[Retracted] Can Limits to Arbitrage Explain Stock Price Idiosyncratic Volatility Premium Puzzle in China’s A-Share Market?

Table 2

Mean of equally and market value-weighted portfolios returns when sorted by IVOL_i,t−1.

Panel A: equally and market value-weighted return of five equal portfolios sorted by IVOLi,t−1
Portfolios		Q1	Q2		Q3		Q4		Q5		Q1–Q5		t-stat
Equally weighted	Rt	1.23	1.28		1.18		0.90		−0.18		1.42		17.09
	ARt	0.32	0.33		0.21		−0.09		−1.19		1.51		24.67
Market value weighted	Rt	1.87	1.97		2.22		2.164		1.51		0.37		4.30
	ARt	0.97	0.78		0.93		0.66		−0.42		1.39		20.32
Panel B: equally and market value-weighted returns of ten equal portfolios sorted by IVOLi,t−1
Portfolios		D1	D2	D3	D4	D5	D6	D7	D8	D9	D10	D10–D1	t-stat
Equally weighted	Rt	1.19	1.27	1.28	1.29	1.25	1.11	1.06	0.73	0.35	−0.72	1.91	16.20
	ARt	0.31	0.33	0.33	0.33	0.26	0.16	0.10	−0.27	−0.65	−1.73	2.04	23.17
Market value weighted	Rt	1.69	2.07	1.60	2.33	2.44	1.99	2.20	2.12	2.04	0.91	0.78	6.41
	ARt	0.92	1.03	0.50	1.07	1.14	0.71	0.73	0.60	0.32	−1.24	2.16	21.95

Note., , Statistical significance at 10%, 5%, and 1% levels, respectively.