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

Table 6

Extended periods’ mean return difference of each extreme IVOL portfolio within different portfolios sorts by individual limits to arbitrage measure.

Returns	CRi,t+2	CRi,t+3	CRi,t+4	CRi,t+5	CRi,t+6	CRi,t+7
L-CM	−0.86	−1.00	−1.49	−1.06	−0.45	−0.55
M-CM	0.56	0.89	1.19	2.08	3.26	4.27
H-CM	3.03	3.51	4.99	6.92	8.06	9.97
H-L	3.89	4.51	6.48	7.97	8.51	10.51
Returns	CARi,t+2	CARi,t+3	CARi,t+4	CARi,t+5	CARi,t+6	CARi,t+7
L-CM	0.23	0.14	−0.19	−0.050	0.229	−0.107
M-CM	2.76	3.59	4.46	4.98	6.272	7.184
H-CM	4.79	5.23	6.88	8.44	10.04	11.09
H-L	4.57	5.09	7.07	8.49	9.82	11.19

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