Timing the market: the economic value of price extremes

Financial Innovation

Table 17 Regression with Skewness Controlled

Panel A: Monthly Data Observations			Panel B: Quarterly Data Observations
PML _t ^F	SK _t	SK _t+1	PML _t ^F	SK _t	SK _t+1
0.136^***			0.292^***
0.146^***	0.055		0.300^***	0.013
0.144^***	-0.102	0.176	0.298^***	0.010	0.004

Note;SK_t is the skewness indicator. Our benchmark model is PMG^F_t+1 =C+αPML_t^F+ε_t+1, where PMG^F_t+1 and PML_t^F are filtered observations. Regression with skewness controlled is presented as follows,
PMG^F_t+1 = C + αPML_t^F + β₁SK_t + β₂SK_t + 1 + ε_t + 1
The constant C is not reported in the table for space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%