The High Idiosyncratic Volatility Low Return Puzzle

Table 9 (Continued)Table 9 - Panels C and DC. Returns (using the group of small stocks in the quintile 5)LN 1 3 6 121 0.33 [0.85] 0.47 [1.14] 0.62 [1.47] 0.75 [1.75]3 0.46 [1.15] 0.62 [1.50] 0.76 [1.79] 0.85 [1.96]6 0.65 [1.63] 0.79 [1.89] 0.90 [2.13] 0.96 [2.22]9 0.76 [1.90] 0.91 [2.18] 0.99 [2.35] 1.02 [2.38]12 0.86 [2.14] 0.99 [2.38] 1.07 [2.53] 1.07 [2.50]D. FF-3 alphas (using the group of small stocks in the quintile 5)LN 1 3 6 121 -0.29 [-1.24] -0.18 [-0.74] -0.05 [-0.21] 0.07 [0.27]3 -0.18 [-0.78] -0.04 [-0.17] 0.08 [0.31] 0.15 [0.60]6 -0.02 [-0.09] 0.09 [0.39] 0.19 [0.78] 0.25 [0.99]9 0.08 [0.37] 0.19 [0.80] 0.28 [1.11] 0.33 [1.31]12 0.17 [0.75] 0.28 [1.16] 0.36 [1.45] 0.40 [1.57]E. Returns (using the group of large stocks in quintile 5)LN 1 3 6 121 -1.03 [-3.16] -1.14 [-3.04] -1.23 [-3.17] -0.95 [-2.32]10