Table A1 Descriptive statistics for... | Emerald Publishing

Table A1

Descriptive statistics for monthly idiosyncratic basis harvesting by sector and quintile

	CorFin Q1	CorFin Q2	CorFin Q3	CorFin Q4	CorFin Q5	ConGds Q1	ConGds Q2	ConGds Q3	ConGds Q4	ConGds Q5	ConSrv Q1	ConSrv Q2	ConSrv Q3	ConSrv Q4	ConSrv Q5
Mean	2.52	−0.27	−1.71	−2.43	−3.89	0.83	−0.72	−0.95	−0.57	−2.27	0.14	−0.76	−1.50	−2.11	−1.49
Standard error	1.23	1.26	0.88	0.93	0.93	1.48	1.44	1.43	1.26	1.40	1.12	1.23	1.06	1.06	0.89
Median	2.03	0.00	−0.41	0.00	−1.19	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Standard deviation	10.13	10.39	7.24	7.67	7.69	12.20	11.88	11.83	10.43	11.56	9.27	10.14	8.71	8.72	7.32
Sample variance	102.66	107.92	52.42	58.86	59.18	148.76	141.22	139.96	108.77	133.64	85.89	102.85	75.83	75.97	53.51
Kurtosis	4.87	5.52	1.64	1.95	3.60	16.39	9.62	27.10	15.19	31.79	0.14	1.47	0.97	0.93	8.39
Skewness	0.85	0.10	−1.07	−1.14	−1.70	−2.80	−2.22	−4.20	−2.21	−4.85	−0.13	−0.69	−0.54	−0.53	−1.51
Range	68.82	79.89	35.61	39.56	43.40	95.13	87.20	98.89	90.06	102.00	48.58	55.39	45.88	44.55	58.18
Minimum	−22.41	−36.91	−22.99	−28.77	−33.01	−69.97	−58.56	−78.12	−58.61	−80.44	−26.46	−36.58	−28.00	−27.88	−36.58
Maximum	46.40	42.99	12.62	10.79	10.39	25.15	28.64	20.77	31.44	21.56	22.11	18.81	17.89	16.67	21.60
Sum	171.29	−18.48	−116.23	−165.45	−264.34	56.51	−49.29	−64.67	−38.59	−154.06	9.35	−51.41	−102.25	−143.28	−101.50
Count	68	68	68	68	68	68	68	68	68	68	68	68	68	68	68

	CorFin Q1	CorFin Q2	CorFin Q3	CorFin Q4	CorFin Q5	ConGds Q1	ConGds Q2	ConGds Q3	ConGds Q4	ConGds Q5	ConSrv Q1	ConSrv Q2	ConSrv Q3	ConSrv Q4	ConSrv Q5
Mean	2.52	−0.27	−1.71	−2.43	−3.89	0.83	−0.72	−0.95	−0.57	−2.27	0.14	−0.76	−1.50	−2.11	−1.49
Standard error	1.23	1.26	0.88	0.93	0.93	1.48	1.44	1.43	1.26	1.40	1.12	1.23	1.06	1.06	0.89
Median	2.03	0.00	−0.41	0.00	−1.19	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Standard deviation	10.13	10.39	7.24	7.67	7.69	12.20	11.88	11.83	10.43	11.56	9.27	10.14	8.71	8.72	7.32
Sample variance	102.66	107.92	52.42	58.86	59.18	148.76	141.22	139.96	108.77	133.64	85.89	102.85	75.83	75.97	53.51
Kurtosis	4.87	5.52	1.64	1.95	3.60	16.39	9.62	27.10	15.19	31.79	0.14	1.47	0.97	0.93	8.39
Skewness	0.85	0.10	−1.07	−1.14	−1.70	−2.80	−2.22	−4.20	−2.21	−4.85	−0.13	−0.69	−0.54	−0.53	−1.51
Range	68.82	79.89	35.61	39.56	43.40	95.13	87.20	98.89	90.06	102.00	48.58	55.39	45.88	44.55	58.18
Minimum	−22.41	−36.91	−22.99	−28.77	−33.01	−69.97	−58.56	−78.12	−58.61	−80.44	−26.46	−36.58	−28.00	−27.88	−36.58
Maximum	46.40	42.99	12.62	10.79	10.39	25.15	28.64	20.77	31.44	21.56	22.11	18.81	17.89	16.67	21.60
Sum	171.29	−18.48	−116.23	−165.45	−264.34	56.51	−49.29	−64.67	−38.59	−154.06	9.35	−51.41	−102.25	−143.28	−101.50
Count	68	68	68	68	68	68	68	68	68	68	68	68	68	68	68

	Finsrv Q1	FinSrv Q2	FinSrv Q3	FinSrv Q4	FinSrv Q5	HltCre Q1	HltCre Q2	HltCre Q3	HltCre Q4	HltCre Q5	Indust Q1	Indust Q2	Indust Q3	Indust Q4	Indust Q5
Mean	0.84	−0.62	−0.91	−0.20	−0.20	−0.70	0.20	−0.72	−0.32	−0.25	0.87	0.21	−0.62	−0.84	0.00
Standard error	0.64	0.51	0.52	0.19	0.22	1.53	0.43	1.43	0.26	0.25	1.15	0.20	0.48	0.51	0.00
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Standard deviation	5.24	4.24	4.29	1.56	1.83	12.59	3.54	11.80	2.18	2.04	9.52	1.66	3.95	4.21	0.00
Sample variance	27.45	17.97	18.43	2.44	3.35	158.49	12.53	139.17	4.75	4.17	90.68	2.76	15.62	17.74	0.00
Kurtosis	20.23	34.13	17.24	18.70	24.46	10.12	18.54	34.59	16.19	21.95	10.41	8.99	9.28	30.32	N/A
Skewness	3.93	−5.65	−3.80	−1.80	−4.20	−2.10	1.65	−4.60	−3.11	−4.10	1.39	0.60	−2.12	−5.06	N/A
Range	39.52	34.47	32.85	15.23	15.49	91.94	33.19	115.20	18.09	16.21	76.01	12.17	27.06	35.25	0.00
Minimum	−7.84	−28.73	−24.85	−8.55	−10.12	−65.89	−13.31	−81.75	−11.87	−11.60	−30.33	−5.81	−18.85	−28.40	0.00
Maximum	31.69	5.74	8.00	6.68	5.37	26.05	19.88	33.45	6.22	4.61	45.69	6.35	8.20	6.86	0.00
Sum	57.31	−41.84	−61.78	−13.30	−13.62	−47.41	13.39	−49.10	−21.73	−17.21	59.15	14.61	−42.37	−57.07	0.00
Count	68	68	68	68	68	68	68	68	68	68	68	68	68	68	68

	Finsrv Q1	FinSrv Q2	FinSrv Q3	FinSrv Q4	FinSrv Q5	HltCre Q1	HltCre Q2	HltCre Q3	HltCre Q4	HltCre Q5	Indust Q1	Indust Q2	Indust Q3	Indust Q4	Indust Q5
Mean	0.84	−0.62	−0.91	−0.20	−0.20	−0.70	0.20	−0.72	−0.32	−0.25	0.87	0.21	−0.62	−0.84	0.00
Standard error	0.64	0.51	0.52	0.19	0.22	1.53	0.43	1.43	0.26	0.25	1.15	0.20	0.48	0.51	0.00
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Standard deviation	5.24	4.24	4.29	1.56	1.83	12.59	3.54	11.80	2.18	2.04	9.52	1.66	3.95	4.21	0.00
Sample variance	27.45	17.97	18.43	2.44	3.35	158.49	12.53	139.17	4.75	4.17	90.68	2.76	15.62	17.74	0.00
Kurtosis	20.23	34.13	17.24	18.70	24.46	10.12	18.54	34.59	16.19	21.95	10.41	8.99	9.28	30.32	N/A
Skewness	3.93	−5.65	−3.80	−1.80	−4.20	−2.10	1.65	−4.60	−3.11	−4.10	1.39	0.60	−2.12	−5.06	N/A
Range	39.52	34.47	32.85	15.23	15.49	91.94	33.19	115.20	18.09	16.21	76.01	12.17	27.06	35.25	0.00
Minimum	−7.84	−28.73	−24.85	−8.55	−10.12	−65.89	−13.31	−81.75	−11.87	−11.60	−30.33	−5.81	−18.85	−28.40	0.00
Maximum	31.69	5.74	8.00	6.68	5.37	26.05	19.88	33.45	6.22	4.61	45.69	6.35	8.20	6.86	0.00
Sum	57.31	−41.84	−61.78	−13.30	−13.62	−47.41	13.39	−49.10	−21.73	−17.21	59.15	14.61	−42.37	−57.07	0.00
Count	68	68	68	68	68	68	68	68	68	68	68	68	68	68	68

	OilGas Q1	OilGas Q2	OilGas Q3	OilGas Q4	OilGas Q5	RelEst Q1	RelEst Q2	RelEst Q3	RelEst Q4	RelEst Q5	Telcom Q1	Telcom Q2	Telcom Q3	Telcom Q4	Telcom Q5
Mean	0.19	−0.29	−0.38	−1.00	−0.73	0.28	0.00	0.00	0.00	0.00	0.60	−0.62	−1.10	−2.56	−3.99
Standard error	0.43	0.44	0.38	0.57	0.49	0.84	0.00	0.00	0.00	0.00	1.28	1.36	0.98	0.93	0.99
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.29	0.00	0.00	0.00	0.00
Standard deviation	3.56	3.65	3.13	4.74	4.04	6.89	0.00	0.00	0.00	0.00	10.59	11.24	8.07	7.68	8.20
Sample variance	12.65	13.36	9.80	22.46	16.30	47.50	0.00	0.00	0.00	0.00	112.24	126.36	65.19	58.98	67.27
Kurtosis	8.32	14.34	27.45	15.47	11.96	8.98	N/A	N/A	N/A	N/A	0.94	5.87	0.52	0.80	3.06
Skewness	−0.58	−2.66	−4.01	−3.53	−2.71	0.42	N/A	N/A	N/A	N/A	−0.24	1.15	−0.58	−0.78	−1.19
Range	27.21	30.11	28.67	34.81	29.88	57.64	0.00	0.00	0.00	0.00	58.05	77.50	38.39	35.56	52.80
Minimum	−14.50	−19.81	−20.60	−25.30	−21.78	−28.32	0.00	0.00	0.00	0.00	−25.75	−27.10	−22.39	−23.24	−35.42
Maximum	12.71	10.30	8.07	9.51	8.09	29.32	0.00	0.00	0.00	0.00	32.30	50.41	16.00	12.32	17.38
Sum	12.86	−19.99	−25.64	−68.34	−49.47	18.87	0.00	0.00	0.00	0.00	40.79	−41.83	−74.48	−174.25	−271.28
Count	68	68	68	68	68	68	68	68	68	68	68	68	68	68	68

	OilGas Q1	OilGas Q2	OilGas Q3	OilGas Q4	OilGas Q5	RelEst Q1	RelEst Q2	RelEst Q3	RelEst Q4	RelEst Q5	Telcom Q1	Telcom Q2	Telcom Q3	Telcom Q4	Telcom Q5
Mean	0.19	−0.29	−0.38	−1.00	−0.73	0.28	0.00	0.00	0.00	0.00	0.60	−0.62	−1.10	−2.56	−3.99
Standard error	0.43	0.44	0.38	0.57	0.49	0.84	0.00	0.00	0.00	0.00	1.28	1.36	0.98	0.93	0.99
Median	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.29	0.00	0.00	0.00	0.00
Standard deviation	3.56	3.65	3.13	4.74	4.04	6.89	0.00	0.00	0.00	0.00	10.59	11.24	8.07	7.68	8.20
Sample variance	12.65	13.36	9.80	22.46	16.30	47.50	0.00	0.00	0.00	0.00	112.24	126.36	65.19	58.98	67.27
Kurtosis	8.32	14.34	27.45	15.47	11.96	8.98	N/A	N/A	N/A	N/A	0.94	5.87	0.52	0.80	3.06
Skewness	−0.58	−2.66	−4.01	−3.53	−2.71	0.42	N/A	N/A	N/A	N/A	−0.24	1.15	−0.58	−0.78	−1.19
Range	27.21	30.11	28.67	34.81	29.88	57.64	0.00	0.00	0.00	0.00	58.05	77.50	38.39	35.56	52.80
Minimum	−14.50	−19.81	−20.60	−25.30	−21.78	−28.32	0.00	0.00	0.00	0.00	−25.75	−27.10	−22.39	−23.24	−35.42
Maximum	12.71	10.30	8.07	9.51	8.09	29.32	0.00	0.00	0.00	0.00	32.30	50.41	16.00	12.32	17.38
Sum	12.86	−19.99	−25.64	−68.34	−49.47	18.87	0.00	0.00	0.00	0.00	40.79	−41.83	−74.48	−174.25	−271.28
Count	68	68	68	68	68	68	68	68	68	68	68	68	68	68	68