Variables

Definitions

IRAR

Intended Risk Adjustment Ratio, ${\text{IRAR}}_{i,t}={\text{σ}}_{i,t}^{\left(2\right)\mathrm{int}}/{\text{σ}}_{i,t}^{\left(1\right)}$

IRAL

Intended Risk Adjustment Level, ${\text{IRAL}}_{i,t}={\text{σ}}_{i,t}^{\left(2\right)\mathrm{int}}-{\text{σ}}_{i,t}^{\left(1\right)}$

LnEPU

The logarithm of the average monthly EPU

LnTNA

The logarithm of the average fund net asset

LnAge

The logarithm of the fund month age at the beginning of the period

Expense

The ratio of the fund management fee to fund net asset

Holding

The ratio of stock to fund net asset

InsHolder

The ratio of institutional investor

Stgy_size

The weighted average of the quantile of stock market value at the fund level

Stgy_bm

The weighted average of the quantile of stock book-to-market ratio at the fund level

Stgy_mom

The weighted average of the quantile of stock return at the fund level

Stgy_vol

The weighted average of the quantile of stock volatility at the fund level