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Table 16 Regression with Sentiment Index Controlled

From: Timing the market: the economic value of price extremes

PML t F SI t SI t+1 PML t F ASI t ASI t+1
0.136***      
0.162*** -0.018   0.163*** -0.012  
0.151*** 1.225*** -1.256*** 0.164** 0.661*** -0.688***
  1. Note;The sentiment index is available from the homepage of Guofu Zhou: http://apps.olin.wustl.edu/faculty/zhou/. Only monthly sentiment index data is only available for the sample period from July 1965 to December 2014. Our benchmark model is PMGFt+1=CPMLFt + εt+1, where P MGFt+1 and P MLFt are filtered observations. Regression with sentiment index controlled is presented as follows,
  2. P MGFt+1 = C + αP MLFt + β1ISt + β2ISt + 1 + εt + 1;
  3. where ISt=SIt or ASIt. SIt and ASIt represent respectively the sentiment index of Baker and Wurgler (2006) and the aligned sentiment index of Huang et al. (2015). The constant C is not reported in the table for space-saving. ***, **, * mean respectively significance at the level of 1%, 5% and 10%