Table 5 The effect of screen for size...

Table 5

The effect of screen for size

Variable	All	SizePct(t) ≥ 10%	SizePct(t) ≥ 30%	SizePct(t + 1) ≥ 10%	SizePct(t + 1) ≥ 30%	AvgSizePct ≥ 10%	AvgSizePct ≥ 30%
Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)
IVOL	0.8626 (0.99)	−0.2976 (−0.33)	−1.1526 (−1.22)	4.1343** (4.55)	8.4028** (7.89)	2.4749** (2.73)	4.4690** (4.21)
N	187,231	168,097	130,999	168,490	131,051	168,489	131,051
R²	0.0313	0.0336	0.0382	0.0373	0.0536	0.0357	0.0429
Controls	No	No	No	No	No	No	No
Industry FE	No	No	No	No	No	No	No
IVOL	0.8143 (1.39)	−0.2989 (−0.47)	−1.5151* (−2.03)	3.6225** (4.75)	7.4104** (7.26)	2.2511** (3.17)	3.9276** (4.07)
N	180,717	162,468	127,147	162,906	127,253	162,864	127,246
R²	0.1267	0.1412	0.1680	0.1479	0.1859	0.1432	0.1703
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Variable	All	SizePct(t) ≥ 10%	SizePct(t) ≥ 30%	SizePct(t + 1) ≥ 10%	SizePct(t + 1) ≥ 30%	AvgSizePct ≥ 10%	AvgSizePct ≥ 30%
Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)
IVOL	0.8626 (0.99)	−0.2976 (−0.33)	−1.1526 (−1.22)	4.1343** (4.55)	8.4028** (7.89)	2.4749** (2.73)	4.4690** (4.21)
N	187,231	168,097	130,999	168,490	131,051	168,489	131,051
R²	0.0313	0.0336	0.0382	0.0373	0.0536	0.0357	0.0429
Controls	No	No	No	No	No	No	No
Industry FE	No	No	No	No	No	No	No
IVOL	0.8143 (1.39)	−0.2989 (−0.47)	−1.5151* (−2.03)	3.6225** (4.75)	7.4104** (7.26)	2.2511** (3.17)	3.9276** (4.07)
N	180,717	162,468	127,147	162,906	127,253	162,864	127,246
R²	0.1267	0.1412	0.1680	0.1479	0.1859	0.1432	0.1703
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 size on the estimated relation of idiosyncratic volatility (IVOL) with realized return (⁠ $R_{t \to t + 1}$ ⁠). SizePct(t) (SizePct (t + 1)) is the annual rank of firm size on 06/30 of t (t + 1). AvgSizePct is the annual rank of the average of firm size on 06/30 of t and firm size on 06/30 of t + 1. SizePct(t), SizePct (t + 1) and AvgSizePct are scaled to have a minimum of 0 and a maximum of 1. $I V O L$ is 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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