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

Table 7

Regression results of investor sentiment, research report, and stock returns.

	Model (10)	Model (11)	Model (12)
	0.0565279		0.0230509
	(2.20)		(0.79)
		0.0147361	0.0128627
		(3.67)	(2.88)
	0.3684253	0.3681841	0.3681670
	(27.02)	(27.03)	(27.02)
	0.0024143	0.0021802	0.0021675
	(0.42)	(0.38)	(0.38)
	−0.0536938	−0.0540772	−0.0540947
	(−3.41)	(−3.40)	(−3.40)
	0.0032762	0.0033862	0.0034510
	(0.55)	(0.57)	(0.58)
	0.0105177	0.0105764	0.0106372
	(1.30)	(1.30)	(1.31)
Constant	0.3359709	0.3284429	0.3293466
	(42.68)	(39.50)	(38.64)
	0.0724	0.0725	0.0725
F-statistic	131.46	128.29	112.65
	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.