Table 10 Leaders’ comments and trading frequency of followers - removal of imitating trades

\(Leader\ comment_{i,t-1}\)

0.0376\(^{***}\)

0.0312\(^{**}\)

0.0426\(^{***}\)

0.0615\(^{**}\)

(4.54)

(2.28)

(3.67)

(2.25)

\(Leader\ count_{i,t-1}\)

0.0194\(^{***}\)

0.0211\(^{**}\)

0.0186\(^{***}\)

0.0318\(^{**}\)

(4.30)

(2.14)

(3.27)

(1.99)

\(Leader\ positive_{i,t-1}\)

− 0.0076

− 1.0604

0.0314

− 1.7731

(− 0.10)

(− 1.07)

(0.28)

(− 1.19)

\(Leader\ negative_{i,t-1}\)

0.0853

−0.0543

0.0572

1.1341

(1.37)

(− 0.07)

(0.66)

(0.82)

\(Return_{i,t-1}\)

0.5488\(^{***}\)

3.0923\(^{***}\)

0.6324\(^{***}\)

0.9563\(^{***}\)

− 0.0142

5.6802\(^{***}\)

0.0765

0.7684\(^{***}\)

(5.48)

(2.82)

(5.83)

(9.13)

(− 0.09)

(2.92)

(0.18)

(3.97)

\(Return\ SD_{i,t-1}\)

0.4923\(^{***}\)

2.1796\(^{**}\)

0.4139\(^{**}\)

2.1503\(^{**}\)

1.0030\(^{***}\)

3.5414\(^{*}\)

0.8775\(^{**}\)

2.0270

(2.95)

(2.54)

(2.08)

(2.37)

(3.31)

(1.73)

(2.47)

(0.96)

\(No.securities_{i,t-1}\)

0.4182\(^{***}\)

0.0153\(^{**}\)

0.4605\(^{***}\)

0.0067

0.2717\(^{***}\)

0.0077

0.2944\(^{***}\)

− 0.0383\(^{**}\)

(25.10)

(2.16)

(23.90)

(0.66)

(13.82)

(0.82)

(13.09)

(− 2.17)

\(No.followers_{i,t-1}\)

0.0687\(^{**}\)

0.0327

0.0618\(^{**}\)

0.0565\(^{**}\)

0.0782\(^{**}\)

0.0356

0.0749\(^{**}\)

0.0797\(^{**}\)

(2.52)

(1.42)

(1.98)

(2.03)

(2.49)

(1.10)

( 2.48)

(2.15)

\(Portfolio\ age_{i,t-1}\)

− 0.0973\(^{***}\)

− 0.0199\(^{***}\)

− 0.1394\(^{***}\)

0.0170\(^{***}\)

− 0.0214\(^{***}\)

− 0.0834\(^{***}\)

− 0.1379\(^{***}\)

− 0.0208\(^{*}\)

(− 7.00)

(− 3.98)

(− 6.38)

(− 2.62)

(− 4.42)

(− 2.85)

(− 4.74)

(− 1.85)

\(No.leaders_{i,t-1}\)

0.0570\(^{***}\)

0.0101

0.0759\(^{***}\)

0.0001

0.0438\(^{**}\)

− 0.0002

0.0595\(^{***}\)

− 0.0183

(3.32)

(0.86)

(3.83)

(0.01)

(2.35)

(− 0.01)

(2.91)

(− 0.85)

\(\text{Leader return}_{i,t-1}\)

0.1656\(^{**}\)

0.4494

0.2279\(^{**}\)

0.6164

0.2740\(^{**}\)

5.1342\(^{**}\)

0.3864\(^{**}\)

0.7146

(2.23)

(0.67)

(2.05)

(0.54)

(2.54)

(2.11)

(2.39)

(0.38)

\(Leader\ SD_{i,t-1}\)

0.4816\(^{**}\)

0.3889

0.5476

1.8236

0.5091\(^{*}\)

1.6131

0.3744

5.1628\(^{**}\)

(2.31)

(0.57)

(1.49)

(1.49)

(1.67)

(0.99)

(0.76)

(2.02)

\(Leader\ trades_{i,t-1}\)

0.0394\(^{***}\)

− 0.0003

0.0399\(^{***}\)

0.0011

0.0341\(^{**}\)

− 0.0223

0.0243

0.0009

(4.16)

(− 0.03)

(3.66)

(0.05)

(2.31)

(− 1.08)

(1.48)

(0.02)

\(Leader\ followers_{i,t-1}\)

0.0158\(^{**}\)

0.0070

0.0123

0.0004

0.0118

− 0.0075

0.0114

− 0.0163

(2.12)

(1.57)

(1.19)

(0.05)

(1.23)

(− 1.05)

(0.86)

(− 1.30)

\(Leader\ securities_{i,t-1}\)

0.0141

0.0009

0.0180

0.0011

0.0121

− 0.0049

0.0380

− 0.0041

(1.16)

(0.14)

(1.11)

(0.10)

(0.64)

(− 0.47)

(1.59)

(− 0.19)

\(Leader\ age_{i,t-1}\)

−0.0271\(^{***}\)

− 0.0084

− 0.0366\(^{***}\)

−0.0146

−0.0228\(^{**}\)

−0.0054

−0.0404\(^{***}\)

− 0.0111

(− 4.13)

(− 1.48)

(−3.40)

(− 1.32)

(− 2.59)

(− 0.60)

(− 2.89)

(− 0.60)

\(Y_{i,t-1}\)

0.5925\(^{***}\)

0.7528\(^{***}\)

0.7454\(^{***}\)

0.6138\(^{***}\)

(4.65)

(12.08)

(3.87)

(5.31)

\(Y_{i,t-2}\)

0.3613\(^{*}\)

0.0565

0.0553

−0.0372

(1.85)

(0.40)

(0.26)

(−0.23)

\(Y_{i,t-3}\)

−0.1001

0.0308

0.0350

0.0679

(−0.89)

(0.33)

(0.43)

(0.52)

\(Y_{i,t-4}\)

0.0089

− 0.0053

0.0039

0.1078

(0.68)

(0.43)

(0.20)

(0.72)

\(Y_{i,t-5}\)

− 0.0116\(^{*}\)

− 0.0088

0.0067

− 0.016

(− 1.29)

(− 1.24)

(0.68)

(−0.06)

Portfolio fixed effects

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Time fixed effects

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Observations

262,457

243,880

150,447

140,419

262,457

243,880

150,447

140,419

Adjusted \(R^2\)

0.3259

–

0.3365

–

0.3267

–

0.3421

–

AR(1) test (p value)

–

0.003

–

0.000

–

0.004

–

0.000

AR(2) test (p value)

–

0.332

–

0.502

–

0.687

–

0.454

Hansen test of over-identification (p value)

–

0.183

–

0.361

–

0.300

–

0.389

Diff-in-Hansen test of exogeneity (p value)

–

0.561

–

0.199

–

0.242

–

0.679