spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Calendar-time long-short strategies: gross performance, turnover and net-of-cost Sharpe ratios.}4\label{tab:calendar}5\begin{threeparttable}6\footnotesize7\begin{tabular}{@{}lrrrrrrrr@{}}8\toprule9& \multicolumn{4}{c}{Gross} & & & \multicolumn{2}{c}{Net Sharpe} \\10\cmidrule(lr){2-5}\cmidrule(lr){8-9}11Sorting variable & Ret.\ (\%) & Vol.\ (\%) & Sharpe & $t_{NW}$ & Turnover & Break-even (bps) & 10 bps & 25 bps \\12\midrule13\multicolumn{9}{@{}l}{\textit{Panel A: 5-day holding period}} \\14PC volume ratio & 4.91 & 8.62 & 0.57 & 2.29\sym{**} & 0.51 & 3.8 & $-$0.93 & $-$3.18 \\15$IV_{ATM,30d}$ & 13.59 & 25.06 & 0.54 & 2.19\sym{**} & 0.20 & 27.0 & 0.34 & 0.04 \\16PC OI ratio & 5.22 & 12.66 & 0.41 & 1.66\sym{*} & 0.14 & 14.6 & 0.13 & $-$0.29 \\17Skew$_{25\delta}$ & 4.92 & 18.01 & 0.27 & 1.12 & 0.39 & 5.0 & $-$0.27 & $-$1.09 \\18IV term slope & $-$3.31 & 18.54 & $-$0.18 & $-$0.69 & 0.45 & $-$2.9 & $-$0.79 & $-$1.70 \\19Implied kurtosis & $-$6.01 & 17.03 & $-$0.35 & $-$1.41 & 0.39 & $-$6.1 & $-$0.93 & $-$1.79 \\20Implied skewness & $-$8.72 & 16.86 & $-$0.52 & $-$2.09\sym{**} & 0.35 & $-$10.0 & $-$1.04 & $-$1.81 \\21\addlinespace22\multicolumn{9}{@{}l}{\textit{Panel B: 1-day holding period}} \\23$IV_{ATM,30d}$ & 13.88 & 25.55 & 0.54 & 2.16\sym{**} & 0.49 & 11.1 & 0.06 & $-$0.68 \\24PC volume ratio & 6.24 & 12.04 & 0.52 & 2.09\sym{**} & 2.32 & 1.1 & $-$4.33 & $-$11.50 \\25PC OI ratio & 5.13 & 13.28 & 0.39 & 1.56 & 0.29 & 7.1 & $-$0.16 & $-$0.98 \\26Skew$_{25\delta}$ & 3.08 & 19.70 & 0.16 & 0.63 & 1.30 & 0.9 & $-$1.51 & $-$3.99 \\27IV term slope & $-$4.83 & 20.46 & $-$0.24 & $-$0.79 & 1.04 & $-$1.8 & $-$1.52 & $-$3.43 \\28Implied kurtosis & $-$7.85 & 18.30 & $-$0.43 & $-$1.65\sym{*} & 1.27 & $-$2.5 & $-$2.17 & $-$4.77 \\29Implied skewness & $-$8.33 & 17.91 & $-$0.46 & $-$1.82\sym{*} & 1.18 & $-$2.8 & $-$2.13 & $-$4.61 \\30\bottomrule31\end{tabular}32\begin{tablenotes}[flushleft]\footnotesize33\item \textit{Notes.} Calendar-time implementation of the long-short quintile strategies (49 stocks): each day a new Q5$-$Q1 cohort is formed and held for $h$ trading days, so the strategy holds $h$ overlapping cohorts with weight $1/h$ each and its daily return series does not overlap \citep{jegadeesh1993returns}. Returns and volatilities are annualized with 252 days; $t_{NW}$ uses 5 Newey--West lags. Turnover is the average daily two-sided traded value $\sum_i |W_{t,i}-W_{t-1,i}|$ per unit of long leg; the break-even cost is the one-way proportional cost (basis points of traded value) at which the mean net return is zero; net Sharpe ratios deduct one-way costs of 10 and 25 bps \citep{novymarx2016taxonomy}. \sym{***}, \sym{**}, \sym{*}: $|t_{NW}|>2.576$, $1.96$, $1.645$.34\end{tablenotes}35\end{threeparttable}36\end{table}37