Table 10 Robustness checks Panel A....

Table 10

Robustness checks

Panel A. Alternative opinion Measure(OPN_all)
	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
ΔOPN<0(Low)	−0.039	−0.051	−0.050	−0.052	−0.050
	(−0.78)	(−1.18)	(−1.16)	(−1.22)	(−1.18)
ΔOPN = 0	0.012	0.002	0.003	−0.006	−0.003
	(0.38)	(0.12)	(0.16)	(−0.38)	(−0.21)
ΔOPN<0(High)	0.091^*	0.065	0.069	0.060	0.063
	(1.79)	(1.43)	(1.53)	(1.33)	(1.41)
High-Low	0.127^**	0.127^**	0.123^**	0.119^*	0.121^*
	(2.04)	(2.04)	(1.98)	(1.92)	(1.95)

Panel A. Alternative opinion Measure(OPN_all)
	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
ΔOPN<0(Low)	−0.039	−0.051	−0.050	−0.052	−0.050
	(−0.78)	(−1.18)	(−1.16)	(−1.22)	(−1.18)
ΔOPN = 0	0.012	0.002	0.003	−0.006	−0.003
	(0.38)	(0.12)	(0.16)	(−0.38)	(−0.21)
ΔOPN<0(High)	0.091^*	0.065	0.069	0.060	0.063
	(1.79)	(1.43)	(1.53)	(1.33)	(1.41)
High-Low	0.127^**	0.127^**	0.123^**	0.119^*	0.121^*
	(2.04)	(2.04)	(1.98)	(1.92)	(1.95)

Panel B. Value-weighted return
	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
ΔOPN<0(Low)	−0.060	−0.071	−0.070	−0.074^*	−0.074^*
	(−1.19)	(−1.63)	(−1.62)	(−1.72)	(−1.72)
ΔOPN = 0	0.019	0.009	0.009	0.004	0.003
	(0.60)	(0.61)	(0.64)	(0.28)	(0.20)
ΔOPN<0(High)	0.028	0.015	0.017	0.019	0.017
	(0.54)	(0.33)	(0.36)	(0.40)	(0.37)
High-Low	0.092	0.092	0.088	0.094	0.093
	(1.39)	(1.39)	(1.33)	(1.43)	(1.41)

Panel B. Value-weighted return
	Return	Market adjusted return	Alpha from CAPM	Alpha from 3 factor model	Alpha from 5 factor model
ΔOPN<0(Low)	−0.060	−0.071	−0.070	−0.074^*	−0.074^*
	(−1.19)	(−1.63)	(−1.62)	(−1.72)	(−1.72)
ΔOPN = 0	0.019	0.009	0.009	0.004	0.003
	(0.60)	(0.61)	(0.64)	(0.28)	(0.20)
ΔOPN<0(High)	0.028	0.015	0.017	0.019	0.017
	(0.54)	(0.33)	(0.36)	(0.40)	(0.37)
High-Low	0.092	0.092	0.088	0.094	0.093
	(1.39)	(1.39)	(1.33)	(1.43)	(1.41)

Note(s): This table reports the portfolio returns sorted by analyst opinion change. Each day stocks are sorted by the previous day's analyst opinion change (ΔOPN) derived from the text body of the analyst reports. 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. The hedged portfolio (High-Low) returns that buy the most favorable stocks and short sells the least favorable stocks are also reported. In Panel A, ΔOPN is change of alternative opinion measure, OPN_all, which is calculated as the number of positive word minus negative word divided by the number of words in analyst report (Length). In Panel B, value-weighted portfolio returns are calculated and portfolios are rebalanced every day. *, **, *** indicates p < 0.1, p < 0.05, p < 0.01, respectively

[ViewLarge]

Sharing Unavailable