| 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 | 0.86 | −0.02 | (−0.31) | 1.02 | −0.02 | (−0.34) |
2 | 1.01 | 0.12** | (2.09) | 1.25 | 0.14** | (2.25) |
3 | 1.05 | 0.11* | (1.75) | 1.41 | 0.26*** | (4.22) |
4 | 1.13 | 0.18*** | (2.95) | 1.43 | 0.24*** | (4.28) |
5 | 1.09 | 0.08 | (1.27) | 1.49 | 0.27*** | (4.78) |
6 | 1.25 | 0.20*** | (2.62) | 1.56 | 0.31*** | (5.88) |
7 | 1.18 | 0.09 | (1.11) | 1.50 | 0.20*** | (3.74) |
8 | 1.14 | −0.02 | (−0.25) | 1.51 | 0.12** | (1.97) |
9 | 0.99 | −0.28*** | (−2.85) | 1.38 | −0.06 | (−0.76) |
High IV_FF3FM | 0.30 | −1.09*** | (−9.40) | 0.94 | −0.70*** | (−4.76) |
H-L | −0.56 | −1.07*** |
| −0.08 | −0.68*** |
|
(t-value) | (−1.63) | (−7.15) |
| (−0.25) | (−4.03) |
|
Panel B Portfolio return and Alpha of three-factor model during 01/1990-12/2014 | ||||||
Low IV_FF3FM | 0.99 | 0.24** | (2.40) | 1.11 | 0.37*** | (4.55) |
2 | 1.07 | 0.26*** | (3.19) | 1.12 | 0.23*** | (3.02) |
3 | 1.05 | 0.24** | (2.40) | 1.22 | 0.28*** | (3.65) |
4 | 0.95 | −0.00 | (−0.01) | 1.23 | 0.21*** | (2.73) |
5 | 0.95 | −0.05 | (−0.46) | 1.24 | 0.20** | (2.40) |
6 | 0.79 | −0.27** | (−2.54) | 1.21 | 0.13* | (1.69) |
7 | 1.05 | −0.01 | (−0.09) | 1.36 | 0.26*** | (3.00) |
8 | 1.02 | −0.08 | (−0.59) | 1.31 | 0.17 | (1.62) |
9 | 1.12 | −0.13 | (−0.84) | 1.36 | 0.15 | (1.16) |
High IV_FF3FM | 0.45 | −0.91*** | (−4.31) | 1.25 | −0.01 | (−0.03) |
H-L | −0.54 | −1.15*** |
| 0.14 | −0.38 |
|
(t-value) | (−1.09) | (−4.23) |
| (0.28) | (−1.34) |
|