Table 4 The effect of screen for price...

Table 4

The effect of screen for price

Variable	All	Price(t) ≥ $1	Price(t) ≥ $5	Price(t + 1) ≥ $1	Price(t + 1) ≥ $5	AvgPrice ≥ $1	AvgPrice ≥ $5
Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)
IVOL	0.8626 (0.99)	0.4196 (0.48)	−0.6503 (−0.73)	2.6923** (3.14)	8.4361** (7.51)	1.7637* (2.03)	4.8036** (4.63)
N	187,231	182,634	151,208	180,911	148,786	182,721	151,693
R²	0.0313	0.0300	0.0331	0.0320	0.0532	0.0319	0.0391
Controls	No	No	No	No	No	No	No
Industry FE	No	No	No	No	No	No	No
IVOL	0.8143 (1.39)	0.2863 (0.48)	−1.1268* (−2.08)	2.4014** (3.66)	7.9500** (8.03)	1.6416* (2.61)	4.8574** (5.60)
N	180,717	176,468	146,385	174,856	144,166	176,563	146,914
R²	0.1267	0.1290	0.1489	0.1296	0.1688	0.1288	0.1510
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Variable	All	Price(t) ≥ $1	Price(t) ≥ $5	Price(t + 1) ≥ $1	Price(t + 1) ≥ $5	AvgPrice ≥ $1	AvgPrice ≥ $5
Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)
IVOL	0.8626 (0.99)	0.4196 (0.48)	−0.6503 (−0.73)	2.6923** (3.14)	8.4361** (7.51)	1.7637* (2.03)	4.8036** (4.63)
N	187,231	182,634	151,208	180,911	148,786	182,721	151,693
R²	0.0313	0.0300	0.0331	0.0320	0.0532	0.0319	0.0391
Controls	No	No	No	No	No	No	No
Industry FE	No	No	No	No	No	No	No
IVOL	0.8143 (1.39)	0.2863 (0.48)	−1.1268* (−2.08)	2.4014** (3.66)	7.9500** (8.03)	1.6416* (2.61)	4.8574** (5.60)
N	180,717	176,468	146,385	174,856	144,166	176,563	146,914
R²	0.1267	0.1290	0.1489	0.1296	0.1688	0.1288	0.1510
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Note(s): This table presents results of the analysis that examines the effect of screen for price on the estimated relation of idiosyncratic volatility (IVOL) with realized return (⁠ $R_{t \to t + 1}$ ⁠). Price(t) (Price (t + 1)) is stock price on 06/30 of t (t + 1) and AvgPrice is the average of Price(t) and Price (t + 1). The dependent variable (⁠ $R_{t \to t + 1}$ ⁠) is stock return over 07/01 of t through 06/30 of t + 1, t = 1966 to 2015. $I V O L$ is the idiosyncratic volatility measure, defined in Appendix 2. Industry FE stands for industry fixed effects. Controls stands for control variables, defined in Appendix 2. T-statistics in parentheses are adjusted for Newey-West autocorrelations of three lags. **, *, and † denote statistical significance at the 1, 5, and 10% levels, respectively, using a 2-tailed test

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