Low Ivol

2

3

4

High Ivol

High-Low

CSR1

0.7227

0.4645

0.1912

−0.7859

−1.4063

−2.1290***

(−6.22)

CSR2

0.9357

1.1209

0.7731

0.2812

−0.4804

−1.4161***

(−3.63)

CSR3

0.5775

0.9349

0.8463

0.5444

0.1154

−0.4621

(−0.92)

CSR4

0.7006

0.9402

0.5885

0.6016

−0.0780

−0.7786

(−1.38)

CSR5

0.7511

0.6797

0.8548

0.7113

0.0171

−0.7339

(−1.57)

Avg (V5-V1)

0.7375

0.8280

0.6508

0.2705

−0.3664

−1.1040***

(−6.02)