Table 1 Summary statistics of...

Table 1

Summary statistics of uncertainty and Fama–French three factors

Panel A: Descriptive statistics
	Mean	Median	Max	Min	Std. Dev	Skewness	Kurtosis
EPU_t	121.2328	110.7019	283.6656	44.7828	45.7760	0.8535	3.4578
FEPU_t	−1.2049	−1.5139	29.4078	−17.9971	7.0066	0.7559	5.3361
VOV_t	0.0930	0.0819	0.4545	0.0296	0.0506	2.6505	16.5365
FVOV_t	−0.0033	−0.0043	0.0700	−0.0461	0.0160	0.7005	5.2154
MKT_t	0.0079	0.0118	0.1135	−0.1723	0.03931	−0.7326	5.2188
SMB_t	0.0018	0.0023	0.0613	−0.0478	0.0231	0.1763	2.6288
HML_t	−0.0001	−0.0011	0.0822	−0.1112	0.0241	−0.1202	5.7476

Panel A: Descriptive statistics
	Mean	Median	Max	Min	Std. Dev	Skewness	Kurtosis
EPU_t	121.2328	110.7019	283.6656	44.7828	45.7760	0.8535	3.4578
FEPU_t	−1.2049	−1.5139	29.4078	−17.9971	7.0066	0.7559	5.3361
VOV_t	0.0930	0.0819	0.4545	0.0296	0.0506	2.6505	16.5365
FVOV_t	−0.0033	−0.0043	0.0700	−0.0461	0.0160	0.7005	5.2154
MKT_t	0.0079	0.0118	0.1135	−0.1723	0.03931	−0.7326	5.2188
SMB_t	0.0018	0.0023	0.0613	−0.0478	0.0231	0.1763	2.6288
HML_t	−0.0001	−0.0011	0.0822	−0.1112	0.0241	−0.1202	5.7476

Panel B: Correlations
	EPU_t	FEPU_t	VOV_t	FVOV_t	MKT_t	SMB_t
FEPU_t	0.1531^**
VOV_t	0.2444^***	0.2889^***
FVOV_t	0.1401^*	0.9151^***	0.3157^***
MKT_t	−0.1412^*	−0.9223^***	−0.3098^***	−0.9815^***
SMB_t	−0.0038	−0.0245	−0.0764	−0.2421^***	0.3610^***
HML_t	−0.0639	−0.4175^***	−0.0305	−0.0966	0.2472^***	0.1015

Panel B: Correlations
	EPU_t	FEPU_t	VOV_t	FVOV_t	MKT_t	SMB_t
FEPU_t	0.1531^**
VOV_t	0.2444^***	0.2889^***
FVOV_t	0.1401^*	0.9151^***	0.3157^***
MKT_t	−0.1412^*	−0.9223^***	−0.3098^***	−0.9815^***
SMB_t	−0.0038	−0.0245	−0.0764	−0.2421^***	0.3610^***
HML_t	−0.0639	−0.4175^***	−0.0305	−0.0966	0.2472^***	0.1015

Note(s): The table reports summary statistics of monthly uncertainty variables and the Fama–French three factors in US stock market. Panel A presents descriptive statistics for monthly uncertainty variables and the Fama–French three factors. Panel B presents correlations between monthly uncertainty variables and the Fama–French three factors. EPU_t is the EPU in month t. FEPU_t is the mimicking factor for the EPU in month t. VOV_t is the VOV in month t. FVOV_t is the mimicking factor for the VOV in month t. MKT_t is the market return in excess of risk-free rate in month t. SMB_t is the average return on the three small portfolios minus the average return on the three big portfolios in month t. HML_t is the average return on the two high B/M portfolios minus the average return on the two low B/M portfolios in month t. ^*, ^** and ^*** represent significance at the 10, 5 and 1% levels, respectively. The sample period covers January 2003 to November 2018

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