| Consumer discretionary | Consumer staples | Financials | Health | Industrials | Materials | Real estate | Technology | Telecom | Utilities | Oil |
---|---|---|---|---|---|---|---|---|---|---|---|
Full data sample (8/01/2004 to 12/30/2020) | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
Sign bias | 1.86* | 0.84 | 1.20 | 2.25** | 1.95* | 2.14** | 2.02** | 2.11* | 1.12 | 1.26 | 0.013 |
Negative bias | 0.92 | 1.42 | 1.39 | 0.97 | 1.25 | 1.35 | 1.14 | 1.03 | 2.82*** | 1.14 | 2.79*** |
Positive bias | 1.35 | 0.81 | 1.13 | 0.12 | 0.80 | 0.22 | 1.23 | 0.17 | 0.58 | 1.23 | 2.38** |
Joint bias | 16.85*** | 8.76** | 10.98** | 13.81*** | 17.40*** | 16.74*** | 17.00*** | 11.23** | 19.99*** | 13.38*** | 21.04*** |
ES | 13.93*** | 2.74 | 16.49*** | 13.49*** | 11.90*** | 9.87*** | 8.76** | 14.25*** | 16.10*** | 6.30** | Â |
Before COVID-19 sample (8/01/2004 to 12/31/2019) | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
Sign bias | 2.122** | 0.879 | 1.187 | 1.799* | 2.003* | 2.070** | 1.917* | 2.614*** | 1.064 | 1.061 | 1.213 |
Negative bias | 1.054 | 1.425 | 1.551 | 1.188 | 1.229 | 1.631 | 1.717* | 1.459 | 2.980*** | 1.675* | 0.830 |
Positive bias | 1.127 | 0.170 | 1.083 | 0.056 | 0.587 | 0.156 | 0.602 | 1.047 | 0.391 | 0.429 | 1.819* |
Joint bias | 18.917*** | 6.595* | 11.501*** | 11.42*** | 16.88** | 18.60*** | 16.27*** | 31.53*** | 20.26*** | 11.36*** | 9.609** |
ES | 7.70** | 1.735 | 5.772* | 9.007** | 12.16** | 7.593** | 7.53** | 10.88*** | 9.302*** | 4.04 | Â |
During COVID-19 sample (1/2/2020 to 12/30/2020) | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
Sign bias | 0.40 | 1.59 | 0.41 | 1.67* | 0.98 | 0.37 | 1.68* | 1.49 | 1.70* | 0.73 | 0.47 |
Negative bias | 0.46 | 0.36 | 0.60 | 0.60 | 1.05 | 0.23 | 1.70* | 0.85 | 0.91 | 0.58 | 1.55 |
Positive bias | 0.57 | 0.85 | 0.36 | 0.42 | 0.31 | 0.71 | 1.09 | 0.02 | 0.13 | 1.38 | 0.44 |
Joint bias | 0.89 | 7.26* | 0.67 | 3.29 | 1.95 | 0.56 | 7.61* | 3.30 | 3.61 | 4.59 | 4.35 |
ES | 2.62 | 1.37 | 8.32** | 5.22* | 0.91 | 0.52 | 0.17 | 3.79 | 4.24 | 0.82 | Â |