Table 10. Conditional regressions with...

Table 10.

Conditional regressions with GDP growth: MAX and IRISK

	Α	β_GDP	β_MKT	β_SMB	β_HML	β_MKT _× _GDP	β_SMB _× _GDP	β_HML _× _GDP	Adj. R²
Panel A. Idiosyncratic volatility
LL	−0.177 (−0.34)	−0.229* (−1.94)	0.418*** (6.56)	−0.062 (−0.63)	0.065 (0.37)	0.025* (1.70)	−0.077*** (−3.36)	0.023 (0.89)	53.81
HL	1.351 (1.37)	−0.571** (−2.13)	1.004*** (9.07)	−0.342 (−1.67)	−0.360 (−2.17)	−0.001 (−0.04)	−0.061* (−1.83)	0.083*** (2.88)	68.36
HH	−5.110*** (−3.71)	−0.263 (−0.82)	0.843*** (6.57)	0.529 (1.36)	0.756** (2.35)	0.021 (0.74)	−0.147** (−2.17)	−0.121** (−2.24)	43.18
HH–LL	−4.932*** (−3.37)	−0.035 (0.03)	0.425* (1.70)	0.591 (1.27)	0.691** (2.12)	−0.003 (−0.61)	−0.071 (−0.89)	−0.143** (−2.50)
HH–HL	−6.461*** (−4.54)	0.307 (0.96)	−0.161 (−0.77)	0.871* (1.77)	1.116** (2.54)	0.023 (0.68)	−0.087 (−1.08)	−0.203** (−2.34)
Panel B. Idiosyncratic skewness
LL	−0.509 (−0.91)	−0.151 (−1.30)	0.426*** (6.42)	−0.079 (−0.81)	0.044 (0.24)	0.018 (1.33)	−0.071*** (−3.22)	0.024 (0.92)	54.43
HL	1.226 (1.19)	−0.577** (−2.05)	0.940*** (8.36)	−0.298 (−1.47)	−0.259 (−1.48)	0.005 (0.17)	−0.065* (−1.86)	0.072** (2.36)	66.02
HH	−5.007*** (−3.61)	−0.284 (−0.89)	0.769*** (6.10)	0.573 (1.43)	0.679** (2.11)	0.040 (1.39)	−0.150** (−2.16)	−0.102* (−1.92)	42.46
HH–LL	−4.497*** (−3.21)	−0.133 (−0.02)	0.343* (1.73)	0.653 (1.27)	0.635** (2.16)	0.022 (−0.56)	−0.079 (−0.82)	−0.126** (−2.59)
HH–HL	−6.233*** (−4.28)	0.294 (0.96)	−0.171 (−0.85)	0.871* (1.74)	0.937** (2.26)	0.035 (0.84)	−0.085 (−1.03)	−0.174** (−2.12)

	Α	β_GDP	β_MKT	β_SMB	β_HML	β_MKT _× _GDP	β_SMB _× _GDP	β_HML _× _GDP	Adj. R²
Panel A. Idiosyncratic volatility
LL	−0.177 (−0.34)	−0.229* (−1.94)	0.418*** (6.56)	−0.062 (−0.63)	0.065 (0.37)	0.025* (1.70)	−0.077*** (−3.36)	0.023 (0.89)	53.81
HL	1.351 (1.37)	−0.571** (−2.13)	1.004*** (9.07)	−0.342 (−1.67)	−0.360 (−2.17)	−0.001 (−0.04)	−0.061* (−1.83)	0.083*** (2.88)	68.36
HH	−5.110*** (−3.71)	−0.263 (−0.82)	0.843*** (6.57)	0.529 (1.36)	0.756** (2.35)	0.021 (0.74)	−0.147** (−2.17)	−0.121** (−2.24)	43.18
HH–LL	−4.932*** (−3.37)	−0.035 (0.03)	0.425* (1.70)	0.591 (1.27)	0.691** (2.12)	−0.003 (−0.61)	−0.071 (−0.89)	−0.143** (−2.50)
HH–HL	−6.461*** (−4.54)	0.307 (0.96)	−0.161 (−0.77)	0.871* (1.77)	1.116** (2.54)	0.023 (0.68)	−0.087 (−1.08)	−0.203** (−2.34)
Panel B. Idiosyncratic skewness
LL	−0.509 (−0.91)	−0.151 (−1.30)	0.426*** (6.42)	−0.079 (−0.81)	0.044 (0.24)	0.018 (1.33)	−0.071*** (−3.22)	0.024 (0.92)	54.43
HL	1.226 (1.19)	−0.577** (−2.05)	0.940*** (8.36)	−0.298 (−1.47)	−0.259 (−1.48)	0.005 (0.17)	−0.065* (−1.86)	0.072** (2.36)	66.02
HH	−5.007*** (−3.61)	−0.284 (−0.89)	0.769*** (6.10)	0.573 (1.43)	0.679** (2.11)	0.040 (1.39)	−0.150** (−2.16)	−0.102* (−1.92)	42.46
HH–LL	−4.497*** (−3.21)	−0.133 (−0.02)	0.343* (1.73)	0.653 (1.27)	0.635** (2.16)	0.022 (−0.56)	−0.079 (−0.82)	−0.126** (−2.59)
HH–HL	−6.233*** (−4.28)	0.294 (0.96)	−0.171 (−0.85)	0.871* (1.74)	0.937** (2.26)	0.035 (0.84)	−0.085 (−1.03)	−0.174** (−2.12)

Notes:

This table shows the results of the conditional regression analysis using Fama and French’s(1993) three-factor model and the conditional variables indicating market conditions: $\begin{array}{r} R_{j, t} = α_{j} + β_{j, M K T} r_{M K T, t} + β_{j, S M B} r_{S M B, t} + β_{j, H M L} r_{H M L, t} + β_{j, Z} Z_{t - 1} + γ_{j, s} Z_{t - 1} r_{M K T, t} + ε_{j, t}, & j = 1, \dots, 10 \end{array}$ ⁠. The dependent variable is the returns on the value-weighted double sorted portfolio formed from the MAX × IRISK. HH corresponds to the portfolio of high Max and IRISK (high idiosyncratic volatility and high idiosyncratic skewness). HL corresponds to the portfolio of high Max and low IRISK. LL corresponds to the portfolio of low Max and low IRISK. HH–HL corresponds to return on the long (HH)–short (HL) strategy. HH–LL is defined similarly. The Newey and West (1987) robust t-statistics are in parentheses. Asterisks denote the statistical significance level: * for 0.1, ** for 0.5, *** for 0.01

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