Table 7 Association between market... | Emerald Publishing

Table 7

Association between market return and tweet volume

Variable	q.10	q.25	q.50	q.75	q.90
TVT	−0.0005	−0.0001	−0.0003	−0.0003	0.0000
TVT	(0.0007)	(0.0003)	(0.0002)	(0.0003)	(0.0006)
MKT	1.0506^***	1.0511^***	1.0533^***	1.0642^***	1.0451^***
MKT	(0.0250)	(0.0119)	(0.0084)	(0.0121)	(0.0208)
SMB	0.0121	0.0239	−0.0054	−0.0650^*	−0.0596
SMB	(0.0769)	(0.0366)	(0.0259)	(0.0372)	(0.0639)
HML	0.1078^***	0.0732^***	0.0559^***	0.0678^***	0.1071^***
HML	(0.0397)	(0.0189)	(0.0134)	(0.0192)	(0.0330)
WML	0.0362	0.0094	0.0202^*	−0.0017	−0.0330
WML	(0.0359)	(0.0171)	(0.0121)	(0.0174)	(0.0299)
IML	−0.0947	−0.1050^***	−0.1021^***	−0.0635^*	−0.1071^*
IML	(0.0737)	(0.0351)	(0.0248)	(0.0357)	(0.0613)
Constant	0.0012	−0.0003	0.0025	0.0034	0.0030
Constant	(0.0045)	(0.0022)	(0.0015)	(0.0022)	(0.0038)
No. of Obs	491	491	491	491	491
Pseudo R²	0.8416	0.8481	0.8529	0.8497	0.8448

Variable	q.10	q.25	q.50	q.75	q.90
TVT	−0.0005	−0.0001	−0.0003	−0.0003	0.0000
TVT	(0.0007)	(0.0003)	(0.0002)	(0.0003)	(0.0006)
MKT	1.0506^***	1.0511^***	1.0533^***	1.0642^***	1.0451^***
MKT	(0.0250)	(0.0119)	(0.0084)	(0.0121)	(0.0208)
SMB	0.0121	0.0239	−0.0054	−0.0650^*	−0.0596
SMB	(0.0769)	(0.0366)	(0.0259)	(0.0372)	(0.0639)
HML	0.1078^***	0.0732^***	0.0559^***	0.0678^***	0.1071^***
HML	(0.0397)	(0.0189)	(0.0134)	(0.0192)	(0.0330)
WML	0.0362	0.0094	0.0202^*	−0.0017	−0.0330
WML	(0.0359)	(0.0171)	(0.0121)	(0.0174)	(0.0299)
IML	−0.0947	−0.1050^***	−0.1021^***	−0.0635^*	−0.1071^*
IML	(0.0737)	(0.0351)	(0.0248)	(0.0357)	(0.0613)
Constant	0.0012	−0.0003	0.0025	0.0034	0.0030
Constant	(0.0045)	(0.0022)	(0.0015)	(0.0022)	(0.0038)
No. of Obs	491	491	491	491	491
Pseudo R²	0.8416	0.8481	0.8529	0.8497	0.8448

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