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

Table 4

Mean returns of each portfolio sorted by CM_i,t and IVOL_i,t−1.

	CM	Return	D1	D2	D3	D4	D5	D6	D7	D8	D9	D10	D1–D10	T
Equally weighted	L-CMi,t	Ri,t	1.58	1.70	1.73	1.66	1.82	1.78	1.76	1.61	1.54	1.01	0.57	2.97
		ARi,t	0.63	0.68	0.75	0.68	0.82	0.80	0.75	0.63	0.51	−0.06	0.68	4.97
	M-CMi,t	Ri,t	0.91	1.10	1.21	1.21	1.11	1.14	0.86	0.68	0.61	−0.02	0.93	4.62
		ARi,t	0.10	0.28	0.38	0.28	0.21	0.19	−0.09	−0.28	−0.31	−1.04	1.15	7.69
	H-CMi,t	Ri,t	0.66	0.58	0.72	0.71	0.58	0.40	−0.04	−0.08	−0.67	−1.51	2.17	10.27
		ARi,t	−0.23	−0.40	−0.30	−0.34	−0.44	−0.54	−1.04	−1.10	−1.67	−2.55	2.31	14.23
Market value weighted	L-CMi,t	Ri,t	1.88	1.89	2.83	2.21	2.45	2.69	2.73	2.33	2.59	2.40	−0.53	−0.66
		ARi,t	0.73	0.79	1.63	0.98	1.25	1.35	1.37	1.12	1.21	0.59	0.14	0.96
	M-CMi,t	Ri,t	1.67	1.68	2.04	2.37	2.02	2.13	1.71	1.73	1.95	1.753	−0.08	−0.39
		ARi,t	1.23	0.93	0.99	1.08	1.06	0.77	0.20	0.22	0.19	−0.46	1.69	10.37
	H-CMi,t	Ri,t	1.52	1.48	2.68	2.29	1.86	1.85	1.96	2.06	1.46	0.21	1.31	5.91
		ARi,t	0.61	0.34	1.19	0.79	0.64	0.49	0.29	0.21	−0.12	−2.19	2.81	15.33