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Table 17 Regression with Skewness Controlled

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

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
  1. Note;SKt is the skewness indicator. Our benchmark model is PMGFt+1 =C+αPMLtF+εt+1, where PMGFt+1 and PMLtF are filtered observations. Regression with skewness controlled is presented as follows,
  2. PMGFt+1 = C + αPMLtF + β1SKt + β2SKt + 1 + εt + 1
  3. The constant C is not reported in the table for space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%