The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Table 5

Regression results of stock return and research report.

	Model (4)	Model (5)	Model (6)
	0.0834628		0.0314562
	(3.16)		(1.04)
		0.0225280	0.0199710
		(5.66)	(4.50)
	0.0284335	0.0280409	0.0280219
	(4.76)	(4.71)	(4.70)
	−0.0224525	−0.0230832	−0.0231090
	(−2.30)	(−2.30)	(−2.29)
	0.0121836	0.0123575	0.0124453
	(4.85)	(4.92)	(4.97)
	−0.0108032	−0.0106788	−0.0105945
	(−1.71)	(−1.69)	(−1.68)
Constant	0.4882944	0.4766196	0.4778434
	(106.01)	(90.31)	(86.44)
	0.0014	0.0016	0.0016
F-statistic	11.92	14.42	12.25
	71,031	71,031	71,031

Notes: t statistics are in parentheses. , , and denote significance at the 0.001, 0.01, and 0.05 level, respectively.