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Financial Innovation

Table 4 Regressions of the investment factors on CCI, CSI and BW_Sent

From: Corporate managers, price noise and the investment factor

Panel A: CMA

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

Expl. Var

dCCI

dCSI

dSent

INTERCEPT

0.20*

0.26**

0.29***

0.20*

0.26**

0.28***

0.21**

0.26**

0.29***

NEIO

 − 1.51***

  

 − 1.55***

  

 − 1.56***

  

Expl

 − 0.24

  

0.01

  

1.41

  

Expl-1

 

 − 0.90

  

0.02

  

1.07

 

Expl-2

 

1.04

  

0.03

  

 − 0.15

 

Expl-3

 

1.16

  

0.07**

  

 − 0.26

 

Expl-4

 

 − 1.30

  

0.02

  

 − 0.05

 

MEANNEIO1-4

  

1.69**

  

1.44**

  

1.75**

MEANExpl1-4

  

0.00

  

0.09

  

 − 0.46

CMA lags

No

No

Yes

No

No

Yes

No

No

Yes

R2

5.0%

0.6%

4.8%

5.0%

2.2%

5.3%

7.1%

0.8%

4.8%

Wald Stats

      

 Expl. lags

 

0.85

  

0.14**

  

0.65

 

Panel A: R_IA

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

Expl. Var

dCCI

dCSI

dSent

INTERCEPT

0.25***

0.31***

0.36***

0.25**

0.31***

0.34***

0.26***

0.31***

0.35***

NEIO

 − 1.46***

  

 − 1.47***

  

 − 1.49***

  

Expl

0.04

  

0.01

  

1.28

  

Expl-1

 

 − 0.17

  

0.19

  

0.74

 

Expl-2

 

 − 0.08

  

0.02

  

 − 0.25

 

Expl-3

 

1.48

  

0.04**

  

 − 0.42

 

Expl-4

 

 − 1.43

  

0.03

  

 − 0.25

 

MEANNEIO1-4

  

1.89***

  

1.59**

  

2.00***

MEANExpl1-4

  

 − 0.29

  

0.10

  

 − 0.89

CMA lags

No

No

Yes

No

No

Yes

No

No

Yes

R2

4.9%

0.4%

4.8%

4.9%

1.8%

5.4%

7.0%

0.6%

5.0%

Wald Stats

      

 Expl. lags

 

 − 0.20

  

0.13**

  

 − 0.17

 
  1. The table presents the coefficients from the time-series regressions of CMA and R_IA portfolio returns on NEIO and selected market stress indicators. The sample period ranges from February 1984 to December 2015, covering a total of 383 months. Fund flows are calculated based on data from the Investment Company Institute (ICI). The excess equity market returns (ExRet) are the value-weighted returns of NYSE, Amex, and Nasdaq stocks from the Center for Research in Security Prices (CRSP) over the 30-day T-bill return. NSR is the normalized net sales ("new sales" minus "redemptions") in %. NEIO is the normalized "net exchanges" ("exchanges in" minus "exchanges out") in %. MEANNEIO1-4 is the average of NEIO lags from period t − 1 to t − 4. dCCI is the monthly change of the (seasonally adjusted) OECD consumer confidence indicator. dCSI is the monthly change of the University off Michigan consumer sentiment indicator. dSent is the monthly change of Baker and Wurgler's (2006) sentiment indicator. MEANExpl1-4 is the average of the explanatory variable lags from period t − 1 to t − 4. Coefficients and Wald statistics are corrected for any persistence of the single regressor according to Amihud and Hurvich (2004) or Amihud et al. (2008) for multiple persistent regressors. Simulated p-values are computed as in Boudoukh et al. (2007), via 10,000 simulations under the null of zero predictability, but accounting for the regressors’ auto-correlation, cross-correlations and the cross-correlation of the errors
  2. ***, **, *Statistical significance at the 1%, 5% and 10% level, respectively
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