Value-weight

Equal-weight

Return

Alpha

(t-value)

Return

Alpha

(t-value)

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

Low IV_FF3FM

0.87

−0.05

(−0.78)

1.02

−0.07

(−0.84)

2

0.99

0.06

(0.92)

1.24

0.10

(1.43)

3

1.07

0.14**

(2.27)

1.38

0.24***

(3.86)

4

1.11

0.16**

(2.46)

1.47

0.25***

(4.31)

5

1.16

0.15**

(2.10)

1.49

0.4

0.27***

(4.68)

6

1.15

0.14*

(1.81)

1.52

0.28***

(5.42)

7

1.23

0.19**

(2.33)

1.51

0.24***

(4.43)

8

1.12

0.03

(0.31)

1.46

0.16**

(2.57)

9

1.07

−0.08

(−0.80)

1.41

0.09

(1.17)

High IV_FF3FM

0.29

−0.97***

(−8.82)

0.95

−0.49***

(−3.35)

H-L

−0.58*

−0.92***

−0.07

−0.42**

(t-value)

(−1.76)

(−6.43)

(−0.20)

(−2.51)

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

Low IV_FF3FM

0.96

−0.01

(−0.13)

1.10

0.21***

(2.59)

2

0.96

−0.03

(−0.34)

1.12

0.05

(0.69)

3

1.13

0.11

(1.26)

1.22

0.09

(1.36)

4

0.92

−0.17*

(−1.85)

1.19

0.02

(0.23)

5

0.96

−0.14

(−1.26)

1.27

0.09

(1.23)

6

0.83

−0.21*

(−1.82)

1.22

0.07

(1.01)

7

1.07

0.02

(0.12)

1.33

0.21**

(2.48)

8

1.00

−0.01

(−0.11)

1.33

0.22**

(2.07)

9

1.13

0.17

(1.13)

1.34

0.35***

(2.73)

High IV_FF3FM

0.49

−0.21

(−1.15)

1.26

0.61**

(2.32)

H-L

−0.47

−0.20

0.16

0.40

(t-value)

(−0.97)

(−0.84)

(0.32)

(1.53)