spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Return predictability: pooled panel regressions by asset group.}4\label{tab:rq1}5\begin{threeparttable}6\footnotesize7\setlength{\tabcolsep}{4pt}8\begin{tabular}{@{}lrrrrrrrrrr@{}}9\toprule10& & & \multicolumn{4}{c}{1-day return} & \multicolumn{4}{c}{5-day return} \\11\cmidrule(lr){4-7}\cmidrule(lr){8-11}12Group & $N$ & Tickers & $R^2$ (\%) & Adj.\ $R^2$ (\%) & \#sig$_{5\%}$ & \#sig$_{B}$ & $R^2$ (\%) & Adj.\ $R^2$ (\%) & \#sig$_{5\%}$ & \#sig$_{B}$ \\13\midrule14Stocks & 79{,}943 & 49 & 0.08 & 0.07 & 2 & 0 & 0.29 & 0.27 & 4 & 3 \\15ETFs & 30{,}152 & 17 & 0.14 & 0.11 & 2 & 1 & 0.61 & 0.58 & 3 & 2 \\16Indices & 8{,}986 & 3 & 0.43 & 0.32 & 0 & 0 & 1.01 & 0.90 & 2 & 0 \\17All & 119{,}081 & 69 & 0.10 & 0.09 & 4 & 1 & 0.31 & 0.30 & 6 & 3 \\18\bottomrule19\end{tabular}20\begin{tablenotes}[flushleft]\footnotesize21\item \textit{Notes.} Pooled OLS of the $h$-day forward log return on the ten standardized predictors of Table~\ref{tab:variables} (plus $RV_t$ and $RV_t^{(w)}$), HC1 standard errors; all variables winsorized at the 1st and 99th percentiles. The 5-day return is $\sum_{j=1}^{5} r_{t+j}$. \#sig$_{5\%}$ counts predictors with $|t|>1.96$; \#sig$_{B}$ counts those clearing the Bonferroni threshold for the 20 tests of each horizon pair ($|t|>3.02$). $N$ is the number of ticker-days with all ten predictors observed.22\end{tablenotes}23\end{threeparttable}24\end{table}25