Table 1 Descriptive statistics of IE...

Table 1

Descriptive statistics of IE prediction variables

	IE	IS	IK	IV	MKT	SMB	HML	MOM	Co-skew	Liquidity	MAX	MIN
Panel A: baseline results
Mean	0.14	0.22	2.01	0.024	0.02	0.018	0.088	0.03	0.40	−0.09	1.28	−1.04
Median	0.13	0.22	1.99	0.023	0.05	0.011	0.082	0.06	0.40	−0.10	0.37	−0.39
Std. Dev	0.05	0.11	0.30	0.005	0.09	0.05	0.07	0.08	0.11	0.05	12.22	9.27
Skewness	1.06	−0.28	0.86	1.99	−0.21	8.57	−6.24	−1.03	0.27	−0.63	4.44	0.55
Kurtosis	8.83	4.02	5.38	9.94	11.47	205.08	111.4	16.91	2.16	36.38	8.26	1.34
Sharp ratio	2.80	2.00	6.70	4.80	0.22	0.36	1.25	0.37	3.63	−1.80	1.29	1.08
Panel B: correlations
IE	1.00
IS	−0.05	1.00
IK	−0.21	0.05	1.00
IV	0.22	−0.03	−0.22	1.00
MKT	0.00	0.04	0.00	0.01	1.00
SMB	−0.01	0.02	0.01	0.00	−0.14	1.00
HML	0.01	−0.02	0.01	0.00	0.07	0.00	1.00
MOM	−0.03	−0.02	0.00	−0.05	−0.22	0.05	−0.02	1.00
Co-skew	0.11	0.03	−0.32	0.27	−0.01	−0.01	−0.02	0.02	1.00
Liquidity	−0.26	−0.06	0.26	−0.11	0.00	0.01	0.02	−0.01	−0.64	1.00
MAX	0.17	−0.12	−0.26	0.26	0.11	−0.09	−0.15	0.05	−0.10	−0.15	1.00
MIN	0.08	−0.16	−0.29	0.28	0.09	−0.12	−0.09	0.01	−0.08	−0.12	−0.22	1.00

	IE	IS	IK	IV	MKT	SMB	HML	MOM	Co-skew	Liquidity	MAX	MIN
Panel A: baseline results
Mean	0.14	0.22	2.01	0.024	0.02	0.018	0.088	0.03	0.40	−0.09	1.28	−1.04
Median	0.13	0.22	1.99	0.023	0.05	0.011	0.082	0.06	0.40	−0.10	0.37	−0.39
Std. Dev	0.05	0.11	0.30	0.005	0.09	0.05	0.07	0.08	0.11	0.05	12.22	9.27
Skewness	1.06	−0.28	0.86	1.99	−0.21	8.57	−6.24	−1.03	0.27	−0.63	4.44	0.55
Kurtosis	8.83	4.02	5.38	9.94	11.47	205.08	111.4	16.91	2.16	36.38	8.26	1.34
Sharp ratio	2.80	2.00	6.70	4.80	0.22	0.36	1.25	0.37	3.63	−1.80	1.29	1.08
Panel B: correlations
IE	1.00
IS	−0.05	1.00
IK	−0.21	0.05	1.00
IV	0.22	−0.03	−0.22	1.00
MKT	0.00	0.04	0.00	0.01	1.00
SMB	−0.01	0.02	0.01	0.00	−0.14	1.00
HML	0.01	−0.02	0.01	0.00	0.07	0.00	1.00
MOM	−0.03	−0.02	0.00	−0.05	−0.22	0.05	−0.02	1.00
Co-skew	0.11	0.03	−0.32	0.27	−0.01	−0.01	−0.02	0.02	1.00
Liquidity	−0.26	−0.06	0.26	−0.11	0.00	0.01	0.02	−0.01	−0.64	1.00
MAX	0.17	−0.12	−0.26	0.26	0.11	−0.09	−0.15	0.05	−0.10	−0.15	1.00
MIN	0.08	−0.16	−0.29	0.28	0.09	−0.12	−0.09	0.01	−0.08	−0.12	−0.22	1.00

Note(s): Panel A provides descriptive statistics for the risk factors used to predict firm entropy through monthly cross-sectional regression analyses. IE, IV, IS, and IK are calculated using Equations (5), (8), (9), and (10), respectively, based on residuals determined by Equation (1). MKT represents the market’s excess return; SMB denotes the excess return of small-cap stocks over large-cap stocks; HML is the excess return of high book-to-market stocks over low book-to-market stocks; MOM calculates the difference in returns between two portfolios with high previous returns and two with low previous returns. Co-skewness and liquidity are derived as per Harvey and Siddique (2000) and Pastor and Stambaugh (2003), respectively. MAX refers to the highest daily return within a month, and MIN is the inverse of the lowest daily return in the same period. Panel B additionally presents correlations among these risk factors. The dataset covers 3,100 firms from January 1988 to June 2019

Source(s): Created by the author

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