Table 2 Summary statistics: factors...

Table 2

Summary statistics: factors (January 1994–December 2023)

	Mean	STD	Skew	Kurt	Min	Max
MKT	0.718	4.527	−0.595	1.013	−17.23	13.65
SMB	0.179	3.221	0.739	8.896	−17.20	21.36
HML	0.380	3.493	0.701	2.117	−13.87	12.75
GPR	0.314	22.913	2.192	17.637	−60.01	205.13
GPT	0.114	24.941	0.769	4.339	−78.37	154.98
GPA	0.319	29.147	2.069	14.017	−80.93	241.88
GPRUS	0.188	22.266	1.769	12.694	−56.00	183.94
EPU1	0.097	17.794	0.470	2.407	−64.30	80.25
EPU2	0.090	26.384	0.466	1.595	−91.89	107.65

	Mean	STD	Skew	Kurt	Min	Max
MKT	0.718	4.527	−0.595	1.013	−17.23	13.65
SMB	0.179	3.221	0.739	8.896	−17.20	21.36
HML	0.380	3.493	0.701	2.117	−13.87	12.75
GPR	0.314	22.913	2.192	17.637	−60.01	205.13
GPT	0.114	24.941	0.769	4.339	−78.37	154.98
GPA	0.319	29.147	2.069	14.017	−80.93	241.88
GPRUS	0.188	22.266	1.769	12.694	−56.00	183.94
EPU1	0.097	17.794	0.470	2.407	−64.30	80.25
EPU2	0.090	26.384	0.466	1.595	−91.89	107.65

	MKT	SMB	HML	GPR	GPT	GPA	GPRUS	EPU1	EPU2
MKT	1
SMB	0.243	1
HML	−0.087	−0.207	1
GPR	−0.045	−0.052	0.147	1
GPT	−0.021	−0.025	0.135	0.905	1
GPA	−0.078	−0.065	0.142	0.814	0.523	1
GPRUS	−0.037	−0.072	0.136	0.911	0.832	0.719	1
EPU1	−0.022	−0.115	−0.035	0.008	0.005	0.012	0.044	1
EPU2	−0.218	−0.120	−0.011	−0.002	−0.007	0.002	0.041	0.970	1

	MKT	SMB	HML	GPR	GPT	GPA	GPRUS	EPU1	EPU2
MKT	1
SMB	0.243	1
HML	−0.087	−0.207	1
GPR	−0.045	−0.052	0.147	1
GPT	−0.021	−0.025	0.135	0.905	1
GPA	−0.078	−0.065	0.142	0.814	0.523	1
GPRUS	−0.037	−0.072	0.136	0.911	0.832	0.719	1
EPU1	−0.022	−0.115	−0.035	0.008	0.005	0.012	0.044	1
EPU2	−0.218	−0.120	−0.011	−0.002	−0.007	0.002	0.041	0.970	1

Note(s): The top part of this table reports the means, standard deviations (STD), skewness (Skew), kurtosis (Kurt), minima (Min) and maxima (Max) of the factors considered in the paper. The sample includes monthly observations from January 1994 to December 2023. The bottom part of the table reports the symmetric factor correlation matrix

Source(s): Table created by authors

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