Timing the market: the economic value of price extremes

Financial Innovation

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

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 space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%