spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Return predictability for individual stocks: coefficients and $t$-statistics.}4\label{tab:rq1_coef}5\begin{threeparttable}6\footnotesize7\begin{tabular}{@{}lrrrrrrrr@{}}8\toprule9& \multicolumn{4}{c}{1-day return} & \multicolumn{4}{c}{5-day return} \\10\cmidrule(lr){2-5}\cmidrule(lr){6-9}11& \multicolumn{2}{c}{Pooled OLS} & \multicolumn{2}{c}{Fama--MacBeth} & \multicolumn{2}{c}{Pooled OLS} & \multicolumn{2}{c}{Fama--MacBeth} \\12\cmidrule(lr){2-3}\cmidrule(lr){4-5}\cmidrule(lr){6-7}\cmidrule(lr){8-9}13Predictor & $b$ & $(t)$ & $b$ & $(t)$ & $b$ & $(t)$ & $b$ & $(t)$ \\14\midrule15$IV_{ATM,30d}$ & 3.5\sym{**} & (2.40) & 3.3 & (0.85) & 8.2\sym{**} & (2.51) & 14.6 & (1.30) \\16IV term slope & 1.3 & (1.48) & 1.0 & (0.51) & 1.7 & (0.81) & 4.2 & (0.69) \\17Skew$_{25\delta}$ & 4.7\sym{***} & (2.89) & 4.2 & (1.12) & 16.9\sym{***} & (4.98) & 18.3\sym{**} & (1.99) \\18Implied skewness & $-$1.6 & ($-$1.12) & $-$1.4 & ($-$0.35) & $-$5.8\sym{*} & ($-$1.93) & $-$13.6 & ($-$1.54) \\19Implied kurtosis & 0.4 & (0.49) & $-$2.3 & ($-$0.95) & 6.1\sym{***} & (3.14) & 0.2 & (0.03) \\20PC volume ratio & 1.0\sym{*} & (1.66) & 1.4 & (0.79) & 6.1\sym{***} & (4.49) & 5.1 & (1.46) \\21PC OI ratio & $-$0.4 & ($-$0.57) & 2.0 & (0.76) & 0.5 & (0.30) & 0.5 & (0.11) \\22Net gamma exposure & 0.2 & (0.32) & 3.6\sym{*} & (1.79) & $-$1.0 & ($-$0.78) & 3.9 & (0.77) \\23$RV_t$ & $-$2.8\sym{*} & ($-$1.89) & 5.8 & (0.93) & $-$1.3 & ($-$0.45) & $-$1.6 & ($-$0.10) \\24$RV_t^{(w)}$ & $-$1.0 & ($-$0.71) & $-$13.3\sym{*} & ($-$1.79) & 1.6 & (0.52) & $-$21.8 & ($-$1.42) \\25\bottomrule26\end{tabular}27\begin{tablenotes}[flushleft]\footnotesize28\item \textit{Notes.} Individual stocks (49 tickers, 79{,}943 ticker-days). Coefficients are in basis points of $h$-day return per one-standard-deviation change in the predictor. Pooled OLS: HC1 $t$-statistics. Fama--MacBeth: daily cross-sectional regressions (2{,}415 days at 1 day, 2{,}415 at 5 days; at least 10 stocks per day); $t$-statistics from the time series of slopes with Newey--West standard errors (0 lags at 1 day, 4 lags at 5 days). \sym{***}, \sym{**}, \sym{*}: $|t|>2.576$, $1.96$, $1.645$.29\end{tablenotes}30\end{threeparttable}31\end{table}32