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Table 13 Quarterly Regression with Business-cycle Related Variables Controlled

From: Timing the market: the economic value of price extremes

PML F t

BM t

BM t+1

PML F t

DE t

DEtt+1

PML F t

DFY t

DFYt+1

PML F t

DP t

DPt+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

IKt+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

   
  1. Note. Our benchmark model is PMGFt+1=C+PMLtFt+1, where PMGF and PMLF 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,
  2. \( {\displaystyle \begin{array}{l}{{PMG^F}_t}_{+1}=C+\alpha {PML_t}^F+{\upbeta}_1{M}_t+{\upvarepsilon}_{\mathrm{t}+1,}\\ {}{{PMG_t}^F}_{+1}=C+{PML_t}^F+{\upbeta}_1{M}_t+{\upbeta}_2{M}_{t+1}+{\upvarepsilon}_{\mathrm{t}+1},\end{array}} \)
  3. where Mt 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%