Table 1 Summary statistics Variables Obs...

Table 1

Summary statistics

Variables	Obs	Mean	5th Pctl	25th Pctl	Median	75th Pctl	95th Pctl	Std Dev	Kurtosis	Skewness
Health Care	118	0.196	−0.046	0.037	0.178	0.377	0.445	0.174	−1.145	−0.046
Industrials	118	0.110	−0.252	−0.040	0.122	0.288	0.333	0.192	−0.913	−0.559
Consumer Discretionary	118	0.478	−0.071	0.236	0.589	0.713	0.927	0.320	−0.766	−0.546
Information Technology	118	0.439	−0.058	0.176	0.459	0.706	0.901	0.309	−1.022	−0.175
Consumer Staples	118	0.117	−0.069	0.028	0.112	0.198	0.308	0.115	−0.778	−0.125
Utilities	118	0.040	−0.107	−0.025	0.047	0.101	0.181	0.087	−0.273	−0.225
Financials	118	0.062	−0.312	−0.195	0.064	0.288	0.379	0.241	−1.417	−0.196
Materials	118	0.223	−0.182	0.029	0.276	0.421	0.506	0.229	−1.036	−0.430
Real Estate	118	0.109	−0.139	−0.031	0.051	0.286	0.382	0.175	−1.245	0.173
Energy	118	−0.153	−0.484	−0.352	−0.123	−0.016	0.283	0.232	−0.111	0.487
Communication Services	118	0.264	−0.104	0.060	0.286	0.472	0.563	0.224	−1.102	−0.219
S&P500 Index	118	0.174	−0.146	0.020	0.188	0.343	0.443	0.190	−1.014	−0.278
Gold	118	0.178	0.027	0.140	0.180	0.226	0.283	0.071	0.225	−0.534
Crude Oil	118	−0.100	−0.666	−0.351	−0.060	0.097	0.428	0.327	0.091	0.178
CDS Spread	118	0.667	−0.211	0.026	0.265	0.770	3.338	1.084	6.518	2.407
6-mo T-bill rate	118	0.174	0.026	0.039	0.072	0.118	0.994	0.266	4.403	2.355
NBUDI	118	0.004	−0.033	−0.017	0.000	0.015	0.075	0.029	0.789	1.087
BEI	118	0.115	−0.406	−0.078	0.222	0.339	0.500	0.287	−0.697	−0.478
FRB	118	0.770	0.000	0.680	0.797	1.002	1.135	0.313	1.106	−1.243
Fed Funds Rate	118	0.141	0.032	0.052	0.052	0.058	1.000	0.266	6.537	2.862
Job Postings	118	0.134	−0.364	−0.085	0.033	0.412	0.607	0.312	−1.226	0.135
Macro news effect	118	0.153	−2.000	0.000	0.000	1.000	2.000	1.137	1.682	−0.305
Covid news effect	118	0.720	−1.000	0.000	1.000	1.000	3.000	1.246	1.001	0.360
Election effect	118	0.627	0.000	0.000	1.000	1.000	1.000	0.486	−1.746	−0.533

Variables	Obs	Mean	5th Pctl	25th Pctl	Median	75th Pctl	95th Pctl	Std Dev	Kurtosis	Skewness
Health Care	118	0.196	−0.046	0.037	0.178	0.377	0.445	0.174	−1.145	−0.046
Industrials	118	0.110	−0.252	−0.040	0.122	0.288	0.333	0.192	−0.913	−0.559
Consumer Discretionary	118	0.478	−0.071	0.236	0.589	0.713	0.927	0.320	−0.766	−0.546
Information Technology	118	0.439	−0.058	0.176	0.459	0.706	0.901	0.309	−1.022	−0.175
Consumer Staples	118	0.117	−0.069	0.028	0.112	0.198	0.308	0.115	−0.778	−0.125
Utilities	118	0.040	−0.107	−0.025	0.047	0.101	0.181	0.087	−0.273	−0.225
Financials	118	0.062	−0.312	−0.195	0.064	0.288	0.379	0.241	−1.417	−0.196
Materials	118	0.223	−0.182	0.029	0.276	0.421	0.506	0.229	−1.036	−0.430
Real Estate	118	0.109	−0.139	−0.031	0.051	0.286	0.382	0.175	−1.245	0.173
Energy	118	−0.153	−0.484	−0.352	−0.123	−0.016	0.283	0.232	−0.111	0.487
Communication Services	118	0.264	−0.104	0.060	0.286	0.472	0.563	0.224	−1.102	−0.219
S&P500 Index	118	0.174	−0.146	0.020	0.188	0.343	0.443	0.190	−1.014	−0.278
Gold	118	0.178	0.027	0.140	0.180	0.226	0.283	0.071	0.225	−0.534
Crude Oil	118	−0.100	−0.666	−0.351	−0.060	0.097	0.428	0.327	0.091	0.178
CDS Spread	118	0.667	−0.211	0.026	0.265	0.770	3.338	1.084	6.518	2.407
6-mo T-bill rate	118	0.174	0.026	0.039	0.072	0.118	0.994	0.266	4.403	2.355
NBUDI	118	0.004	−0.033	−0.017	0.000	0.015	0.075	0.029	0.789	1.087
BEI	118	0.115	−0.406	−0.078	0.222	0.339	0.500	0.287	−0.697	−0.478
FRB	118	0.770	0.000	0.680	0.797	1.002	1.135	0.313	1.106	−1.243
Fed Funds Rate	118	0.141	0.032	0.052	0.052	0.058	1.000	0.266	6.537	2.862
Job Postings	118	0.134	−0.364	−0.085	0.033	0.412	0.607	0.312	−1.226	0.135
Macro news effect	118	0.153	−2.000	0.000	0.000	1.000	2.000	1.137	1.682	−0.305
Covid news effect	118	0.720	−1.000	0.000	1.000	1.000	3.000	1.246	1.001	0.360
Election effect	118	0.627	0.000	0.000	1.000	1.000	1.000	0.486	−1.746	−0.533

Source(s): Authors’ work

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