Table 5 GDP growth rate, economic uncertainty, and power law exponent with control variables (inflation and federal funds rates)
From: Business cycle and herding behavior in stock returns: theory and evidence
(1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
PLE | Forecaster uncertainty | PLE | PLE | PLE | PLE | |
GDP growth rate | 0.173*** | − 0.012*** | 0.129** | |||
(3.168) | (− 2.610) | (1.779) | ||||
Forecaster uncertainty | − 3.967*** | − 2.151* | ||||
(− 3.115) | (− 1.410) | |||||
Dummy1 | − 0.046 | − 0.002 | − 0.180 | |||
(− 0.339) | (− 0.015) | (− 1.132) | ||||
Dummy2 | − 0.560*** | − 0.275* | − 0.513*** | |||
(− 3.214) | (− 1.584) | (− 2.703) | ||||
Inflation rate | − 0.056 | − 0.002 | 0.023 | − 0.001 | − 0.058 | − 0.020 |
(− 0.766) | (− 0.226) | (0.251) | (− 0.036) | (− 0.835) | (− 0.367) | |
Federal funds rate | 0.002 | − 0.015*** | − 0.030 | 0.009 | − 0.007 | − 0.006 |
(0.058) | (− 3.088) | (− 0.623) | (0.248) | (− 0.174) | (− 0.163) | |
Constant | 3.394*** | 0.492*** | 5.385*** | 3.929*** | 3.643*** | 4.951*** |
(23.137) | (35.396) | (7.532) | (24.297) | (30.029) | (6.299) | |
Observations | 30 | 30 | 30 | 30 | 30 | 30 |
R2 | 0.262 | 0.585 | 0.146 | 0.212 | 0.290 | 0.226 |
Adjusted R2 | 0.177 | 0.537 | 0.047 | 0.086 | 0.143 | 0.065 |