IVOL

SIZE

Value

Momentum

REV

High IVOL

0.0303

(55.7154)

575.82

(23.9111)

0.8218

(37.8627)

−0.0394

(−1.5912)

0.0044

(0.7793)

Medium IVOL

0.0166

(61.3300)

1810.59

(32.4654)

0.7864

(48.2870)

0.0638

(4.1401)

0.0022

(0.6770)

Low IVOL

0.0095

(69.2589)

3717.68

(33.1339)

0.8385

(76.4216)

0.0924

(8.9538)

0.0004

(0.2133)

High-Low

0.0208

(37.1756)

−3141.86

(−27.3784)

−0.0200

(−0.8192)

−0.1318

(−4.9116)

0.0040

(0.6716)