Variables

IRAR

IRAL

(1)

(2)

(3)

(4)

(5)

(6)

Panel A: Using the weighted average EPU index

${\text{LnAdjEPU}}_{t-1}$

0.162***

0.098***

0.215***

0.014***

0.013***

0.017***

(10.66)

(2.86)

(6.17)

(11.91)

(5.69)

(7.35)

Fund characteristic

Control

Control

Control

Control

Investment style

Control

Control

Cons

0.065

1.128***

0.518*

−0.086***

−0.030

−0.055***

(0.78)

(4.06)

(1.86)

(−12.13)

(−1.55)

(−2.91)

Time effect

Control

Control

Control

Control

Control

Control

Fixed effect

Control

Control

Control

Control

Control

Control

N

5560

5560

5560

5560

5560

5560

$R^2$

0.213

0.220

0.225

0.279

0.290

0.301

Panel B: Using EPU index of the current period

${\text{LnEPU}}_t$

0.217***

0.251***

0.289***

0.019***

0.020***

0.022***

(10.66)

(5.83)

(6.17)

(11.91)

(6.93)

(7.35)

Fund characteristic

Control

Control

Control

Control

Investment style

Control

Control

Cons

−0.277**

0.324

0.0640

−0.116***

−0.069***

−0.090***

(−2.42)

(1.02)

(0.19)

(−12.08)

(−3.14)

(−4.06)

Time effect

Control

Control

Control

Control

Control

Control

Fixed effect

Control

Control

Control

Control

Control

Control

N

5560

5560

5560

5560

5560

5560

$R^2$

0.213

0.220

0.225

0.279

0.290

0.301