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)