spb/phd_thesis Public

1\begin{landscape}2\begin{table}[htbp]3\centering4\small5\caption{Price IRF: Novelty on Cumulative Return}6\label{ch3:tab:irf_novelty_ret_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 & -0.99 & -1.42 & -0.65 & -0.61 & -3.91 \\13 & (0.56) & (1.70) & (1.34) & (1.82) & (2.25) \\14VIX Futures & 10.24 & 4.84 & -2.55 & -6.02 & 6.22 \\15 & (9.19) & (9.31) & (7.62) & (5.36) & (8.33) \\1610Y T-Note & 0.82 & 1.17 & 1.52 & 1.87 & 3.70 \\17 & (0.60) & (0.97) & (0.91) & (1.09) & (2.15) \\185Y T-Note & -0.61 & -0.16 & 0.16 & -0.00 & 1.08 \\19 & (0.41) & (0.10) & (0.17) & (0.27) & (0.47) \\20Dollar Index & 0.41 & 0.30 & 0.61 & 0.94 & 0.60 \\21 & (1.34) & (1.74) & (1.51) & (1.62) & (2.22) \\22Crude Oil WTI & -0.52 & -0.82 & -3.78 & -2.03 & -1.29 \\23 & (3.54) & (4.29) & (7.83) & (6.83) & (6.20) \\24Gold & -1.30 & 0.84 & 0.55 & -1.13 & 2.00 \\25 & (1.42) & (2.62) & (2.33) & (1.89) & (2.36) \\26\midrule27$N$ & 148 & 148 & 148 & 148 & 148 \\28\bottomrule29\end{tabular}30\begin{tablenotes}[flushleft]31\small32\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. Pre-announcement placebo test passed: no significant pre-event coefficients.33\item $^{***}p<0.01$, $^{**}p<0.05$, $^{*}p<0.10$ (Benjamini--Hochberg adjusted within each (DV, model) family).34\end{tablenotes}35\end{threeparttable}36\end{table}37\end{landscape}38