spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Long-short quintile portfolios sorted on option-implied variables (individual stocks).}4\label{tab:sorts}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrrrr@{}}8\toprule9Sorting variable & Ann.\ ret.\ (\%) & Ann.\ vol.\ (\%) & Sharpe & $t_{NW}$ & $t_{iid}$ & $N_{days}$ \\10\midrule11\multicolumn{7}{@{}l}{\textit{Panel A: 5-day forward returns}} \\12$IV_{ATM,30d}$ & 14.51 & 25.46 & 0.570 & 2.71\sym{***} & 4.86 & 3{,}777 \\13PC volume ratio & 5.06 & 12.15 & 0.416 & 2.64\sym{***} & 3.66 & 4{,}024 \\14PC OI ratio & 5.48 & 13.17 & 0.416 & 2.03\sym{**} & 3.66 & 4{,}024 \\15Skew$_{25\delta}$ & 5.86 & 19.24 & 0.305 & 1.54 & 2.60 & 3{,}778 \\16IV term slope & $-$2.86 & 19.79 & $-$0.145 & $-$0.64 & $-$1.04 & 2{,}676 \\17Implied kurtosis & $-$6.12 & 18.32 & $-$0.334 & $-$1.66\sym{*} & $-$2.85 & 3{,}777 \\18Implied skewness & $-$8.80 & 18.02 & $-$0.488 & $-$2.41\sym{**} & $-$4.16 & 3{,}777 \\19\addlinespace20\multicolumn{7}{@{}l}{\textit{Panel B: 1-day forward returns}} \\21$IV_{ATM,30d}$ & 13.88 & 25.55 & 0.543 & 2.10\sym{**} & 2.10 & 3{,}777 \\22PC volume ratio & 6.24 & 12.04 & 0.518 & 2.07\sym{**} & 2.07 & 4{,}024 \\23PC OI ratio & 5.13 & 13.28 & 0.386 & 1.54 & 1.54 & 4{,}024 \\24Skew$_{25\delta}$ & 3.08 & 19.70 & 0.157 & 0.61 & 0.61 & 3{,}778 \\25IV term slope & $-$4.83 & 20.46 & $-$0.236 & $-$0.77 & $-$0.77 & 2{,}676 \\26Implied kurtosis & $-$7.85 & 18.30 & $-$0.429 & $-$1.66\sym{*} & $-$1.66 & 3{,}777 \\27Implied skewness & $-$8.33 & 17.91 & $-$0.465 & $-$1.80\sym{*} & $-$1.80 & 3{,}777 \\28\bottomrule29\end{tabular}30\begin{tablenotes}[flushleft]\footnotesize31\item \textit{Notes.} Equal-weighted quintile portfolios of individual stocks formed on each trading day; the long-short portfolio is Q5$-$Q1. Panel A: 5-day forward returns $\sum_{j=1}^{5} r_{t+j}$, annualized with 52 periods; the daily series of 5-day returns overlaps, so $t_{NW}$ uses Newey--West standard errors with 4 lags while $t_{iid}$ ignores the overlap (the statistic reported in version~1.1). Panel B: next-day returns, annualized with 252 periods. \sym{***}, \sym{**}, \sym{*}: $|t_{NW}|>2.576$, $1.96$, $1.645$.32\end{tablenotes}33\end{threeparttable}34\end{table}35