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

Table 5

Return differences between extreme IVOL_i,t−1 portfolios within different portfolios sorts by individual limits to arbitrage measure.

Panel A: equally weighted extreme portfolios’ mean return differences
Individual limits to arbitrage measures		AMHi,t		PLNi,t		MSTi,t
Level of limits to arbitrage	Returns	P1–P10	t-statistics	P1–P10	t-statistics	P1–P10	t-statistics
Lowest	Ri,t	0.85	4.14	0.51	2.97	1.45	5.58
	ARi,t	1.05	7.09	0.68	5.41	1.74	8.14
Middle	Ri,t	1.44	7.12	1.34	6.42
	ARi,t	1.46	9.83	1.31	8.42
Highest	Ri,t	2.37	11.77	2.43	10.63	2.60	5.26
	ARi,t	2.54	16.11	2.39	14.05	3.04	8.18
Panel B: market value equally weighted extreme portfolios’ mean return differences
Individual limits to arbitrage measures		AMHi,t		PLNi,t		MSTi,t
Level of limits to arbitrage	Returns	P1–P10	t-statistics	P1–P10	t-statistics	P1–P10	t-statistics
Lowest	Ri,t	−1.30	−5.77	−0.44	−2.76	−0.15	−0.52
	ARi,t	0.26	1.56	0.29	2.22	1.09	4.41
Middle	Ri,t	−0.60	−2.80	0.90	3.96
	ARi,t	0.71	4.33	0.78	4.29
Highest	Ri,t	1.49	7.05	2.68	10.57	0.51	0.89
	ARi,t	3.25	18.25	2.53	12.77	5.12	11.53