Table 2 Single-sorted portfolio return...

Table 2

Single-sorted portfolio return

Portfolio	1 (Low)	2	3	4	5 (High)	High-Low
Panel A: VaR1
Excess return	0.52	0.80*	1.03**	0.57	−0.33	−0.85
Excess return	(1.35)	(1.66)	(2.09)	(0.94)	(−0.54)	(−1.59)
CAPM-alpha	0.04	0.22	0.33*	−0.18	−1.04**	−1.08**
CAPM-alpha	(0.23)	(1.06)	(1.66)	(−0.56)	(−2.47)	(−2.19)
FF3-alpha	0.05	0.23	0.31	−0.31	−1.33**	−1.38**
FF3-alpha	(0.27)	(1.10)	(1.48)	(−0.76)	(−2.46)	(−2.12)
Panel B: VaR5
Excess return	0.61	0.77	1.05**	0.61	−0.47	−1.08*
Excess return	(1.54)	(1.62)	(2.04)	(1.04)	(−0.73)	(−1.83)
CAPM-alpha	0.15	0.17	0.39***	−0.13	−1.24***	−1.39***
CAPM-alpha	(0.74)	(0.87)	(2.81)	(−0.44)	(−2.88)	(−2.72)
FF3-alpha	0.17	0.25	0.27	−0.28	−1.45***	−1.62**
FF3-alpha	(0.70)	(1.05)	(1.56)	(−0.73)	(−2.74)	(−2.41)
Panel C: ES1
Excess return	0.52	0.85*	0.90*	0.51	−0.14	−0.66
Excess return	(1.30)	(1.68)	(1.74)	(0.88)	(−0.26)	(−1.35)
CAPM-alpha	0.03	0.22	0.23	−0.24	−0.83**	−0.86*
CAPM-alpha	(0.17)	(1.03)	(1.44)	(−0.82)	(−2.09)	(−1.88)
FF3-alpha	0.06	0.31	0.14	−0.37	−1.16**	−1.22*
FF3-alpha	(0.30)	(1.29)	(0.82)	(−0.97)	(−2.26)	(−1.93)
Panel D: ES5
Excess return	0.57	0.97*	0.79	0.69	−0.53	−1.09*
Excess return	(1.42)	(1.94)	(1.39)	(1.31)	(−0.80)	(−1.82)
CAPM-alpha	0.09	0.37	0.11	−0.07	−1.28***	−1.37**
CAPM-alpha	(0.49)	(1.48)	(0.47)	(−0.29)	(−2.63)	(−2.51)
FF3-alpha	0.12	0.45	−0.04	−0.19	−1.49**	−1.61**
FF3-alpha	(0.59)	(1.52)	(−0.14)	(−0.62)	(−2.45)	(−2.25)
Panel E: SEMI-V
Excess return	0.59	0.68	1.18**	0.48	−0.56	−1.15*
Excess return	(1.43)	(1.39)	(2.32)	(0.83)	(−0.84)	(−1.78)
CAPM-alpha	0.12	0.07	0.48**	−0.25	−1.30***	−1.42**
CAPM-alpha	(0.59)	(0.37)	(2.49)	(−0.83)	(−2.67)	(−2.42)
FF3-alpha	0.16	0.16	0.30	−0.37	−1.55**	−1.71**
FF3-alpha	(0.65)	(0.68)	(1.39)	(−0.93)	(−2.54)	(−2.22)
Panel F: PC1
Excess return	0.59	0.97**	0.83	0.65	−0.60	−1.19*
Excess return	(1.44)	(1.99)	(1.55)	(1.10)	(−0.91)	(−1.92)
CAPM-alpha	0.10	0.38	0.14	−0.11	−1.35***	−1.46**
CAPM-alpha	(0.59)	(1.37)	(0.66)	(−0.43)	(−2.61)	(−2.54)
FF3-alpha	0.15	0.45	0.01	−0.33	−1.53**	−1.67**
FF3-alpha	(0.73)	(1.34)	(0.04)	(−0.92)	(−2.39)	(−2.25)

Portfolio	1 (Low)	2	3	4	5 (High)	High-Low
Panel A: VaR1
Excess return	0.52	0.80*	1.03**	0.57	−0.33	−0.85
Excess return	(1.35)	(1.66)	(2.09)	(0.94)	(−0.54)	(−1.59)
CAPM-alpha	0.04	0.22	0.33*	−0.18	−1.04**	−1.08**
CAPM-alpha	(0.23)	(1.06)	(1.66)	(−0.56)	(−2.47)	(−2.19)
FF3-alpha	0.05	0.23	0.31	−0.31	−1.33**	−1.38**
FF3-alpha	(0.27)	(1.10)	(1.48)	(−0.76)	(−2.46)	(−2.12)
Panel B: VaR5
Excess return	0.61	0.77	1.05**	0.61	−0.47	−1.08*
Excess return	(1.54)	(1.62)	(2.04)	(1.04)	(−0.73)	(−1.83)
CAPM-alpha	0.15	0.17	0.39***	−0.13	−1.24***	−1.39***
CAPM-alpha	(0.74)	(0.87)	(2.81)	(−0.44)	(−2.88)	(−2.72)
FF3-alpha	0.17	0.25	0.27	−0.28	−1.45***	−1.62**
FF3-alpha	(0.70)	(1.05)	(1.56)	(−0.73)	(−2.74)	(−2.41)
Panel C: ES1
Excess return	0.52	0.85*	0.90*	0.51	−0.14	−0.66
Excess return	(1.30)	(1.68)	(1.74)	(0.88)	(−0.26)	(−1.35)
CAPM-alpha	0.03	0.22	0.23	−0.24	−0.83**	−0.86*
CAPM-alpha	(0.17)	(1.03)	(1.44)	(−0.82)	(−2.09)	(−1.88)
FF3-alpha	0.06	0.31	0.14	−0.37	−1.16**	−1.22*
FF3-alpha	(0.30)	(1.29)	(0.82)	(−0.97)	(−2.26)	(−1.93)
Panel D: ES5
Excess return	0.57	0.97*	0.79	0.69	−0.53	−1.09*
Excess return	(1.42)	(1.94)	(1.39)	(1.31)	(−0.80)	(−1.82)
CAPM-alpha	0.09	0.37	0.11	−0.07	−1.28***	−1.37**
CAPM-alpha	(0.49)	(1.48)	(0.47)	(−0.29)	(−2.63)	(−2.51)
FF3-alpha	0.12	0.45	−0.04	−0.19	−1.49**	−1.61**
FF3-alpha	(0.59)	(1.52)	(−0.14)	(−0.62)	(−2.45)	(−2.25)
Panel E: SEMI-V
Excess return	0.59	0.68	1.18**	0.48	−0.56	−1.15*
Excess return	(1.43)	(1.39)	(2.32)	(0.83)	(−0.84)	(−1.78)
CAPM-alpha	0.12	0.07	0.48**	−0.25	−1.30***	−1.42**
CAPM-alpha	(0.59)	(0.37)	(2.49)	(−0.83)	(−2.67)	(−2.42)
FF3-alpha	0.16	0.16	0.30	−0.37	−1.55**	−1.71**
FF3-alpha	(0.65)	(0.68)	(1.39)	(−0.93)	(−2.54)	(−2.22)
Panel F: PC1
Excess return	0.59	0.97**	0.83	0.65	−0.60	−1.19*
Excess return	(1.44)	(1.99)	(1.55)	(1.10)	(−0.91)	(−1.92)
CAPM-alpha	0.10	0.38	0.14	−0.11	−1.35***	−1.46**
CAPM-alpha	(0.59)	(1.37)	(0.66)	(−0.43)	(−2.61)	(−2.54)
FF3-alpha	0.15	0.45	0.01	−0.33	−1.53**	−1.67**
FF3-alpha	(0.73)	(1.34)	(0.04)	(−0.92)	(−2.39)	(−2.25)

Note(s): Stocks are sorted by the left-tail risk measure for each month, and the value-weighted portfolio returns for the following month are computed. High-Low in the last column represents the zero-cost long-short portfolio that buys Portfolio 5 and sells Portfolio 1. The Newey–West adjusted t-statistics with a lag of 12 are reported in parentheses. ***, ** and * indicate the 1%, 5% and 10% statistical significance, respectively

Source(s): Created by authors

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