)

1.15

−0.11

(−0.39)

High IV_FF3FM

0.01

−1.34***

(−3.75)

1.38

0.13

(0.30)

H-L

−0.97

−1.56***

0.23

−0.22

(t-value)

(−1.62)

(−3.97)

(0.40)

(−0.51)