spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Double sort: ATM\,IV $\times$ implied skewness $\to$ 5-day returns (bps/week).}4\label{tab:dsort}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrr@{}}8\toprule9& Low skew & Medium & High skew & \textit{High$-$Low skew} \\10\midrule11Low IV & 12.2\sym{*} & 13.7\sym{**} & 18.8\sym{***} & 5.3 \\12 & (1.70) & (2.52) & (3.56) & (1.00) \\13Medium IV & 22.3\sym{***} & 30.3\sym{***} & 25.7\sym{***} & 4.0 \\14 & (3.02) & (4.11) & (3.37) & (0.72) \\15High IV & 40.1\sym{***} & 33.0\sym{***} & 34.0\sym{***} & $-$17.9 \\16 & (3.55) & (3.31) & (2.59) & ($-$1.52) \\17\midrule18\textit{High$-$Low IV} & 23.1\sym{**} & 20.1\sym{**} & 15.7 &  \\19 & (2.00) & (2.45) & (1.42) &  \\20\bottomrule21\end{tabular}22\begin{tablenotes}[flushleft]\footnotesize23\item \textit{Notes.} Independent daily tercile sorts of individual stocks on $IV_{ATM,30d}$ and implied skewness; cells report the time-series mean of the daily equal-weighted cell portfolio's 5-day forward return in basis points per week, with Newey--West (4 lags) $t$-statistics in parentheses. The last row and column are differences between the daily High and Low portfolio returns. \sym{***}, \sym{**}, \sym{*}: $|t|>2.576$, $1.96$, $1.645$.24\end{tablenotes}25\end{threeparttable}26\end{table}27