Timing the market: the economic value of price extremes

Financial Innovation

Table 13 Quarterly Regression with Business-cycle Related Variables Controlled

PML ^F _t	BM _t	BM _t+1	PML ^F _t	DE _t	DE_tt+1	PML ^F _t	DFY _t	DFY_t+1	PML ^F _t	DP _t	DP_t+1
0.292^***
0.285^***	0.030		0.290^***	0.017		0.277^***	2.815^**		0.287^***	0.021
0..234^***	1.158^***	-1.150^***	0.310^***	0.095^**	-0.087^**	0.310^***	6.973^***	-4.833^*	0.248^***	0.851^***	0.851^***
PML ^F _t	DY _t	D _t+1	P ML ^F _t	EP _t	EP _t+1	PML ^F _t	INFL _t	INFL _t+1	PML ^F _t	LTR _t	LTR _t+1
0.301^***	0.023^*		0.291^***	0.011		0.292^***	0.000		0.294^***	0.212^**
0.440^***	0.252^**	-0.231^**	0.239^***	0.195^***	-0.196^***	0.294^***	0.304	-0.513	0.295^***	0.212^**	-0.018
PML _t ^F	LT Y _t	LTY _t+1	PML _t ^F	NTIS _t	NTIS _t+1	PML _t ^F	SVAR _t	SVAR _t+1	PML _t ^F	T BL _t	T BL _t+1
0.288^***	0.123		0.290^***	-0.440		0.261^***	0.784		0.291^***	0.015
0.284^***	0.665	-0.550	0.286^***	-0.128	-0.335	0.280^***	1.720^***	-2.435^***	0.289^***	0.257	-0.252
PML _t ^F	TMS _t	TMS _t+1	PML _t ^F	CAY _t	CAY _t+1	PML _t ^F	IK _t	IK_t+1
0.297^***	0.396		0.305^***	0.691^***		0.302^***	-1.544
0.296^***	0.126	0.319	0.315^***	4.026^***	-3.414^***	0.295^***	5.067	-6.779

Note. Our benchmark model is PMG^F_t+1=C+PML_t^F+ε_t+1, where PMG^F and PML^F are filtered observations. Filtered observations are used to alleviate the contamination of autocorrelations in PMG and PML. Regression with business-cycle related variables controlled is presented as follows,
\( {\displaystyle \begin{array}{l}{{PMG^F}_t}_{+1}=C+\alpha {PML_t}^F+{\upbeta}_1{M}_t+{\upvarepsilon}_{\mathrm{t}+1,}\\ {}{{PMG_t}^F}_{+1}=C+{PML_t}^F+{\upbeta}_1{M}_t+{\upbeta}_2{M}_{t+1}+{\upvarepsilon}_{\mathrm{t}+1},\end{array}} \)
where M_t represents business-cycle related variable. The constant C is not reported in the table for space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%