| Low Ivol | 2 | 3 | 4 | High Ivol | High-Low |
CSR1 | 0.0888 | 0.0445 | 0.0026 | 0.0037 | −0.0304 | −0.1192 *** |
(−3.18) | ||||||
CSR2 | 0.1154 | 0.0252 | 0.0460 | 0.0049 | −0.0094 | −0.1248 *** |
(−3.53) | ||||||
CSR3 | 0.0947 | 0.0277 | −0.0120 | 0.0211 | 0.0529 | −0.0418 |
(−0.60) | ||||||
CSR4 | 0.1010 | 0.1448 | 0.0412 | 0.0475 | 0.0529 | −0.0481 |
(−0.90) | ||||||
CSR5 | 0.0771 | 0.1582 | 0.0837 | 0.0833 | 0.0234 | −0.0537 |
(−1.24) | ||||||
Avg (V5-V1) | 0.0954 | 0.0801 | 0.0323 | 0.0321 | 0.0179 | −0.0775 * |
(−2.29) |