This table reports annualized alpha and regression coefficients for the threefactor and fourfactor regressions for lowvolatility and highvolatility portfolios. the results show that the positive (negative) alpha for lowvolatility (highvolatility) 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 FrenchCarhart style regression coefficient for top and bottom decile volatility portfolios  
LV portfolio  Coeff.  tvalue  HV portfolio  Coeff.  tvalue  LV portfolio  Coeff.  tvalue  HV Portfolio  Coeff.  tvalue 
3factor alpha (annualized)  12%  5.25  3factor alpha (annualized)  −0.212  −6.57  4factor alpha (annualized)  10.37%  4.89  4factor 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 