spb/phd_thesis Public

1\begin{landscape}2\begin{table}[htbp]3\centering4\small5\caption{Price IRF: Novelty on Abnormal Cumulative Return}6\label{tab:irf_novelty_abn_h}7\begin{threeparttable}8\begin{tabular}{lccccc}9\toprule10 & $h = 5$ min & $h = 15$ min & $h = 30$ min & $h = 60$ min & $h = 120$ min \\11\midrule12E-mini S\&P 500 & -- & -- & -- & -- & -- \\13VIX Futures & 10.21 & 1.84 & -4.80 & -10.09 & 7.18 \\14 & (9.77) & (10.47) & (8.32) & (6.08) & (10.24) \\1510Y T-Note & 1.81 & 2.59 & 2.17 & 2.48 & 7.61 \\16 & (0.97) & (2.14) & (1.87) & (2.07) & (3.41) \\175Y T-Note & 0.38 & 1.26 & 0.81 & 0.61 & 5.00 \\18 & (0.58) & (1.71) & (1.37) & (1.91) & (2.57) \\19Dollar Index & 1.40 & 1.72 & 1.26 & 1.56 & 4.51 \\20 & (1.48) & (2.77) & (2.28) & (2.92) & (3.68) \\21Crude Oil WTI & 0.47 & 0.60 & -3.13 & -1.42 & 2.62 \\22 & (3.34) & (3.64) & (7.50) & (6.75) & (5.73) \\23Gold & -0.30 & 2.34 & 1.43 & -0.21 & 6.27 \\24 & (1.46) & (3.08) & (2.70) & (2.63) & (2.70) \\25\midrule26$N$ & 148 & 148 & 148 & 148 & 148 \\27\bottomrule28\end{tabular}29\begin{tablenotes}[flushleft]30\small31\item \textit{Notes:} Jord\`a (2005) local projection: $\text{CumRet}_i(0 \to h) = \alpha + \beta_1 \text{Stance} + \beta_2 \text{Novelty} + \beta_3 \text{Stance} \times \text{Novelty} + \varepsilon$. Coefficient on Novelty reported in basis points ($\times 10^4$). All regressors z-scored. Newey--West HAC standard errors in parentheses. ES entries are omitted because abnormal returns are defined relative to the ES benchmark and are zero by construction. Pre-announcement placebo test passed: no significant pre-event coefficients.32\item $^{***}p<0.01$, $^{**}p<0.05$, $^{*}p<0.10$ (Benjamini--Hochberg adjusted within each (DV, model) family).33\end{tablenotes}34\end{threeparttable}35\end{table}36\end{landscape}37