| 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) |
|