|
| Variable | Coeff. | t-stat |
| Variable | Coeff. | t-stat |
| 1-month | Intercept | −4.2545*** | −6.80 | 18-month | Intercept | −2.7181*** | −4.02 |
| Delta SI. | −0.0978*** | −2.97 | Delta SI. | −0.0551*** | −2.70 | ||
| Volume | 0.4057*** | 6.68 | Volume | 0.1591*** | 3.98 | ||
| Market ret. | −0.6556 | −0.29 | Market ret. | 2.0396* | 1.76 | ||
| R-Square | 0.0997 | R-Square | 0.0576 | ||||
| N | 468 | N | 413 | ||||
| 2-month | Intercept | −4.3042*** | −5.79 | 24-month | Intercept | −4.2256*** | −5.94 |
| Delta SI. | −0.0806*** | −3.39 | Delta SI. | −0.0349* | −1.65 | ||
| Volume | 0.2520*** | 5.74 | Volume | 0.2460*** | 5.82 | ||
| Market ret. | −0.8206 | −0.58 | Market ret. | 0.6817 | 0.63 | ||
| R-Square | 0.0852 | R-Square | 0.0902 | ||||
| N | 467 | N | 375 | ||||
| 6-month | Intercept | −4.9289*** | −5.81 | 30-month | Intercept | −2.0104*** | −6.58 |
| Delta SI. | −0.0669** | −2.44 | Delta SI. | 0.0056 | 0.62 | ||
| Volume | 0.2896*** | 5.77 | Volume | 0.1152*** | 6.36 | ||
| Market ret. | 2.9198* | 1.77 | Market ret. | 1.6019*** | 3.38 | ||
| R-Square | 0.0811 | R-Square | 0.1279 |