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Table 15 Regression with 52-week High and Historical High Controlled

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

Panel A. Monthly Data Observations
PMLFt 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
PMLFt 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***
  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 mean reversion indicator controlled is presented as follows,
  2. \( {\displaystyle \begin{array}{l}{{PMG^F}_t}_{+1}=C+\upalpha {PML_t}^F+{\upbeta}_1{H_t}^{52}+{\upbeta}_2{H_t}^{max}+{\upvarepsilon}_{\mathrm{t}+1,}\\ {}{{PMG_t}^F}_{+1}=C+\upalpha {PML_t}^F+{\upbeta}_1{H_t}^{52}+{\upbeta}_2{H_t}^{max}+{\upbeta}_3{{H^{52}}_t}_{+1}+{\upbeta}_4{{H^{max}}_t}_{+ 1}+{\varepsilon}_{t+1.},\end{array}} \)
  3. The constant C is not reported in the table for space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%