1

2

3

4

5

6

Intercept

0.257 (0.97)

0.192 (0.92)

0.178 (0.69)

0.176 (0.42)

0.181 (0.72)

0.177 (0.52)

Index

0.048^*** (12.82)

0.091^*** (12.87)

0.059^*** (22.61)

0.053^*** (22.44)

0.048^*** (22.61)

0.046^*** (22.52)

Recession

0.083^*** (31.60)

0.081^*** (30.83)

Return

−0.021 (−0.58)

−0.030 (−0.82)

VIX

0.020^** (2.00)

0.024^** (2.46)

PIN

−33.52^*** (−20.73)

−27.26^*** (−16.96)

−27.29^*** (−16.99)

PIN^H

−12.36^*** (−12.76)

−10.37^*** (−10.68)

−10.35^*** (−10.70)

PIN^L

9.270^*** (8.28)

7.212^*** (6.45)

7.232^*** (6.47)

Adjusted R²

0.0698

0.0651

0.0484

0.0459

0.0482

0.0461

F-statistics

653^***

516^***

452^***

357^***

453^***

358^***

N

467,339

470,516

467,279

470,456

467,339

470,516