Table 5 Return predictability of the...

Table 5

Return predictability of the SESTM

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
SESTM	0.034***				0.015***
SESTM	(6.317)				(3.363)
HIV4		−0.129***				−0.048
HIV4		(−2.624)				(−1.328)
LM			−0.103***				−0.061**
LM			(−2.649)				(−2.111)
VADER				−0.004				−0.002
VADER				(−1.483)				(−0.923)
US10 return					0.266	0.312	0.342	0.330
US10 return					(1.194)	(1.359)	(1.505)	(1.431)
US30 return					−0.440	−0.487	−0.533*	−0.524*
US30 return					(−1.516)	(−1.626)	(−1.796)	(−1.740)
VIX return					0.042	0.054*	0.065**	0.050*
VIX return					(1.519)	(1.884)	(2.245)	(1.752)
Gold return					0.058	0.042	0.058	0.054
Gold return					(0.570)	(0.398)	(0.557)	(0.505)
S&P500 return					0.129	0.231	0.412	0.263
S&P500 return					(0.256)	(0.445)	(0.793)	(0.505)
NASDAQ return					−0.099	−0.121	−0.217	−0.162
NASDAQ return					(−0.332)	(−0.390)	(−0.711)	(−0.526)
Dollar return					0.366	0.291	0.347	0.312
Dollar return					(1.098)	(0.843)	(1.017)	(0.902)
Gas return					0.036	0.058	0.056	0.054
Gas return					(0.722)	(1.129)	(1.106)	(1.054)
EPU return					0.003	0.004	0.003	0.004
EPU return					(0.784)	(1.057)	(0.950)	(1.096)
PXE ETF return					0.880***	0.950***	0.945***	0.961***
PXE ETF return					(8.769)	(9.382)	(9.472)	(9.529)
PXE ETF volume					−0.001	−0.001	−0.001	−0.001
PXE ETF volume					(−0.453)	(−0.428)	(−0.375)	(−0.508)
Constant	−0.084***	0.070***	0.042***	0.000	−0.035***	0.029	0.027**	0.003
Constant	(−6.057)	(2.654)	(2.674)	(0.099)	(−2.959)	(1.496)	(2.352)	(0.984)
Observations	192	192	192	192	192	192	192	192
Adjusted R²	0.240	0.076	0.076	0.046	0.559	0.528	0.538	0.525
Year-month FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
SESTM	0.034***				0.015***
SESTM	(6.317)				(3.363)
HIV4		−0.129***				−0.048
HIV4		(−2.624)				(−1.328)
LM			−0.103***				−0.061**
LM			(−2.649)				(−2.111)
VADER				−0.004				−0.002
VADER				(−1.483)				(−0.923)
US10 return					0.266	0.312	0.342	0.330
US10 return					(1.194)	(1.359)	(1.505)	(1.431)
US30 return					−0.440	−0.487	−0.533*	−0.524*
US30 return					(−1.516)	(−1.626)	(−1.796)	(−1.740)
VIX return					0.042	0.054*	0.065**	0.050*
VIX return					(1.519)	(1.884)	(2.245)	(1.752)
Gold return					0.058	0.042	0.058	0.054
Gold return					(0.570)	(0.398)	(0.557)	(0.505)
S&P500 return					0.129	0.231	0.412	0.263
S&P500 return					(0.256)	(0.445)	(0.793)	(0.505)
NASDAQ return					−0.099	−0.121	−0.217	−0.162
NASDAQ return					(−0.332)	(−0.390)	(−0.711)	(−0.526)
Dollar return					0.366	0.291	0.347	0.312
Dollar return					(1.098)	(0.843)	(1.017)	(0.902)
Gas return					0.036	0.058	0.056	0.054
Gas return					(0.722)	(1.129)	(1.106)	(1.054)
EPU return					0.003	0.004	0.003	0.004
EPU return					(0.784)	(1.057)	(0.950)	(1.096)
PXE ETF return					0.880***	0.950***	0.945***	0.961***
PXE ETF return					(8.769)	(9.382)	(9.472)	(9.529)
PXE ETF volume					−0.001	−0.001	−0.001	−0.001
PXE ETF volume					(−0.453)	(−0.428)	(−0.375)	(−0.508)
Constant	−0.084***	0.070***	0.042***	0.000	−0.035***	0.029	0.027**	0.003
Constant	(−6.057)	(2.654)	(2.674)	(0.099)	(−2.959)	(1.496)	(2.352)	(0.984)
Observations	192	192	192	192	192	192	192	192
Adjusted R²	0.240	0.076	0.076	0.046	0.559	0.528	0.538	0.525
Year-month FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Note(s): This table presents the OLS regression results of crude oil returns on various sentiment measures. Columns from (1) to (4) provide the regression results for the sentiment scores calculated by the SESTM method, HIV dictionary, LM dictionary, and VADER algorithm, respectively, without control variables. Columns from (5) to (8) present the results after including control variables. Variables are defined in Appendix. All regressions include year-month fixed effects. T-statistics are in parentheses. *, **, and *** denote significance at the 10, 5, and 1% level, respectively

Source(s): Authors’ own work

[ViewLarge]

Sharing Unavailable