Quintiles

Alpha (%)

ΔVIX

Control for Five Factors

N

R²

Low

13.11

−0.53

Yes

3593

48.6%

(5.60)***

(−1.23)

Q2

13.74

−1.12

Yes

3593

53.6%

(5.23)***

(−2.31)**

Q3

13.45

−0.52

Yes

3593

54.1%

(5.03)***

(−1.05)

Q4

12.24

−0.41

Yes

3593

56.1%

(4.81)***

(−0.87)

High

8.36

−1.08

Yes

3593

56.9%

(3.10)***

(−2.18)**

Low-High

4.75

0.55

Yes

3593

13.7%

(1.71)*

(1.07)