Table 6 Portfolio returns sorted by...

Table 6

Portfolio returns sorted by analysts textual opinion change

	Number of stocks	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
ΔOPN<0(Low)	7	−0.040	−0.051	−0.050	−0.053	−0.051
		(−0.88)	(−1.29)	(−1.27)	(−1.35)	(−1.31)
ΔOPN = 0	165	0.012	0.002	0.003	−0.006	−0.003
		(0.39)	(0.13)	(0.17)	(−0.37)	(−0.21)
ΔOPN<0(High)	7	0.069	0.056	0.058	0.054	0.056
		(1.56)	(1.48)	(1.54)	(1.43)	(1.49)
High-Low		0.117^**	0.117^**	0.113^**	0.112^**	0.113^**
		(2.16)	(2.16)	(2.08)	(2.06)	(2.07)

	Number of stocks	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
ΔOPN<0(Low)	7	−0.040	−0.051	−0.050	−0.053	−0.051
		(−0.88)	(−1.29)	(−1.27)	(−1.35)	(−1.31)
ΔOPN = 0	165	0.012	0.002	0.003	−0.006	−0.003
		(0.39)	(0.13)	(0.17)	(−0.37)	(−0.21)
ΔOPN<0(High)	7	0.069	0.056	0.058	0.054	0.056
		(1.56)	(1.48)	(1.54)	(1.43)	(1.49)
High-Low		0.117^**	0.117^**	0.113^**	0.112^**	0.113^**
		(2.16)	(2.16)	(2.08)	(2.06)	(2.07)

Note(s): This table reports the portfolio returns sorted by analyst textual opinion change (ΔOPN). Each day stocks are sorted by the previous day's analyst opinion change (ΔOPN) 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. Stock is assigned into three groups, indicating the low stocks (1) for ΔOPN<0, the high stocks(3) for ΔOPN>0, and 2 for otherwise. 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 stocks and short sells the least favorable stocks are also reported. *, **, *** indicates p < 0.1, p < 0.05, p < 0.01, respectively

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