Table 1 Descriptive statistics Panel A:...

Table 1

Descriptive statistics

Panel A: Summary statistics
Variable	Mean	SD	P25	P50	P75
R_t → t+1	0.1594	0.6691	−0.1816	0.0718	0.3520
IVOL	0.0288	0.0180	0.0162	0.0240	0.0361
LnP/V(t)^a	0.1942	0.9062	−0.3186	0.2122	0.7165
LnP/V (t + 1)	0.1639	0.9107	−0.3429	0.1934	0.6963
Size	4.9194	2.1750	3.3185	4.8055	6.4364
B/M	−0.4667	0.9514	−1.0013	−0.4156	0.1031
Momentum	0.1506	0.5343	−0.1594	0.0742	0.3372
ZeroNetStkIssue	0.1360	0.3428	0.0000	0.0000	0.0000
NetStkIssue	0.0688	0.2414	0.0000	0.0047	0.0358
NegTtlAcc	−0.0205	0.0575	−0.0134	0.0000	0.0000
PosTtlAcc	0.0292	0.0558	0.0000	0.0000	0.0369
AssetGrowth	0.0733	0.2921	−0.0208	0.0671	0.1666
NegIB	0.2124	0.4090	0.0000	0.0000	0.0000
PosIB/BE	0.1101	0.1131	0.0214	0.0975	0.1547
Beta-MktRf	0.8762	0.6376	0.4677	0.8691	1.2504
Beta-SMB	0.6840	0.8426	0.1335	0.6071	1.1611
Beta-HML	0.1716	1.1155	−0.3786	0.2014	0.7704
Beta-MOM	−0.0493	0.7111	−0.3874	−0.0349	0.3003
Beta-CMA	0.0168	1.2006	−0.5810	0.0249	0.6148
Beta-RMW	−0.0893	1.2275	−0.6540	−0.0112	0.5555

Panel A: Summary statistics
Variable	Mean	SD	P25	P50	P75
R_t → t+1	0.1594	0.6691	−0.1816	0.0718	0.3520
IVOL	0.0288	0.0180	0.0162	0.0240	0.0361
LnP/V(t)^a	0.1942	0.9062	−0.3186	0.2122	0.7165
LnP/V (t + 1)	0.1639	0.9107	−0.3429	0.1934	0.6963
Size	4.9194	2.1750	3.3185	4.8055	6.4364
B/M	−0.4667	0.9514	−1.0013	−0.4156	0.1031
Momentum	0.1506	0.5343	−0.1594	0.0742	0.3372
ZeroNetStkIssue	0.1360	0.3428	0.0000	0.0000	0.0000
NetStkIssue	0.0688	0.2414	0.0000	0.0047	0.0358
NegTtlAcc	−0.0205	0.0575	−0.0134	0.0000	0.0000
PosTtlAcc	0.0292	0.0558	0.0000	0.0000	0.0369
AssetGrowth	0.0733	0.2921	−0.0208	0.0671	0.1666
NegIB	0.2124	0.4090	0.0000	0.0000	0.0000
PosIB/BE	0.1101	0.1131	0.0214	0.0975	0.1547
Beta-MktRf	0.8762	0.6376	0.4677	0.8691	1.2504
Beta-SMB	0.6840	0.8426	0.1335	0.6071	1.1611
Beta-HML	0.1716	1.1155	−0.3786	0.2014	0.7704
Beta-MOM	−0.0493	0.7111	−0.3874	−0.0349	0.3003
Beta-CMA	0.0168	1.2006	−0.5810	0.0249	0.6148
Beta-RMW	−0.0893	1.2275	−0.6540	−0.0112	0.5555

Panel B: Correlations
Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)	(13)	(14)	(15)	(16)	(17)	(18)
$R_{t \to t + 1}$ (1)		0.04	−0.10	0.30	−0.08	0.08	−0.03	0.02	−0.05	−0.02	−0.02	−0.05	0.00	0.01	−0.02	0.01	0.02	−0.01
IVOL (2)	−0.10		−0.12	−0.12	−0.47	−0.03	−0.01	0.08	0.15	−0.22	0.15	−0.11	0.43	−0.24	0.05	0.20	−0.04	−0.07
LnP/V(t) (3)	−0.11	−0.12		0.73	0.45	−0.82	0.32	−0.18	0.11	0.01	0.02	0.11	0.04	0.10	0.14	0.01	−0.07	0.08
LnP/V(t + 1) (4)	0.33	−0.14	0.70		0.39	−0.65	0.18	−0.16	0.03	0.00	0.00	0.05	−0.01	0.14	0.11	0.00	−0.06	0.04
Size (5)	0.00	−0.51	0.49	0.43		−0.32	0.12	−0.29	0.00	0.14	−0.17	0.08	−0.21	0.21	0.20	−0.22	−0.02	0.04
B/M (6)	0.13	−0.03	−0.79	−0.60	−0.35		−0.33	0.18	−0.13	0.05	−0.12	−0.12	−0.03	−0.30	−0.12	−0.05	0.12	−0.11
Momentum (7)	0.02	−0.16	0.33	0.19	0.19	−0.31		0.00	−0.01	−0.01	−0.01	0.05	−0.09	0.10	0.05	0.05	0.01	0.13
ZeroNetStkIssue (8)	0.02	0.07	−0.19	−0.18	−0.29	0.20	0.00		−0.11	−0.02	−0.01	−0.05	0.03	−0.03	−0.11	0.01	0.03	−0.02
NetStkIssue (9)	−0.10	0.15	0.19	0.11	0.07	−0.23	−0.03	−0.30		−0.23	0.20	−0.27	0.15	−0.11	0.04	0.05	−0.04	0.03
NegTtlAcc (10)	0.01	−0.16	0.00	0.00	0.07	0.02	−0.01	−0.02	−0.04		0.19	0.33	−0.22	0.09	−0.01	−0.06	0.02	0.02
PosTtlAcc (11)	−0.05	0.13	0.00	−0.01	−0.12	−0.10	−0.05	−0.02	0.03	0.63		0.08	0.00	0.07	0.05	0.09	−0.05	0.01
AssetGrowth (12)	−0.03	−0.09	0.11	0.07	0.11	−0.19	0.07	−0.08	−0.02	0.24	0.25		−0.23	0.19	0.07	0.02	−0.03	0.06
NegIB (13)	−0.08	0.40	0.03	−0.01	−0.20	0.00	−0.16	0.03	0.13	−0.21	−0.07	−0.32		−0.51	−0.01	0.07	−0.04	−0.07
PosIB/BE (14)	0.07	−0.33	0.06	0.11	0.24	−0.26	0.17	−0.07	−0.10	0.17	0.13	0.39	−0.71		0.06	−0.05	−0.02	0.07
Beta-MktRf (15)	−0.04	0.11	0.17	0.13	0.23	−0.15	0.01	−0.12	0.11	−0.02	0.07	0.08	−0.02	0.08		0.49	0.23	−0.09
Beta-SMB (16)	−0.03	0.26	0.00	−0.02	−0.20	−0.04	0.00	0.00	0.08	−0.03	0.09	0.02	0.06	−0.04	0.45		0.24	−0.08
Beta-HML (17)	0.02	−0.04	−0.08	−0.07	−0.02	0.14	0.02	0.03	−0.04	0.03	−0.06	−0.04	−0.04	−0.01	0.19	0.23		0.01
Beta-MOM (18)		−0.05	0.09	0.04	0.03	−0.11	0.14	−0.02	0.05	0.01	0.01	0.07	−0.06	0.09	−0.07	−0.06	0.03
Beta-CMA (19)	0.01	0.00	−0.01	−0.01	−0.04	0.02	0.01	0.02	−0.05	−0.03	0.00	−0.06	0.03	−0.04	0.02	0.02	−0.31	0.00
Beta-RMV (20)	0.04	−0.12	−0.02	0.01	0.00	0.03	0.03	0.02	−0.08	0.03	0.00	0.02	−0.11	0.11	0.09	0.25	0.32	−0.04

Panel B: Correlations
Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)	(13)	(14)	(15)	(16)	(17)	(18)
$R_{t \to t + 1}$ (1)		0.04	−0.10	0.30	−0.08	0.08	−0.03	0.02	−0.05	−0.02	−0.02	−0.05	0.00	0.01	−0.02	0.01	0.02	−0.01
IVOL (2)	−0.10		−0.12	−0.12	−0.47	−0.03	−0.01	0.08	0.15	−0.22	0.15	−0.11	0.43	−0.24	0.05	0.20	−0.04	−0.07
LnP/V(t) (3)	−0.11	−0.12		0.73	0.45	−0.82	0.32	−0.18	0.11	0.01	0.02	0.11	0.04	0.10	0.14	0.01	−0.07	0.08
LnP/V(t + 1) (4)	0.33	−0.14	0.70		0.39	−0.65	0.18	−0.16	0.03	0.00	0.00	0.05	−0.01	0.14	0.11	0.00	−0.06	0.04
Size (5)	0.00	−0.51	0.49	0.43		−0.32	0.12	−0.29	0.00	0.14	−0.17	0.08	−0.21	0.21	0.20	−0.22	−0.02	0.04
B/M (6)	0.13	−0.03	−0.79	−0.60	−0.35		−0.33	0.18	−0.13	0.05	−0.12	−0.12	−0.03	−0.30	−0.12	−0.05	0.12	−0.11
Momentum (7)	0.02	−0.16	0.33	0.19	0.19	−0.31		0.00	−0.01	−0.01	−0.01	0.05	−0.09	0.10	0.05	0.05	0.01	0.13
ZeroNetStkIssue (8)	0.02	0.07	−0.19	−0.18	−0.29	0.20	0.00		−0.11	−0.02	−0.01	−0.05	0.03	−0.03	−0.11	0.01	0.03	−0.02
NetStkIssue (9)	−0.10	0.15	0.19	0.11	0.07	−0.23	−0.03	−0.30		−0.23	0.20	−0.27	0.15	−0.11	0.04	0.05	−0.04	0.03
NegTtlAcc (10)	0.01	−0.16	0.00	0.00	0.07	0.02	−0.01	−0.02	−0.04		0.19	0.33	−0.22	0.09	−0.01	−0.06	0.02	0.02
PosTtlAcc (11)	−0.05	0.13	0.00	−0.01	−0.12	−0.10	−0.05	−0.02	0.03	0.63		0.08	0.00	0.07	0.05	0.09	−0.05	0.01
AssetGrowth (12)	−0.03	−0.09	0.11	0.07	0.11	−0.19	0.07	−0.08	−0.02	0.24	0.25		−0.23	0.19	0.07	0.02	−0.03	0.06
NegIB (13)	−0.08	0.40	0.03	−0.01	−0.20	0.00	−0.16	0.03	0.13	−0.21	−0.07	−0.32		−0.51	−0.01	0.07	−0.04	−0.07
PosIB/BE (14)	0.07	−0.33	0.06	0.11	0.24	−0.26	0.17	−0.07	−0.10	0.17	0.13	0.39	−0.71		0.06	−0.05	−0.02	0.07
Beta-MktRf (15)	−0.04	0.11	0.17	0.13	0.23	−0.15	0.01	−0.12	0.11	−0.02	0.07	0.08	−0.02	0.08		0.49	0.23	−0.09
Beta-SMB (16)	−0.03	0.26	0.00	−0.02	−0.20	−0.04	0.00	0.00	0.08	−0.03	0.09	0.02	0.06	−0.04	0.45		0.24	−0.08
Beta-HML (17)	0.02	−0.04	−0.08	−0.07	−0.02	0.14	0.02	0.03	−0.04	0.03	−0.06	−0.04	−0.04	−0.01	0.19	0.23		0.01
Beta-MOM (18)		−0.05	0.09	0.04	0.03	−0.11	0.14	−0.02	0.05	0.01	0.01	0.07	−0.06	0.09	−0.07	−0.06	0.03
Beta-CMA (19)	0.01	0.00	−0.01	−0.01	−0.04	0.02	0.01	0.02	−0.05	−0.03	0.00	−0.06	0.03	−0.04	0.02	0.02	−0.31	0.00
Beta-RMV (20)	0.04	−0.12	−0.02	0.01	0.00	0.03	0.03	0.02	−0.08	0.03	0.00	0.02	−0.11	0.11	0.09	0.25	0.32	−0.04

Note(s): This table presents descriptive statistics of variables for the 180,717 firm-year observations used in the main test. The sample period is 1966 through 2015. Panel A presents summary statistics. In Panel B, Pearson (Spearman) correlations are in the upper (lower) triangle. Correlations that are significantly different from 0 at p-value < 5% are in italicface. Variable definitions are provided in Appendix 2. All continuous variables except $R_{t \to t + 1}$ are winsorized at the 1st and 99th percentiles of their cross-sectional distributions each year

^aThe means of LnP/V(t) and LnP/V (t + 1) are zero by construction. Their reported means here are different from zero because we calculate both using the largest possible sample, but our final sample is smaller after requiring the availability of control variables

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