Table 9 Portfolio returns sorted by...

Table 9

Portfolio returns sorted by analysts recommendation and opinion change

Recommendation	Sell (Rec<3)	Neutral (3≤Rec<4)	Buy (Rec ≥ 4)	Buy-Sell	Buy-Neutral
	−0.018	0.027	−0.009	0.063	−0.036^**
	(−0.08)	(1.29)	(−0.54)	(0.32)	(−2.03)
	1	48	131
ΔOPN
ΔOPN<0(Low)	–	0.066	−0.095^**	–	−0.113
		(0.93)	(−2.12)		(−1.36)
		3	5
ΔOPN = 0	–	0.027	−0.004	–	−0.035^*
		(1.23)	(−0.22)		(−1.83)
		44	122
ΔOPN<0(High)	–	0.051	0.078^*	–	0.011
		(0.88)	(1.73)		(0.16)
		3	5
High-Low	–	−0.007	0.200^***
		(−0.08)	(3.10)

Recommendation	Sell (Rec<3)	Neutral (3≤Rec<4)	Buy (Rec ≥ 4)	Buy-Sell	Buy-Neutral
	−0.018	0.027	−0.009	0.063	−0.036^**
	(−0.08)	(1.29)	(−0.54)	(0.32)	(−2.03)
	1	48	131
ΔOPN
ΔOPN<0(Low)	–	0.066	−0.095^**	–	−0.113
		(0.93)	(−2.12)		(−1.36)
		3	5
ΔOPN = 0	–	0.027	−0.004	–	−0.035^*
		(1.23)	(−0.22)		(−1.83)
		44	122
ΔOPN<0(High)	–	0.051	0.078^*	–	0.011
		(0.88)	(1.73)		(0.16)
		3	5
High-Low	–	−0.007	0.200^***
		(−0.08)	(3.10)

Note(s): This table reports the portfolio returns sorted by analysts recommendation and opinion change (ΔOPN), where the return is market-adjusted (raw return minus KOSPI return). According to the recommendation of the analyst, the report is divided into five ranges: sell, underweight, neutral, buy and strong buy, and the following values are arbitrarily assigned to REC. Sell = 1, Underweight = 2, Neutral = 3, Buy = 4, Strong Buy = 5. OPN is textual opinion calculated as percentage of positive word frequency minus percentage of negative word frequency. Stock is assigned into 3*3 groups by analysts recommendation and opinion change (ΔOPN), 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. The hedged portfolio (High-Low) returns that buys the most favorable stocks and short sells the least favorable stocks are also reported. The third row shows the average number of stocks included in the portfolio for each day. *, **, *** indicates p < 0.1, p < 0.05, p < 0.01, respectively

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