spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Return predictability with additional controls (5-day returns).}4\label{tab:controls}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrr@{}}8\toprule9Regressor & $b$ (bps) & $t_{HC1}$ \\10\midrule11$IV_{ATM,30d}$ & 6.37 & 2.51\sym{**} \\12IV term slope & $-$0.21 & $-$0.13 \\13Skew$_{25\delta}$ & 20.45 & 8.08\sym{***} \\14Implied skewness & $-$9.42 & $-$4.08\sym{***} \\15Implied kurtosis & 3.74 & 2.51\sym{**} \\16PC volume ratio & 2.48 & 2.33\sym{**} \\17PC OI ratio & $-$4.87 & $-$3.73\sym{***} \\18Net gamma exposure & $-$1.01 & $-$0.95 \\19$RV_t$ & 2.56 & 1.06 \\20$RV_t^{(w)}$ & 1.49 & 0.61 \\21\midrule22log option volume & 8.34 & 3.40\sym{***} \\23log open interest & $-$5.94 & $-$2.45\sym{**} \\24$|r_t|$ & $-$10.34 & $-$6.10\sym{***} \\25$r_{t}$ (lagged return) & $-$6.16 & $-$4.17\sym{***} \\26$\sum_{j=1}^{5} r_{t-j}$ & 1.31 & 0.88 \\27\bottomrule28\end{tabular}29\begin{tablenotes}[flushleft]\footnotesize30\item \textit{Notes.} Pooled 5-day return regression on the full panel with five additional controls; $R^2 = 0.40\%$ against 0.31\% without controls. \sym{***}, \sym{**}, \sym{*}: $|t|>2.576$, $1.96$, $1.645$.31\end{tablenotes}32\end{threeparttable}33\end{table}34