spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Winsorization and HAC-lag sensitivity (5-day returns).}4\label{tab:winsor}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrrr@{}}8\toprule9& $R^2$ (\%) & $t_{\text{impl.\ skew}}$ & $t_{\text{impl.\ kurt}}$ & $t_{\text{PC vol}}$ & \#sig.\ (5\%) \\10\midrule11\multicolumn{6}{@{}l}{\textit{Panel A: winsorization cutoff (5-day return, HC1 $t$-statistics)}} \\12None & 0.30 & 0.29 & $-$0.47 & 0.28 & 4/10 \\130.5\% & 0.28 & $-$1.91 & 1.48 & 2.44 & 4/10 \\141\% (baseline) & 0.31 & $-$3.60 & 2.08 & 2.86 & 6/10 \\152.5\% & 0.34 & $-$4.66 & 1.89 & 3.41 & 5/10 \\165\% & 0.38 & $-$3.50 & 0.81 & 4.06 & 6/10 \\17\addlinespace18\multicolumn{6}{@{}l}{\textit{Panel B: Newey--West lag length (5-day return, baseline winsorization)}} \\19NW(5) & & $-$2.46 & 1.37 & 2.20 & 4/10 \\20NW(10) & & $-$2.37 & 1.32 & 2.11 & 4/10 \\21NW(22) & & $-$2.32 & 1.32 & 2.08 & 3/10 \\22\bottomrule23\end{tabular}24\begin{tablenotes}[flushleft]\footnotesize25\item \textit{Notes.} Pooled 5-day return regression on the full panel (ten predictors). Panel A varies the symmetric winsorization cutoff applied to predictors and target. Panel B varies the Newey--West lag length. The last column counts predictors with $|t|>1.96$.26\end{tablenotes}27\end{threeparttable}28\end{table}29