News Sentiment and the Risk of a Stock Price Crash Risk: Based on Financial Dictionary Combined BERT-DCA
Table 16
Robust test: quarterly crash risk for different future periods.
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
CRASH
CRASH
CRASH
CRASH
CRASH
CRASH
CRASH
CRASH
newPos2
−0.049
(0.038)
L.newPos2
0.096∗∗
(0.038)
L2.newPos2
0.084∗∗
(0.039)
L3.newPos2
0.025
(0.038)
newNeg2
−0.248∗∗∗
(0.035)
L.newNeg2
0.034
(0.033)
L2.newNeg2
−0.015
(0.035)
L3.newNeg2
0.027
(0.033)
L.CRASH
−0.048∗∗∗
−0.049∗∗∗
−0.047∗∗∗
−0.047∗∗∗
−0.049∗∗∗
−0.049∗∗∗
−0.048∗∗∗
−0.045∗∗∗
(0.005)
(0.005)
(0.005)
(0.005)
(0.005)
(0.005)
(0.005)
(0.005)
L.ret
1.921∗∗∗
1.909∗∗∗
2.445∗∗∗
3.096∗∗∗
1.837∗∗∗
1.773∗∗∗
2.562∗∗∗
3.184∗∗∗
(0.447)
(0.450)
(0.502)
(0.508)
(0.457)
(0.458)
(0.505)
(0.525)
L.sigma
−1.686∗∗∗
−1.464∗∗∗
−2.182∗∗∗
−2.174∗∗∗
−1.780∗∗∗
−1.411∗∗∗
−1.931∗∗∗
−2.287∗∗∗
(0.237)
(0.234)
(0.259)
(0.262)
(0.239)
(0.239)
(0.263)
(0.264)
L.roa
−0.091∗∗
−0.123∗∗∗
−0.122∗∗∗
−0.121∗∗∗
−0.062
−0.124∗∗∗
−0.141∗∗∗
−0.118∗∗
(0.046)
(0.046)
(0.047)
(0.046)
(0.047)
(0.046)
(0.049)
(0.047)
L.level
−0.037∗∗
−0.034∗
−0.029∗
−0.018
−0.036∗∗
−0.045∗∗∗
−0.038∗∗
−0.029
(0.016)
(0.018)
(0.017)
(0.019)
(0.017)
(0.017)
(0.017)
(0.018)
L.size
0.000
−0.000
0.000
0.000
0.000
0.000
0.000
0.000
(0.000)
(0.000)
(0.000)
(0.000)
(0.000)
(0.000)
(0.000)
(0.000)
Fixed effects:
Quarter dummy
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Firm dummy
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
N
58,530
58,530
58,530
58,530
59,748
59,748
59,748
59,748
R2
0.038
0.037
0.039
0.038
0.040
0.039
0.039
0.038
This table reports robust regression estimates of stock crash risk on the news coverage sentiment indicators two stage OLS. Column (1) is the first stage. Columns (2) to (4) are the second stage; year and firm dummy variable are included; all control variables are included as lagged one year. Robust standard errors are reported in parentheses. The labels ∗∗∗, ∗∗, and ∗ indicate 1%, 5%, and 10% levels of significance, respectively.
