| 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) |