| 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) |
|