Subsample Analysis This table presents monthly Fama-French-Carhart alphas for high and low RSI portfolios sorted into LOTT quintiles and independently sorted into two groups based on investor sentiment, economic activity (CFNAI), macroeconomic uncertainty (JLN index), and market volatility (VXO
Forecaster variance and disagreement about the GDP growth outlook (vGDP and DvGDP) are both positively correlated with VXO
and SPD, suggesting that the financial variables do reflect some uncertainty about the growth outlook.
Market Sentiment Indicators VIX CBOE Volatility Index changes VXO
CBOE OEX Volatility Index Source: YahooFinance Table A.5.
house in north London, by Alison Brooks Architects, is the conversion and extension of one built in the 1960s with '70s additions, Inhabited by the clients for 15 years, it was a squarish block stepped around the periphery with a front door on the south and was set at the back of wooded sloping gardens off a steep lane.
The coefficients on VXO
and JLN are both statistically and economically significant, with one-standard-deviation increases lowering the notional target funds rate by 43 and 29 basis points, respectively.
Sample size refers to the number of days during the sample period when VIX and VXO
are published by the OBOE.