Table 7 Return predictability of the...

Table 7

Return predictability of the SESTEM using randomly trained data

	(1)	(2)
SESTM	0.034***	0.084***
SESTM	(16.249)	(3.758)
US10 return		−0.047
US10 return		(−0.247)
US30 return		0.226
US30 return		(1.042)
VIX return		−0.019
VIX return		(−0.355)
Gold return		1.592*
Gold return		(2.537)
S&P500 return		−0.130
S&P500 return		(−0.211)
NASDAQ return		−0.153
NASDAQ return		(−0.327)
Dollar return		−0.502
Dollar return		(−1.305)
Gas return		−0.015
Gas return		(−0.387)
EPU return		0.641
EPU return		(0.998)
PXE return		−0.019
PXE return		(−0.030)
PXE volume		0.000
PXE volume		(0.911)
Constant	−0.016***	−0.123
Constant	(−2.714)	(−1.430)
Observations	192	192
Adjusted R²	0.028	0.558
Year-month FE	Yes	Yes

	(1)	(2)
SESTM	0.034***	0.084***
SESTM	(16.249)	(3.758)
US10 return		−0.047
US10 return		(−0.247)
US30 return		0.226
US30 return		(1.042)
VIX return		−0.019
VIX return		(−0.355)
Gold return		1.592*
Gold return		(2.537)
S&P500 return		−0.130
S&P500 return		(−0.211)
NASDAQ return		−0.153
NASDAQ return		(−0.327)
Dollar return		−0.502
Dollar return		(−1.305)
Gas return		−0.015
Gas return		(−0.387)
EPU return		0.641
EPU return		(0.998)
PXE return		−0.019
PXE return		(−0.030)
PXE volume		0.000
PXE volume		(0.911)
Constant	−0.016***	−0.123
Constant	(−2.714)	(−1.430)
Observations	192	192
Adjusted R²	0.028	0.558
Year-month FE	Yes	Yes

Note(s): This table presents the OLS regression results examining the impact of the SESTM on the crude oil returns using the SESTM scores from randomly selected training data. Column (1) provides the regression result for the sentiment scores calculated by the SESTM method. Column (2) presents the results obtained 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

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