| 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) |
|