Anatomy Of Behavioural Risk Seasonality In Equity
Table 4:
Panel A: Big Stocks |
Variables/Months |
Overall |
First half of the year |
Second half of the year |
Test for Equality |
|
|
|
|
Return |
Risk |
C |
0.0009 |
0.0008 |
0.0029 |
2.6653*** |
1.2454*** |
DY |
0.0011 |
-0.0031 |
0.0022 |
|
|
EPS |
0.6143*** |
0.6913*** |
0.6116*** |
|
|
PE |
0.6103*** |
0.6245*** |
0.6009*** |
|
|
CI |
-0.3098*** |
-0.1365 |
-0.5312** |
|
|
LEI |
0.1593*** |
0.1759 |
-0.0634 |
|
|
LAI |
-0.0902** |
-0.1266* |
0.0232 |
|
|
BCI |
0.0022 |
-0.0068 |
0.0500 |
|
|
CSI |
-0.0442** |
-0.0470 |
-0.0285 |
|
|
FKLI |
0.4821*** |
0.4025*** |
0.5347*** |
|
|
VOL |
0.0077*** |
0.0073 |
0.0075 |
|
|
Adjusted R2 |
0.6986 |
0.6921 |
0.7106 |
|
|
Panel B: Medium Stocks |
Variables/Months |
Overall |
First half of the year |
Second half of the year |
Test for Equality |
|
|
|
|
Return |
Risk |
C |
-0.0007 |
0.0016 |
-0.0028 |
10.3623*** |
1.0155 |
DY |
-0.0371*** |
-0.0727*** |
-0.0573*** |
|
|
EPS |
0.4370*** |
0.2966*** |
0.3101*** |
|
|
PE |
0.4469*** |
0.3101*** |
0.3392*** |
|
|
CI |
-0.4970*** |
-0.0921 |
-1.0935** |
|
|
LEI |
0.1104*** |
0.1250 |
-0.0931 |
|
|
LAI |
0.0798** |
0.0285 |
0.5788** |
|
|
BCI |
0.0518*** |
0.0427 |
0.0362 |
|
|
CSI |
-0.0562*** |
-0.1341** |
0.1034 |
|
|
FKLI |
0.5723*** |
0.7778*** |
0.6954*** |
|
|
VOL |
0.0023 |
0.0135 |
0.0003 |
|
|
Adjusted R2 |
0.5766 |
0.5189 |
0.5329 |
|
|
Panel C: Small Stocks |
Variables/Months |
Overall |
First half of the year |
Second half of the year |
Test for Equality |
|
|
|
|
Return |
Risk |
C |
-0.0023*** |
-0.0002 |
-0.0028 |
8.5361*** |
1.0617*** |
DY |
-0.0920*** |
-0.1067*** |
-0.0573*** |
|
|
EPS |
0.1891*** |
0.0495*** |
0.3101*** |
|
|
PE |
0.2117*** |
0.0640*** |
0.3392*** |
|
|
CI |
-0.6135*** |
-0.2922 |
-1.0935** |
|
|
LEI |
0.0627 |
0.0536 |
-0.0931 |
|
|
LAI |
0.1803*** |
0.2256 |
0.5788** |
|
|
BCI |
0.0657*** |
0.0202 |
0.0362 |
|
|
CSI |
0.0229 |
-0.1267 |
0.1034 |
|
|
FKLI |
0.7925*** |
1.0975*** |
0.6954*** |
|
|
VOL |
0.0035 |
0.0228* |
0.0003 |
|
|
Adjusted R2 |
0.4914 |
0.5186 |
0.5329 |
|
|
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