spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Daily cross-sectional Spearman information coefficients (individual stocks).}4\label{tab:ic}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrrrr@{}}8\toprule9& \multicolumn{3}{c}{5-day return} & \multicolumn{3}{c}{1-day return} \\10\cmidrule(lr){2-4}\cmidrule(lr){5-7}11Predictor & Mean IC & $t$ & \% days $>0$ & Mean IC & $t$ & \% days $>0$ \\12\midrule13$IV_{ATM,30d}$ & 0.0364 & 4.78\sym{***} & 56.0 & 0.0140 & 1.84\sym{*} & 52.2 \\14Skew$_{25\delta}$ & 0.0246 & 4.41\sym{***} & 53.0 & 0.0200 & 3.51\sym{***} & 53.1 \\15PC volume ratio & 0.0164 & 3.85\sym{***} & 53.4 & 0.0133 & 3.10\sym{***} & 54.2 \\16$RV_t$ & 0.0160 & 2.55\sym{**} & 51.1 & $-$0.0004 & $-$0.06 & 50.0 \\17$RV_t^{(w)}$ & 0.0157 & 2.36\sym{**} & 52.0 & 0.0019 & 0.28 & 50.1 \\18PC OI ratio & 0.0135 & 2.98\sym{***} & 51.9 & 0.0071 & 1.56 & 51.0 \\19IV term slope & $-$0.0042 & $-$0.82 & 48.8 & $-$0.0013 & $-$0.25 & 49.2 \\20Implied skewness & $-$0.0178 & $-$3.14\sym{***} & 46.5 & $-$0.0018 & $-$0.32 & 50.3 \\21Implied kurtosis & $-$0.0188 & $-$3.21\sym{***} & 46.7 & $-$0.0083 & $-$1.44 & 49.0 \\22Net gamma exposure & $-$0.0203 & $-$4.24\sym{***} & 46.9 & $-$0.0107 & $-$2.17\sym{**} & 48.1 \\23\bottomrule24\end{tabular}25\begin{tablenotes}[flushleft]\footnotesize26\item \textit{Notes.} For each trading day with at least 20 stocks, the Spearman rank correlation between the predictor and the forward return is computed across stocks (1{,}965 days); the table reports the time-series mean, its $t$-statistic (i.i.d.\ standard error, as in version~1.1; with 4 Newey--West lags the 5-day statistics would be roughly halved) and the share of days with a positive IC. \sym{***}, \sym{**}, \sym{*}: $|t|>2.576$, $1.96$, $1.645$.27\end{tablenotes}28\end{threeparttable}29\end{table}30