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

Table 9

Regression results (using CSMAR sentiment index).

	Case (1)	Case (2)	Case (3)
	0.0248163	0.0017288	0.0246792
	(7.52)	(2.47)	(7.47)
			0.0793405
			(4.92)
	0.0234505	0.0013279	0.0233452
	(4.64)	(2.50)	(4.62)
	−0.0110012	0.0021495	−0.0111717
	(−2.37)	(1.74)	(−2.39)
	0.0219775	0.000058	0.0219729
	(4.84)	(0.03)	(4.83)
	−0.0197732	−0.0012477	−0.0196742
	(−2.78)	(−0.72)	(−2.76)
Constant	0.4805686	0.4730054	0.4430401
	(93.65)	(430.12)	(45.94)
	0.0013	0.0002	0.0015
F-statistic	21.35	2.89	20.87
	118,674	118,674	118,674

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