Table 6 Return predictability of the...

Table 6

Return predictability of the SESTM controlling for other sentiment scores

	(1)	(2)	(3)	(4)	(5)	(6)	(7)
SESTM	0.089***	0.087***	0.083***	0.087***	0.082***	0.085***	0.082***
SESTM	(3.957)	(3.802)	(3.589)	(3.802)	(3.663)	(3.681)	(3.594)
VADER	−0.008			−0.012	−0.020**		−0.021**
VADER	(−1.415)			(−1.362)	(−2.340)		(−2.054)
HIV		−0.016		0.020		−0.033	0.005
HIV		(−0.674)		(0.572)		(−1.080)	(0.154)
LM			0.003		0.036*	0.016	0.035*
LM			(0.225)		(1.861)	(0.874)	(1.763)
US10 return	−0.076	−0.069	−0.044	−0.061	−0.078	−0.078	−0.074
US10 return	(−0.398)	(−0.357)	(−0.229)	(−0.315)	(−0.420)	(−0.401)	(−0.391)
US30 return	0.249	0.241	0.223	0.241	0.239	0.239	0.237
US30 return	(1.150)	(1.100)	(1.018)	(1.105)	(1.123)	(1.091)	(1.105)
VIX return	−0.010	−0.011	−0.021	−0.017	−0.028	−0.015	−0.030
VIX return	(−0.193)	(−0.197)	(−0.392)	(−0.305)	(−0.532)	(−0.269)	(−0.547)
Gold return	−0.004*	−0.004	−0.004	0.003	−0.002	−0.004	0.003
Gold return	(−1.764)	(−0.780)	(−0.893)	(0.645)	(−0.463)	(−0.593)	(0.343)
S&P500 return	0.007	−0.128	−0.154	0.069	−0.091	−0.252	−0.073
S&P500 return	(0.012)	(−0.208)	(−0.245)	(0.109)	(−0.149)	(−0.397)	(−0.115)
NASDAQ return	−0.275	−0.156	−0.136	−0.327	−0.245	−0.073	−0.260
NASDAQ return	(−0.582)	(−0.333)	(−0.286)	(−0.677)	(−0.525)	(−0.153)	(−0.542)
Dollar return	−0.597	−0.541	−0.484	−0.591	−0.522	−0.494	−0.522
Dollar return	(−1.537)	(−1.385)	(−1.227)	(−1.515)	(−1.357)	(−1.253)	(−1.348)
Gas return	−0.010	−0.013	−0.016	−0.010	−0.013	−0.015	−0.013
Gas return	(−0.250)	(−0.331)	(−0.405)	(−0.255)	(−0.332)	(−0.384)	(−0.330)
EPU return	0.783	0.699	0.616	0.774	0.686	0.636	0.685
EPU return	(1.212)	(1.075)	(0.940)	(1.193)	(1.075)	(0.972)	(1.068)
PXE return	−0.177	−0.079	0.008	−0.174	−0.069	−0.003	−0.071
PXE return	(−0.273)	(−0.121)	(0.012)	(−0.267)	(−0.108)	(−0.005)	(−0.109)
PXE volume	0.000	0.000	0.000	0.000	0.000	0.000	0.000
PXE volume	(1.286)	(1.081)	(0.794)	(1.153)	(1.035)	(0.977)	(0.992)
Constant	−0.161*	−0.145	−0.115	−0.150	−0.118	−0.128	−0.116
Constant	(−1.792)	(−1.571)	(−1.230)	(−1.635)	(−1.297)	(−1.358)	(−1.254)
Observations	192	192	192	192	192	192	192
Adjusted R²	0.563	0.555	0.552	0.559	0.576	0.553	0.571
Year-month FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes

	(1)	(2)	(3)	(4)	(5)	(6)	(7)
SESTM	0.089***	0.087***	0.083***	0.087***	0.082***	0.085***	0.082***
SESTM	(3.957)	(3.802)	(3.589)	(3.802)	(3.663)	(3.681)	(3.594)
VADER	−0.008			−0.012	−0.020**		−0.021**
VADER	(−1.415)			(−1.362)	(−2.340)		(−2.054)
HIV		−0.016		0.020		−0.033	0.005
HIV		(−0.674)		(0.572)		(−1.080)	(0.154)
LM			0.003		0.036*	0.016	0.035*
LM			(0.225)		(1.861)	(0.874)	(1.763)
US10 return	−0.076	−0.069	−0.044	−0.061	−0.078	−0.078	−0.074
US10 return	(−0.398)	(−0.357)	(−0.229)	(−0.315)	(−0.420)	(−0.401)	(−0.391)
US30 return	0.249	0.241	0.223	0.241	0.239	0.239	0.237
US30 return	(1.150)	(1.100)	(1.018)	(1.105)	(1.123)	(1.091)	(1.105)
VIX return	−0.010	−0.011	−0.021	−0.017	−0.028	−0.015	−0.030
VIX return	(−0.193)	(−0.197)	(−0.392)	(−0.305)	(−0.532)	(−0.269)	(−0.547)
Gold return	−0.004*	−0.004	−0.004	0.003	−0.002	−0.004	0.003
Gold return	(−1.764)	(−0.780)	(−0.893)	(0.645)	(−0.463)	(−0.593)	(0.343)
S&P500 return	0.007	−0.128	−0.154	0.069	−0.091	−0.252	−0.073
S&P500 return	(0.012)	(−0.208)	(−0.245)	(0.109)	(−0.149)	(−0.397)	(−0.115)
NASDAQ return	−0.275	−0.156	−0.136	−0.327	−0.245	−0.073	−0.260
NASDAQ return	(−0.582)	(−0.333)	(−0.286)	(−0.677)	(−0.525)	(−0.153)	(−0.542)
Dollar return	−0.597	−0.541	−0.484	−0.591	−0.522	−0.494	−0.522
Dollar return	(−1.537)	(−1.385)	(−1.227)	(−1.515)	(−1.357)	(−1.253)	(−1.348)
Gas return	−0.010	−0.013	−0.016	−0.010	−0.013	−0.015	−0.013
Gas return	(−0.250)	(−0.331)	(−0.405)	(−0.255)	(−0.332)	(−0.384)	(−0.330)
EPU return	0.783	0.699	0.616	0.774	0.686	0.636	0.685
EPU return	(1.212)	(1.075)	(0.940)	(1.193)	(1.075)	(0.972)	(1.068)
PXE return	−0.177	−0.079	0.008	−0.174	−0.069	−0.003	−0.071
PXE return	(−0.273)	(−0.121)	(0.012)	(−0.267)	(−0.108)	(−0.005)	(−0.109)
PXE volume	0.000	0.000	0.000	0.000	0.000	0.000	0.000
PXE volume	(1.286)	(1.081)	(0.794)	(1.153)	(1.035)	(0.977)	(0.992)
Constant	−0.161*	−0.145	−0.115	−0.150	−0.118	−0.128	−0.116
Constant	(−1.792)	(−1.571)	(−1.230)	(−1.635)	(−1.297)	(−1.358)	(−1.254)
Observations	192	192	192	192	192	192	192
Adjusted R²	0.563	0.555	0.552	0.559	0.576	0.553	0.571
Year-month FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Note(s): This table presents the OLS regression results of crude oil returns on the SESTM by combining other sentiment scores. 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

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