Table 8 Weekly rebalanced portfolio...

Table 8

Weekly rebalanced portfolio returns sorted by change of analysts text opinions

	Number of stocks	Close-to-close return		Open-to-open return
	Number of stocks	Return	Market adjusted return	Return	Market adjusted return
ΔOPN<0(Low)	39	0.085	0.028	−0.018	−0.097
		(0.57)	(0.34)	(−0.11)	(−0.92)
ΔOPN = 0	101	0.017	−0.041	0.006	−0.079
		(0.11)	(−0.46)	(0.03)	(−0.63)
ΔOPN<0(High)	40	0.139	0.082	0.082	−0.004
		(0.96)	(0.85)	(0.47)	(−0.03)
High-Low		0.064	0.064	0.093	0.093
		(0.66)	(0.66)	(0.84)	(0.84)

	Number of stocks	Close-to-close return		Open-to-open return
	Number of stocks	Return	Market adjusted return	Return	Market adjusted return
ΔOPN<0(Low)	39	0.085	0.028	−0.018	−0.097
		(0.57)	(0.34)	(−0.11)	(−0.92)
ΔOPN = 0	101	0.017	−0.041	0.006	−0.079
		(0.11)	(−0.46)	(0.03)	(−0.63)
ΔOPN<0(High)	40	0.139	0.082	0.082	−0.004
		(0.96)	(0.85)	(0.47)	(−0.03)
High-Low		0.064	0.064	0.093	0.093
		(0.66)	(0.66)	(0.84)	(0.84)

Note(s): This table reports the portfolio returns sorted by analyst opinion change (ΔOPN), where return is calculated from the close-to-close price and open-to-open price, respectively. Each week stocks are sorted by the previous week'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 week. Number of stocks means average number of stocks included in the portfolio for each week. The hedged portfolio (High-Low) returns that buy 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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