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1======================================================================2EXTENDED ROBUSTNESS ANALYSES3======================================================================45--- A. WINSORIZATION SENSITIVITY (5-day returns) ---6 None : R²=0.0030, t_kurt= -0.47, t_pc= 0.28, sig=4/107 0.5% : R²=0.0028, t_kurt= 1.48, t_pc= 2.44, sig=4/108 1% (baseline) : R²=0.0031, t_kurt= 2.08, t_pc= 2.86, sig=6/109 2.5% : R²=0.0034, t_kurt= 1.89, t_pc= 3.41, sig=5/1010 5% : R²=0.0038, t_kurt= 0.81, t_pc= 4.06, sig=6/101112--- B. NEWEY-WEST LAG SENSITIVITY ---13 1-Day | NW( 5): 4/10 significant at 5%14 1-Day | NW(10): 4/10 significant at 5%15 1-Day | NW(22): 4/10 significant at 5%16 5-Day | NW( 5): 4/10 significant at 5%17 5-Day | NW(10): 4/10 significant at 5%18 5-Day | NW(22): 3/10 significant at 5%1920--- C. RANK-BASED INFORMATION COEFFICIENTS (stocks) ---21 1-Day | iv_atm_30d : IC=+0.0140, t= 1.84, %>0= 52.222 1-Day | iv_term_slope : IC=-0.0013, t= -0.25, %>0= 49.223 1-Day | iv_skew_25d : IC=+0.0200, t= 3.51, %>0= 53.124 1-Day | implied_skewness : IC=-0.0018, t= -0.32, %>0= 50.325 1-Day | implied_kurtosis_proxy : IC=-0.0083, t= -1.44, %>0= 49.026 1-Day | pc_volume_ratio : IC=+0.0133, t= 3.10, %>0= 54.227 1-Day | pc_oi_ratio : IC=+0.0071, t= 1.56, %>0= 51.028 1-Day | net_gamma_exposure : IC=-0.0107, t= -2.17, %>0= 48.129 1-Day | rv_daily : IC=-0.0004, t= -0.06, %>0= 50.030 1-Day | rv_w : IC=+0.0019, t= 0.28, %>0= 50.131 5-Day | iv_atm_30d : IC=+0.0364, t= 4.78, %>0= 56.032 5-Day | iv_term_slope : IC=-0.0042, t= -0.82, %>0= 48.833 5-Day | iv_skew_25d : IC=+0.0246, t= 4.41, %>0= 53.034 5-Day | implied_skewness : IC=-0.0178, t= -3.14, %>0= 46.535 5-Day | implied_kurtosis_proxy : IC=-0.0188, t= -3.21, %>0= 46.736 5-Day | pc_volume_ratio : IC=+0.0164, t= 3.85, %>0= 53.437 5-Day | pc_oi_ratio : IC=+0.0135, t= 2.98, %>0= 51.938 5-Day | net_gamma_exposure : IC=-0.0203, t= -4.24, %>0= 46.939 5-Day | rv_daily : IC=+0.0160, t= 2.55, %>0= 51.140 5-Day | rv_w : IC=+0.0157, t= 2.36, %>0= 52.04142--- D. DECILE SORTS (D10 - D1, 5-day returns) ---43 Implied Kurtosis | Quintile (baseline) : ann.ret= -6.12%, Sharpe=-0.334, t= -1.6644 Implied Kurtosis | Decile : ann.ret= -7.02%, Sharpe=-0.298, t= -1.5145 Put-Call Volume Ratio | Quintile (baseline) : ann.ret= 5.06%, Sharpe= 0.416, t= 2.6446 Put-Call Volume Ratio | Decile : ann.ret= 5.55%, Sharpe= 0.339, t= 2.2947 Volatility Skew (25d) | Quintile (baseline) : ann.ret= 5.86%, Sharpe= 0.305, t= 1.5448 Volatility Skew (25d) | Decile : ann.ret= 3.59%, Sharpe= 0.136, t= 0.704950--- E. LEAVE-ONE-YEAR-OUT PANEL R² ---51 excl. 2010: 5D-ret R²=0.0033, HAR R²=0.4175, HAR+IV RV R²=0.460852 excl. 2011: 5D-ret R²=0.0037, HAR R²=0.4174, HAR+IV RV R²=0.460853 excl. 2012: 5D-ret R²=0.0030, HAR R²=0.4186, HAR+IV RV R²=0.461654 excl. 2013: 5D-ret R²=0.0032, HAR R²=0.4148, HAR+IV RV R²=0.457855 excl. 2014: 5D-ret R²=0.0029, HAR R²=0.4194, HAR+IV RV R²=0.460656 excl. 2015: 5D-ret R²=0.0028, HAR R²=0.4220, HAR+IV RV R²=0.464957 excl. 2016: 5D-ret R²=0.0027, HAR R²=0.4182, HAR+IV RV R²=0.459958 excl. 2017: 5D-ret R²=0.0036, HAR R²=0.4175, HAR+IV RV R²=0.458959 excl. 2018: 5D-ret R²=0.0032, HAR R²=0.4248, HAR+IV RV R²=0.463760 excl. 2019: 5D-ret R²=0.0032, HAR R²=0.4201, HAR+IV RV R²=0.463561 excl. 2020: 5D-ret R²=0.0027, HAR R²=0.3299, HAR+IV RV R²=0.394162 excl. 2021: 5D-ret R²=0.0030, HAR R²=0.4164, HAR+IV RV R²=0.460063 excl. 2022: 5D-ret R²=0.0053, HAR R²=0.4196, HAR+IV RV R²=0.460064 excl. 2023: 5D-ret R²=0.0026, HAR R²=0.4232, HAR+IV RV R²=0.465365 excl. 2024: 5D-ret R²=0.0032, HAR R²=0.4198, HAR+IV RV R²=0.462166 excl. 2025: 5D-ret R²=0.0028, HAR R²=0.4182, HAR+IV RV R²=0.46186768--- F. PLACEBO TEST (features permuted within ticker) ---69 Actual R²: 0.0031 (N=119,081)70 Placebo R² over 10 draws: mean=0.000379, max=0.0004687172EXTENDED ROBUSTNESS COMPLETE.73real 14,5574user 14,2175sys 0,4676