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

Table 6

Regression results of investor sentiment and research report.

	Model (7)	Model (8)	Model (9)
	0.0731084		0.0228300
	(3.56)		(1.43)
		0.0211631	0.0193073
		(3.87)	(3.56)
	0.0706226	0.0702385	0.0702248
	(28.39)	(28.32)	(28.34)
	0.0847967	0.0841808	0.0841621
	(3.89)	(3.90)	(3.90)
	0.0241770	0.0243662	0.0244300
	(1.57)	(1.58)	(1.58)
	−0.0578704	−0.0577297	−0.0576686
	(−2.48)	(−2.48)	(−2.48)
Constant	0.4134446	0.4024528	0.4033410
	(37.47)	(34.37)	(34.64)
	0.0242	0.0245	0.0245
F-statistic	180.25	176.96	151.08
	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.