spb/phd_thesis Public

1\begin{landscape}2\begin{table}[htbp]3\centering4\small5\caption{Panel Regressions: Beta on Post $\times$ Novelty (5-min)}6\label{ch3:tab:panel_beta_novelty}7\begin{threeparttable}8\begin{tabular}{lcccccc}9\toprule10 & VIX Futures & 10Y T-Note & 5Y T-Note & Dollar Index & Crude Oil WTI & Gold \\11\midrule12Intercept & -0.6861*** & -0.0144 & -0.0114 & -0.0017 & 0.1629*** & 0.0538** \\13 & (0.1540) & (0.0120) & (0.0070) & (0.0011) & (0.0582) & (0.0268) \\14Post $\times$ Novelty & -0.1361 & -0.0116 & -0.0064 & -0.0037 & -0.0295 & -0.0445 \\15 & (0.1765) & (0.0080) & (0.0048) & (0.0030) & (0.0706) & (0.0204) \\16\midrule17$N$ & 4,798 & 5,724 & 5,724 & 5,724 & 5,724 & 5,663 \\18$R^2$ & 0.001 & 0.001 & 0.001 & 0.005 & 0.000 & 0.002 \\19Adj.\ $R^2$ & 0.000 & 0.000 & 0.000 & 0.005 & 0.000 & 0.001 \\20\bottomrule21\end{tabular}22\begin{tablenotes}[flushleft]23\small24\item \textit{Notes:} Dependent variable: Realized Beta (5-min). Post$\times$Stance = $\mathbf{1}[t > 0] \times \text{Stance}$ (z-scored). Post$\times$Novelty = $\mathbf{1}[t > 0] \times \text{Novelty}$ (z-scored). $K = 5$ min rolling window, $\pm 30$ min event window. Clustered SE by event date. Stars: BH-adjusted.25\item $^{***}p<0.01$, $^{**}p<0.05$, $^{*}p<0.10$.26\end{tablenotes}27\end{threeparttable}28\end{table}29\end{landscape}30