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 (NYSE breakpoints)

Low IV_FF3FM

0.87

−0.05

(−0.70)

1.27

0.14*

(1.87)

2

1.00

0.08

(1.21)

1.27

0.11*

(1.75)

3

1.00

0.04

(0.67)

1.33

0.16***

(2.62)

4

1.12

0.20***

(3.16)

1.41

0.20***

(3.33)

5

1.15

0.18**

(2.45)

1.41

0.41.44

0.19***

(3.38)

6

1.13

0.09

(1.15)

1.44

0.20***

(3.66)

7

1.15

0.15*

(1.83)

1.41

0.15***

(2.82)

8

1.07

−0.02

(−0.20)

1.38

0.09

(1.39)

9

1.06

−0.01

(−0.09)

1.25

−0.09

(−1.09)

High IV_FF3FM

0.59

−0.56***

(−4.88)

1.05

−0.36**

(−2.45)

H-L

−0.28

−0.51***

−0.22

−0.50**

(t-value)

(−0.83)

(−3.45)

(−0.61)

(−3.10)

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

Low IV_FF3FM

0.91

0.02

(0.22)

1.14

0.25***

(2.93)

2

1.00

−0.05

(−0.62)

1.15

0.07

(0.99)

3

0.90

−0.12

(−1.46)

1.22

0.10

(1.53)

4

1.03

−0.00

(−0.02)

1.21

0.06

(0.91)

5

1.04

−0.10

(−0.95)

1.31

0.13*

(1.82)

6

0.92

−0.10

(−0.93)

1.25

0.10

(1.33)

7

1.11

0.15

(1.32)

1.32

0.23***

(2.69)

8

0.88

−0.06

(−0.51)

1.28

0.21*

(2.11)

9

0.98

0.10

(0.68)

1.31

0.35**

(2.56)

High IV_FF3FM

0.70

−0.12

(−0.65)

1.24

0.56**

(2.12)

H-L

−0.21

−0.14

0.10

0.31

(t-value)

(−0.47)

(−0.60)

(0.20)

(1.17)