Table 2 Description of the target study... | Emerald Publishing

Table 2

Description of the target study variables

Variable	Definition	Source
$R_{Large_Value}$	Return of Russell 1000 Value index	Datastream database
$R_{Large - Growth}$	Return of Russell 1000 Growth index
$R_{Small - Value}$	Return of Russell 2000 Value index
$R_{Small - Growth}$	Return of Russell 2000 Growth index
EPU	Variation rate of US Economic Policy Uncertainty index	Baker et al. (2016)
Cycle	Recession (1) or Expansion (2)	National Bureau of Economic Research (NBER)
Default_spread	Default spread between yields of BAAs-rated bonds and AAA-rated bonds	Federal Reserve Economic Data (FRED) Database
Inflation	Variation rate of the US Consumer Price index
IPI	Variation rate of the Industrial Production index
Term_spread	Term spread between the yield to maturity of a 10-year Treasury note and the three-month Treasury bill
GDP	Variation rate of US normalised Gross Domestic Product

Variable	Definition	Source
$R_{Large_Value}$	Return of Russell 1000 Value index	Datastream database
$R_{Large - Growth}$	Return of Russell 1000 Growth index
$R_{Small - Value}$	Return of Russell 2000 Value index
$R_{Small - Growth}$	Return of Russell 2000 Growth index
EPU	Variation rate of US Economic Policy Uncertainty index	Baker et al. (2016)
Cycle	Recession (1) or Expansion (2)	National Bureau of Economic Research (NBER)
Default_spread	Default spread between yields of BAAs-rated bonds and AAA-rated bonds	Federal Reserve Economic Data (FRED) Database
Inflation	Variation rate of the US Consumer Price index
IPI	Variation rate of the Industrial Production index
Term_spread	Term spread between the yield to maturity of a 10-year Treasury note and the three-month Treasury bill
GDP	Variation rate of US normalised Gross Domestic Product

Source(s): Own elaboration