Table 3 Double-sort portfolio return...

Table 3

Double-sort portfolio return

	Excess return			CAPM-alpha			FF3-alpha
	1 (Low)	5 (High)	High-Low	1 (Low)	5 (High)	High-Low	1 (Low)	5 (High)	High-Low
BM	0.78*	0.10	−0.68	0.31*	−0.64*	−0.95**	0.00	−1.04***	−1.04**
BM	(1.83)	(0.18)	(−1.64)	(1.72)	(−1.87)	(−2.47)	(0.03)	(−2.64)	(−2.39)
BETA	0.64*	−0.64	−1.29***	0.20	−1.22***	−1.42***	−0.02	−1.60***	−1.58***
BETA	(1.71)	(−1.24)	(−3.41)	(1.15)	(−3.17)	(−3.62)	(−0.14)	(−3.38)	(−3.75)
Betadown	0.83*	−0.32	−1.15**	0.32**	−0.93**	−1.24**	0.16	−1.28**	−1.43**
Betadown	(1.96)	(−0.54)	(−2.34)	(2.54)	(−2.09)	(−2.57)	(1.60)	(−2.41)	(−2.55)
Coskew	0.70*	−0.16	−0.86*	0.26	−0.85**	−1.11**	−0.04	−1.19**	−1.15**
Coskew	(1.74)	(−0.26)	(−1.91)	(1.38)	(−2.00)	(−2.47)	(−0.29)	(−2.26)	(−2.27)
GKMHI	0.60	−0.94	−1.54***	0.12	−1.63***	−1.75***	0.07	−1.86***	−1.94***
GKMHI	(1.27)	(−1.47)	(−2.73)	(0.57)	(−3.45)	(−3.35)	(0.29)	(−3.29)	(−2.76)
GKMLO	0.56*	−0.46	−1.02*	0.09	−1.19***	−1.28***	0.01	−1.52**	−1.53**
GKMLO	(1.68)	(−0.72)	(−1.88)	(0.45)	(−2.60)	(−2.66)	(0.03)	(−2.51)	(−2.43)
ILLIQ	0.85**	−0.06	−0.91**	0.46*	−0.65	−1.10**	0.02	−1.14**	−1.16**
ILLIQ	(2.09)	(−0.11)	(−1.97)	(1.95)	(−1.59)	(−2.39)	(0.12)	(−2.44)	(−2.43)
IVOL	0.63	0.02	−0.61	0.17	−0.70*	−0.87**	−0.06	−0.97**	−0.91**
IVOL	(1.52)	(0.03)	(−1.56)	(0.96)	(−1.92)	(−2.30)	(−0.36)	(−2.08)	(−2.00)
MAX	0.72*	−0.13	−0.86*	0.23*	−0.81**	−1.03**	0.10	−1.15**	−1.25**
MAX	(1.82)	(−0.24)	(−1.92)	(1.88)	(−2.08)	(−2.55)	(0.78)	(−2.23)	(−2.12)
MOM	0.75*	−0.53	−1.29***	0.28*	−1.22***	−1.50***	0.01	−1.54***	−1.55***
MOM	(1.88)	(−0.95)	(−3.10)	(1.71)	(−3.15)	(−3.55)	(0.11)	(−3.26)	(−3.23)
SIZE	1.11***	0.23	−0.87***	0.70***	−0.38	−1.08***	0.17	−0.86**	−1.03***
SIZE	(2.92)	(0.46)	(−2.67)	(3.07)	(−1.26)	(−3.58)	(1.34)	(−2.38)	(−2.85)
STR	0.72**	−0.28	−1.00**	0.25*	−0.98**	−1.23***	0.13	−1.32***	−1.45**
STR	(1.97)	(−0.48)	(−2.05)	(1.72)	(−2.40)	(−2.69)	(0.87)	(−2.75)	(−2.53)
VOLDU	0.65*	0.12	−0.52	0.22	−0.52	−0.74*	−0.08	−0.95**	−0.88**
VOLDU	(1.70)	(0.22)	(−1.29)	(1.16)	(−1.33)	(−1.90)	(−0.61)	(−2.19)	(−2.01)

	Excess return			CAPM-alpha			FF3-alpha
	1 (Low)	5 (High)	High-Low	1 (Low)	5 (High)	High-Low	1 (Low)	5 (High)	High-Low
BM	0.78*	0.10	−0.68	0.31*	−0.64*	−0.95**	0.00	−1.04***	−1.04**
BM	(1.83)	(0.18)	(−1.64)	(1.72)	(−1.87)	(−2.47)	(0.03)	(−2.64)	(−2.39)
BETA	0.64*	−0.64	−1.29***	0.20	−1.22***	−1.42***	−0.02	−1.60***	−1.58***
BETA	(1.71)	(−1.24)	(−3.41)	(1.15)	(−3.17)	(−3.62)	(−0.14)	(−3.38)	(−3.75)
Betadown	0.83*	−0.32	−1.15**	0.32**	−0.93**	−1.24**	0.16	−1.28**	−1.43**
Betadown	(1.96)	(−0.54)	(−2.34)	(2.54)	(−2.09)	(−2.57)	(1.60)	(−2.41)	(−2.55)
Coskew	0.70*	−0.16	−0.86*	0.26	−0.85**	−1.11**	−0.04	−1.19**	−1.15**
Coskew	(1.74)	(−0.26)	(−1.91)	(1.38)	(−2.00)	(−2.47)	(−0.29)	(−2.26)	(−2.27)
GKMHI	0.60	−0.94	−1.54***	0.12	−1.63***	−1.75***	0.07	−1.86***	−1.94***
GKMHI	(1.27)	(−1.47)	(−2.73)	(0.57)	(−3.45)	(−3.35)	(0.29)	(−3.29)	(−2.76)
GKMLO	0.56*	−0.46	−1.02*	0.09	−1.19***	−1.28***	0.01	−1.52**	−1.53**
GKMLO	(1.68)	(−0.72)	(−1.88)	(0.45)	(−2.60)	(−2.66)	(0.03)	(−2.51)	(−2.43)
ILLIQ	0.85**	−0.06	−0.91**	0.46*	−0.65	−1.10**	0.02	−1.14**	−1.16**
ILLIQ	(2.09)	(−0.11)	(−1.97)	(1.95)	(−1.59)	(−2.39)	(0.12)	(−2.44)	(−2.43)
IVOL	0.63	0.02	−0.61	0.17	−0.70*	−0.87**	−0.06	−0.97**	−0.91**
IVOL	(1.52)	(0.03)	(−1.56)	(0.96)	(−1.92)	(−2.30)	(−0.36)	(−2.08)	(−2.00)
MAX	0.72*	−0.13	−0.86*	0.23*	−0.81**	−1.03**	0.10	−1.15**	−1.25**
MAX	(1.82)	(−0.24)	(−1.92)	(1.88)	(−2.08)	(−2.55)	(0.78)	(−2.23)	(−2.12)
MOM	0.75*	−0.53	−1.29***	0.28*	−1.22***	−1.50***	0.01	−1.54***	−1.55***
MOM	(1.88)	(−0.95)	(−3.10)	(1.71)	(−3.15)	(−3.55)	(0.11)	(−3.26)	(−3.23)
SIZE	1.11***	0.23	−0.87***	0.70***	−0.38	−1.08***	0.17	−0.86**	−1.03***
SIZE	(2.92)	(0.46)	(−2.67)	(3.07)	(−1.26)	(−3.58)	(1.34)	(−2.38)	(−2.85)
STR	0.72**	−0.28	−1.00**	0.25*	−0.98**	−1.23***	0.13	−1.32***	−1.45**
STR	(1.97)	(−0.48)	(−2.05)	(1.72)	(−2.40)	(−2.69)	(0.87)	(−2.75)	(−2.53)
VOLDU	0.65*	0.12	−0.52	0.22	−0.52	−0.74*	−0.08	−0.95**	−0.88**
VOLDU	(1.70)	(0.22)	(−1.29)	(1.16)	(−1.33)	(−1.90)	(−0.61)	(−2.19)	(−2.01)

Note(s): The stocks were first sorted by control variable and subsequently sorted by PC1 within each control group. For each quintile by PC1, value-weighted returns are averaged across the control groups. To save space, excess returns, CAPM alphas and FF3 alphas are computed only for low-, high-, and high-minus-low portfolios. 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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