Anatomy Of Behavioural Risk Seasonality In Equity
Table 5:
Month |
C |
DY |
EPS |
PE |
CI |
LEI |
LAI |
BCI |
CSI |
FKLI |
VOL |
Panel A: Big stocks |
12 |
0.00 |
0.00 |
0.53*** |
0.49*** |
-0.20 |
0.17 |
-0.45 |
0.09 |
-0.17 |
0.38*** |
-0.01 |
1 |
0.00 |
0.01 |
0.70*** |
0.72*** |
-0.27 |
0.19 |
-0.08 |
0.09 |
-0.17** |
0.25** |
-0.02 |
2 |
0.00 |
-0.01 |
0.60*** |
0.69*** |
-0.47 |
0.18 |
-0.06 |
0.00 |
0.01 |
0.42*** |
0.01 |
3 |
0.01 |
-0.01 |
0.54*** |
0.55*** |
0.09 |
-0.7*** |
-0.23 |
-0.03 |
0.14** |
0.56*** |
0.04** |
4 |
0.01** |
-0.04 |
0.60*** |
0.56*** |
0.04 |
0.22 |
0.15 |
-0.10 |
-0.15** |
0.47*** |
0.03*** |
5 |
0.00 |
0.01 |
0.55*** |
0.55*** |
-0.24 |
-0.02 |
0.04 |
-0.18** |
0.00 |
0.50*** |
0.00 |
6 |
0.01* |
-0.01 |
0.67*** |
0.69*** |
-0.82 |
0.60 |
0.18 |
0.05 |
0.08 |
0.35*** |
0.04 |
7 |
0.00 |
0.01 |
0.63*** |
0.72*** |
-0.60 |
-0.52 |
-0.09 |
-0.10 |
-0.24 |
0.53*** |
0.03 |
8 |
0.01** |
0.02 |
0.56*** |
0.51*** |
-0.22 |
-0.15 |
0.60* |
0.24** |
0.21 |
0.53*** |
0.00 |
9 |
-0.01* |
0.01 |
0.78*** |
0.77*** |
-5.35** |
0.09 |
1.43* |
-0.37** |
-0.90** |
0.28*** |
0.01 |
10 |
-0.01 |
-0.04* |
0.71*** |
0.69*** |
0.19 |
-1.21** |
-0.76* |
-0.24 |
0.40** |
0.90*** |
-0.01 |
11 |
0.00 |
0.01 |
0.77*** |
0.79*** |
0.02 |
-0.36 |
-0.42 |
0.05 |
-0.17 |
0.46*** |
0.00 |
Panel B: Medium stocks |
12 |
0.00 |
-0.1*** |
0.15** |
0.17** |
0.27 |
-0.30 |
1.12 |
-0.50** |
0.89*** |
0.24 |
0.01 |
1 |
0.01 |
-0.2*** |
0.15*** |
0.15** |
-0.05 |
0.01 |
0.09 |
0.04 |
-0.20 |
0.43*** |
-0.04** |
2 |
0.00 |
-0.07* |
0.61*** |
0.64*** |
-0.5*** |
-0.13 |
-0.12 |
-0.02 |
0.01 |
0.59*** |
0.00 |
3 |
0.02*** |
-0.05** |
0.20 |
0.21 |
-0.47 |
-0.18 |
0.01 |
-0.2*** |
-0.10 |
1.10*** |
0.04*** |
4 |
0.01** |
-0.1*** |
0.35*** |
0.33*** |
-0.46 |
0.32 |
0.01 |
-0.17 |
0.03 |
0.69*** |
0.01 |
5 |
-0.01 |
0.00 |
0.64*** |
0.62*** |
-0.69 |
-1.46* |
0.74 |
0.13 |
-0.04 |
0.26* |
0.01 |
6 |
0.01*** |
-0.02 |
0.32** |
0.34** |
-1.2*** |
-0.57 |
0.37* |
0.07 |
0.22*** |
0.98*** |
0.05*** |
7 |
0.00 |
-0.12** |
0.31** |
0.31** |
-1.7*** |
0.49 |
0.49 |
-0.21 |
-0.18 |
0.57*** |
0.01 |
8 |
0.02* |
0.00 |
0.67*** |
0.67*** |
-1.20 |
-0.85 |
1.54** |
0.63*** |
0.22 |
0.49** |
0.01 |
9 |
-0.01** |
-0.04** |
0.30*** |
0.30*** |
-2.86 |
-0.09 |
1.24** |
-0.18 |
-0.63** |
0.73*** |
0.00 |
10 |
-0.02* |
-0.05** |
0.41*** |
0.41*** |
-0.13 |
0.09 |
-1.1*** |
-0.12 |
0.19 |
0.93*** |
0.00 |
11 |
0.01 |
0.00 |
0.78*** |
0.76*** |
-0.20 |
-0.52 |
-1.05 |
0.06 |
-0.33 |
0.61*** |
-0.01 |
Panel C: Small stocks |
12 |
-0.01 |
-0.2*** |
0.06** |
0.06** |
1.47 |
-1.09** |
2.69*** |
-0.74** |
1.16*** |
0.31 |
0.05 |
1 |
0.01 |
-0.2*** |
0.04 |
0.04** |
0.20 |
-0.44 |
0.01 |
0.14 |
-0.11 |
0.22 |
-0.04* |
2 |
0.00 |
-0.1*** |
0.26*** |
0.29*** |
-0.73* |
0.66 |
-0.33 |
-0.15 |
0.09 |
1.14*** |
-0.01 |
3 |
0.04*** |
-0.1*** |
0.01* |
0.03** |
-1.8*** |
-0.12 |
0.98*** |
-0.4*** |
0.16 |
1.17*** |
0.10*** |
4 |
0.01 |
-0.77 |
0.06** |
0.03* |
-0.27 |
0.99 |
0.23 |
-0.62** |
0.23 |
1.06*** |
0.00 |
5 |
-0.02 |
-0.1*** |
0.09* |
0.13*** |
-1.46 |
-2.40 |
0.16 |
0.14 |
-0.09 |
1.05*** |
0.05 |
6 |
0.02*** |
-0.03** |
0.12*** |
0.14*** |
-2.64** |
-0.74 |
1.04*** |
0.17 |
0.37*** |
1.06*** |
0.04 |
7 |
0.00 |
-0.2*** |
0.10*** |
0.07*** |
-1.07 |
1.07* |
0.46 |
-0.10 |
-0.07 |
0.67*** |
0.01 |
8 |
0.02** |
-0.06 |
0.32*** |
0.38*** |
-2.83* |
-1.44 |
2.73*** |
0.86*** |
0.23 |
0.83*** |
0.01 |
9 |
-0.01 |
-0.1*** |
0.07*** |
0.09*** |
-1.55 |
-0.04 |
1.15** |
-0.34** |
-0.30 |
0.92*** |
0.00 |
10 |
-0.1*** |
-0.1*** |
0.11*** |
0.11*** |
0.62 |
1.14** |
-2.0*** |
-0.16 |
0.35** |
0.95*** |
-0.02** |
11 |
-0.02 |
-0.11** |
0.32** |
0.33* |
1.32 |
-2.1*** |
-1.32* |
-0.13 |
-0.28 |
1.55*** |
-0.1*** |
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