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