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)