High IVOL-Low IVOL

Avg (V5-V1)

CSR1

CSR2

CSR3

CSR4

CSR5

IVOL-CAPM

−0.0122***

−0.0081**

0.0019

−0.0011

−0.0009

−0.0036

(−3.36)

(−2.06)

(0.38)

(−0.24)

(−0.20)

(−1.29)

IVOL-FF5

−0.0198***

−0.0142***

−0.0023

−0.0020

−0.0052

−0.0075**

(−6.56)

(−3.99)

(−0.40)

(−0.46)

(−1.02)

(−2.89)

IVOL-CH3

−0.0179***

−0.0140***

−0.0031

−0.0055

−0.0018

−0.0069**

(−5.86)

(−4.16)

(−0.59)

(−1.23)

(−0.33)

(−2.68)