Panel A. Monthly Data Observations


PML^{F}_{t}

H
_{
t}
^{52}

H
_{
t}
^{max}

H
^{52}
_{
t+1}

H
^{max}
_{
t+1}

0.136^{***}
    
0.053

2.859^{***}

0.464^{**}
  
0.021

1.865^{***}

25.152^{***}

5.607^{**}

25.926^{***}

Panel B. Quarterly Data Observations

PML^{F}_{t}

H
_{
t}
^{52}

H
_{
t}
^{max}

H
^{52}
_{
t+1}

H
^{max}
_{
t+1}

0.292^{***}
    
0.177^{**}

0.178

0.059
  
0.092^{*}

0.032

1.247^{***}

0.345^{*}

1.387^{***}

 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 mean reversion indicator controlled is presented as follows,

\( {\displaystyle \begin{array}{l}{{PMG^F}_t}_{+1}=C+\upalpha {PML_t}^F+{\upbeta}_1{H_t}^{52}+{\upbeta}_2{H_t}^{max}+{\upvarepsilon}_{\mathrm{t}+1,}\\ {}{{PMG_t}^F}_{+1}=C+\upalpha {PML_t}^F+{\upbeta}_1{H_t}^{52}+{\upbeta}_2{H_t}^{max}+{\upbeta}_3{{H^{52}}_t}_{+1}+{\upbeta}_4{{H^{max}}_t}_{+ 1}+{\varepsilon}_{t+1.},\end{array}} \)
 The constant C is not reported in the table for spacesaving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%