spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Quintile versus decile long-short sorts (5-day returns).}4\label{tab:decile}5\begin{threeparttable}6\small7\begin{tabular}{@{}llrrr@{}}8\toprule9Sorting variable & Scheme & Ann.\ ret.\ (\%) & Sharpe & $t_{NW}$ \\10\midrule11Implied kurtosis & Q5$-$Q1 & $-$6.12 & $-$0.334 & $-$1.66\sym{*} \\12 & D10$-$D1 & $-$7.02 & $-$0.298 & $-$1.51 \\13\addlinespace14PC volume ratio & Q5$-$Q1 & 5.06 & 0.416 & 2.64\sym{***} \\15 & D10$-$D1 & 5.55 & 0.339 & 2.29\sym{**} \\16\addlinespace17Skew$_{25\delta}$ & Q5$-$Q1 & 5.86 & 0.305 & 1.54 \\18 & D10$-$D1 & 3.59 & 0.136 & 0.70 \\19\bottomrule20\end{tabular}21\begin{tablenotes}[flushleft]\footnotesize22\item \textit{Notes.} Equal-weighted daily-rebalanced portfolios of individual stocks, 5-day forward returns, annualization with 52 periods; long-short is the top minus the bottom portfolio. $t_{NW}$: Newey--West with 4 lags. \sym{***}, \sym{**}, \sym{*}: $|t|>2.576$, $1.96$, $1.645$.23\end{tablenotes}24\end{threeparttable}25\end{table}26