| 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) |
|