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 (CRSP breakpoints)

Low IV_FF3FM

0.88

−0.06

(−0.74)

1.13

0.03

(0.35)

2

0.88

−0.06

(−0.99)

1.28

0.16**

(2.39)

3

1.07

0.15***

(2.68)

1.43

0.30***

(5.01)

4

1.14

0.17***

(2.78)

1.54

0.34***

(6.23)

5

1.12

0.12

(1.57)

1.49

0.41.54

0.28***

(5.29)

6

1.14

0.11

(1.22)

1.54

0.29***

(4.98)

7

0.99

−0.12

(−1.20)

1.45

0.15**

(2.00)

8

0.90

−0.19

(−1.61)

1.28

−0.03

(−0.33)

9

0.36

−0.84***

(−6.04)

1.02

−0.37***

(−2.87)

High IV_FF3FM

−0.37

−1.73***

(−9.73)

0.60

−0.83***

(−3.81)

H-L

−1.25***

−1.67***

−0.53

−0.86***

(t-value)

(−3.17)

(−7.96)

(−1.26)

(−3.55)

Panel B Portfolio return and Alpha of five-factor model during 07/1963-12/1989(NYSE breakpoints)

Low IV_FF3FM

0.87

−0.04

(−0.68)

1.11

0.00

(0.05)

2

1.00

0.07

(1.12)

1.29

0.14**

(2.13)

3

1.07

0.13**

(2.07)

1.45

0.31***

(5.02)

4

1.10

0.17***

(2.63)

1.54

0.31***

(5.45)

5

1.14

0.11

(1.56)

1.50

0.26***

(4.46)

6

1.16

0.18**

(2.25)

1.54

0.31***

(5.80)

7

1.22

0.18**

(2.15)

1.55

0.26***

(5.02)

8

1.16

0.06

(0.62)

1.55

0.27***

(4.50)

9

1.05

−0.09

(−0.92)

1.44

0.11

(1.56)

High IV_FF3FM

0.29

−0.96***

(−8.55)

0.81

−0.57***

(−3.94)

H-L

−0.58*

−0.92***

−0.30

−0.57***

(t-value)

(−1.74)

(−6.29)

(−0.85)

(−3.28)