This table reports annualized alpha and regression coefficients for the three-factor and four-factor regressions for low-volatility and high-volatility portfolios. the results show that the positive (negative) alpha for low-volatility (high-volatility) portfolio remain high and significant and the volatility effect is a distinct effect and size, value and momentum factors cannot subsume it.

Fama French style regression coefficient for top and bottom decile volatility portfolios

Fama French-Carhart style regression coefficient for top and bottom decile volatility portfolios

LV portfolio

Coeff.

t-value

HV portfolio

Coeff.

t-value

LV portfolio

Coeff.

t-value

HV Portfolio

Coeff.

t-value

3-factor alpha (annualized)

12%

5.25

3-factor alpha (annualized)

−0.212

−6.57

4-factor alpha (annualized)

10.37%

4.89

4-factor alpha (annualized)

−19.09%

−6.22

EWI

0.58

24.09

EWI

1.22

35.84

EWI

0.6207

25.81

EWI

1.16

33.45

SMB

0.03

0.73

SMB

−0.01

−0.12

SMB

0.03

0.60

SMB

0.00

0.04

VMG

−0.09

−2.43

VMG

0.34

6.22

VMG

−0.10

−2.89

VMG

0.35

6.85

WML

0.13

4.75

WML

−0.17

−4.26