Research Article
[Retracted] Can Limits to Arbitrage Explain Stock Price Idiosyncratic Volatility Premium Puzzle in China’s A-Share Market?
Table 3
Fama and MacBeth [
12] regression results.
| | | Equal weight | Market value weighted |
| | Intercept | 0.003 (6.83) | 0.001 (1.38) | 0.007 (16.03) | 0.003 (3.98) | | IVOLF | | −0.013 (−4.50) | | −0.306 (−4.67) | | MKT | 0.985 (98.24) | 0.972 (90.32) | 0.977 (88.22) | 0.957 (79.51) | | SMB | 0.777 (54.30) | 0.748 (40.66) | 0.717 (45.48) | 0.683 (33.84) | | HML | −0.257 (−14.60) | −0.262 (−14.76) | −0.351 (−17.11) | −0.353 (−17.24) | | Adj_R2 | 49.230 | 50.791 | 47.950 | 49.931 |
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Note.Statistical significance at 1% level. |
