Table 5 Portfolio returns sorted by...

Table 5

Portfolio returns sorted by analyst textual opinions

Panel A. Quintile portfolio returns sorted by analysts textual opinions
	Number of stocks	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
1(Low)	24	0.007	−0.004	−0.003	−0.005	−0.002
		(0.20)	(−0.17)	(−0.11)	(−0.19)	(−0.09)
2	30	−0.022	−0.031	−0.030	−0.037	−0.034
		(−0.68)	(−1.32)	(−1.33)	(−1.64)	(−1.53)
3	40	0.011	−0.002	−0.001	−0.009	−0.006
		(0.33)	(−0.08)	(−0.03)	(−0.46)	(−0.31)
4	39	0.024)	0.013	0.014	0.000	0.004
		(0.74)	(0.65)	(0.70)	(0.02)	(0.22)
5(High)	46	0.020	0.010	0.010	0.000	0.002
		(0.59)	(0.48)	(0.49)	(0.00)	(0.12)
High-Low		0.018	0.018	0.013	0.005	0.004
		(0.69)	(0.69)	(0.49)	(0.18)	(0.17)

Panel A. Quintile portfolio returns sorted by analysts textual opinions
	Number of stocks	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
1(Low)	24	0.007	−0.004	−0.003	−0.005	−0.002
		(0.20)	(−0.17)	(−0.11)	(−0.19)	(−0.09)
2	30	−0.022	−0.031	−0.030	−0.037	−0.034
		(−0.68)	(−1.32)	(−1.33)	(−1.64)	(−1.53)
3	40	0.011	−0.002	−0.001	−0.009	−0.006
		(0.33)	(−0.08)	(−0.03)	(−0.46)	(−0.31)
4	39	0.024)	0.013	0.014	0.000	0.004
		(0.74)	(0.65)	(0.70)	(0.02)	(0.22)
5(High)	46	0.020	0.010	0.010	0.000	0.002
		(0.59)	(0.48)	(0.49)	(0.00)	(0.12)
High-Low		0.018	0.018	0.013	0.005	0.004
		(0.69)	(0.69)	(0.49)	(0.18)	(0.17)

Panel B. Tercile portfolio returns sorted by analysts textual opinions
	Number of stocks	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
1(Low)	24	0.007	−0.004	−0.003	−0.005	−0.002
		(0.20)	(−0.17)	(−0.11)	(−0.19)	(−0.09)
2	70	−0.004	−0.015	−0.014	−0.022	−0.019
		(−0.12)	(−0.76)	(−0.73)	(−1.15)	(−1.02)
3(High)	85	0.026	0.015	0.016	0.004	0.007
		(0.80)	(0.84)	(0.87)	(0.24)	(0.42)
High-Low		0.024	0.024	0.019	0.009	0.009
		(1.00)	(1.00)	(0.78)	(0.38)	(0.39)

Panel B. Tercile portfolio returns sorted by analysts textual opinions
	Number of stocks	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
1(Low)	24	0.007	−0.004	−0.003	−0.005	−0.002
		(0.20)	(−0.17)	(−0.11)	(−0.19)	(−0.09)
2	70	−0.004	−0.015	−0.014	−0.022	−0.019
		(−0.12)	(−0.76)	(−0.73)	(−1.15)	(−1.02)
3(High)	85	0.026	0.015	0.016	0.004	0.007
		(0.80)	(0.84)	(0.87)	(0.24)	(0.42)
High-Low		0.024	0.024	0.019	0.009	0.009
		(1.00)	(1.00)	(0.78)	(0.38)	(0.39)

Note(s): This table reports the portfolio returns sorted by analysts textual opinion (OPN). Each day stocks are sorted by the previous day's analyst opinion (OPN) derived from the text body of the analyst reports. OPN is textual opinion calculated as percentage of positive word frequency minus percentage of negative word frequency. In Panel A, OPN is converted as five groups, indicating 1 for OPN<0, 2 for 0=<OPN<0.2, 3 for 0.2=<OPN<0.4, 4 for 0.4=<OPN<0.6, and 5 for 0.6=<OPN<1, respectively. In Panel B, OPN is converted as three groups, indicating 1 for OPN<0, 2 for 0=<OPN<0.4, and 3 for 0.4=<OPN<1, respectively. Then, the equally weighted portfolio returns are calculated and portfolios are rebalanced every day. Number of stocks means average number of stocks included in the portfolio for each day. The hedged portfolio (high-low) returns that buys the most favorable opinion stocks and short sells the least favorable opinion stocks are also reported. *, **, *** indicates p < 0.1, p < 0.05, p < 0.01, respectively

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