Table 6 Association between market... | Emerald Publishing

Table 6

Association between market return and Twitter sentiment

Variable	q.10	q.25	q.50	q.75	q.90
ISI	0.0173^***	0.0080^***	0.0032	−0.0025	−0.0004
ISI	(0.0057)	(0.0030)	(0.0023)	(0.0033)	(0.0057)
MKT	1.0570^***	1.0493^***	1.0526^**	1.0624^***	1.0451^***
MKT	(0.0213)	(0.0111)	(0.0084)	(0.0123)	(0.0213)
SMB	0.0087	−0.0065	0.0040	−0.0630^*	−0.0633
SMB	(0.0653)	(0.0342)	(0.0258)	(0.0377)	(0.0653)
HML	0.1090^***	0.0681^***	0.0513^***	0.0796^***	0.1065^***
HML	(0.0339)	(0.0178)	(0.0134)	(0.0196)	(0.0339)
WML	0.0253	0.0164	0.0271^**	0.0094	−0.0311
WML	(0.0305)	(0.0160)	(0.0120)	(0.0176)	(0.0305)
IML	−0.0623	−0.0813^**	−0.1089^***	−0.0669^*	−0.1028
IML	(0.0627)	(0.0328)	(0.0248)	(0.0362)	(0.0627)
Constant	−0.0026^***	−0.0009^***	0.0002^*	0.0015^***	0.0028^***
Constant	(0.0003)	(0.0001)	(0.0001)	(0.0002)	(0.0003)
No. of Obs	491	491	491	491	491
Pseudo R²	0.8458	0.8502	0.8531	0.8497	0.8448

Variable	q.10	q.25	q.50	q.75	q.90
ISI	0.0173^***	0.0080^***	0.0032	−0.0025	−0.0004
ISI	(0.0057)	(0.0030)	(0.0023)	(0.0033)	(0.0057)
MKT	1.0570^***	1.0493^***	1.0526^**	1.0624^***	1.0451^***
MKT	(0.0213)	(0.0111)	(0.0084)	(0.0123)	(0.0213)
SMB	0.0087	−0.0065	0.0040	−0.0630^*	−0.0633
SMB	(0.0653)	(0.0342)	(0.0258)	(0.0377)	(0.0653)
HML	0.1090^***	0.0681^***	0.0513^***	0.0796^***	0.1065^***
HML	(0.0339)	(0.0178)	(0.0134)	(0.0196)	(0.0339)
WML	0.0253	0.0164	0.0271^**	0.0094	−0.0311
WML	(0.0305)	(0.0160)	(0.0120)	(0.0176)	(0.0305)
IML	−0.0623	−0.0813^**	−0.1089^***	−0.0669^*	−0.1028
IML	(0.0627)	(0.0328)	(0.0248)	(0.0362)	(0.0627)
Constant	−0.0026^***	−0.0009^***	0.0002^*	0.0015^***	0.0028^***
Constant	(0.0003)	(0.0001)	(0.0001)	(0.0002)	(0.0003)
No. of Obs	491	491	491	491	491
Pseudo R²	0.8458	0.8502	0.8531	0.8497	0.8448

Note(s): *** is significant at 1%, ** at 5% and * at 10%