Table 11 Leaders’ comments and trading frequency of followers - removal of firm-specific comments

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

0.0266\(^{***}\)

0.0326\(^{**}\)

0.0246\(^{**}\)

0.0575\(^{**}\)

(3.10)

(2.04)

(2.09)

(2.10)

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

0.0159\(^{***}\)

0.0260\(^{**}\)

0.0142\(^{**}\)

0.0317\(^{**}\)

(3.32)

(2.33)

(2.33)

(2.06)

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

− 0.0175

− 0.6226

0.0645

− 1.1496

(− 0.64)

(− 0.94)

(0.60)

(− 1.00)

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

0.0654

− 1.0765

0.0044

− 0.7807

(0.99)

(− 1.13)

(0.05)

(− 0.63)

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

0.5548\(^{***}\)

7.1534\(^{***}\)

0.6501\(^{***}\)

1.0230\(^{***}\)

− 0.0171

5.8654\(^{***}\)

0.0268

0.8019\(^{***}\)

(5.51)

(4.78)

(5.78)

(9.58)

(− 0.10)

(3.04)

(0.14)

(4.79)

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

0.4944\(^{***}\)

2.2742\(^{**}\)

0.3720\(^{**}\)

1.7394

1.0096\(^{***}\)

3.4614\(^{*}\)

0.7770\(^{**}\)

− 0.1833

(2.94)

(2.34)

(2.01)

(1.58)

(3.31)

(1.72)

(2.40)

(− 0.10)

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

0.4212\(^{***}\)

0.0137\(^{*}\)

0.4613\(^{***}\)

−0.0011

0.2750\(^{***}\)

0.0087

0.2853\(^{***}\)

−0.0223

(25.09)

(1.65)

(23.31)

(−0.09)

(13.87)

(0.93)

(12.99)

(− 1.12)

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

0.0735\(^{***}\)

0.0237

0.0680\(^{*}\)

0.0811\(^{***}\)

0.0837\(^{***}\)

0.0428

0.0703\(^{**}\)

0.0689\(^{*}\)

(2.61)

(0.98)

(1.96)

(2.60)

(2.67)

(1.26)

(2.45)

(1.81)

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

−0.0159\(^{***}\)

−0.0217\(^{***}\)

−0.1434\(^{***}\)

−0.0187\(^{***}\)

−0.0221\(^{***}\)

−0.0116\(^{***}\)

−0.1445\(^{***}\)

−0.0201\(^{*}\)

(− 7.17)

(− 3.57)

(− 6.26)

(− 2.61)

(− 2.65)

(− 2.97)

(− 4.84)

(−1.92)

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

0.0712\(^{***}\)

-0.0057

0.1050\(^{***}\)

0.0168

0.0562\(^{***}\)

−0.0002

0.0839\(^{***}\)

0.0364\(^{*}\)

(4.03)

(− 0.46)

(5.00)

(1.08)

(2.98)

(−0.01)

(4.02)

(1.74)

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

0.1654\(^{**}\)

− 1.3151

0.2513\(^{**}\)

0.1281

0.2666\(^{**}\)

4.3481\(^{*}\)

0.3818\(^{**}\)

1.2021

(2.22)

(− 1.27)

(2.08)

(0.11)

(2.47)

(1.77)

(2.31)

(0.81)

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

0.4813\(^{**}\)

2.2616\(^{*}\)

0.5115

2.0306

0.5236\(^{*}\)

1.6182

0.4045

5.3131\(^{**}\)

(2.30)

(1.72)

(1.31)

(1.39)

(1.69)

(1.00)

(0.75)

(2.44)

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

0.0508\(^{***}\)

− 0.0102

0.0507\(^{***}\)

−0.0169

0.0459\(^{***}\)

−0.0172

0.0392\(^{**}\)

−0.0570

(5.21)

(− 0.55)

(4.19)

(−0.65)

(3.06)

(−0.85)

(2.25)

(−1.50)

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

0.0155\(^{**}\)

0.0010

0.0172

0.0067

0.0121

− 0.0074

0.0148

− 0.0137

(2.06)

(0.19)

(1.54)

(0.78)

(1.25)

(− 1.03)

(1.09)

(− 1.17)

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

0.0139

0.0091

0.0224

0.0105

0.0114

− 0.0042

0.0504\(^{**}\)

0.0340\(^{*}\)

(1.14)

(1.07)

(1.35)

(0.79)

(0.61)

(− 0.42)

(2.13)

(1.80)

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

− 0.0274\(^{***}\)

− 0.0121

−0.0384\(^{***}\)

− 0.0186

−0.0237\(^{***}\)

− 0.0065

−0.0447\(^{***}\)

− 0.0098

(− 4.13)

(− 1.55)

(−3.35)

(−1.52)

(− 2.67)

(− 0.73)

(− 3.35)

(− 0.63)

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

0.4840\(^{***}\)

0.7346\(^{***}\)

0.7899\(^{***}\)

0.5833\(^{***}\)

(3.49)

(11.25)

(3.89)

(5.99)

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

0.4169\(^{**}\)

0.0239

0.0143

0.0158

(2.40)

(0.17)

(0.07)

(0.11)

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

− 0.0560

0.0784

0.0365

0.1006

(− 0.55)

(0.87)

(0.45)

(0.74)

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

0.0148

−0.0072

0.0036

0.0791

(1.08)

(−0.57)

(0.19)

(0.68)

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

−0.0131

-0.0083

0.0073

− 0.0070

(− 1.45)

(− 1.15)

(0.75)

(− 0.30)

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

139,586

130,503

262,457

243,880

139,586

130,503

Adjusted \(R^2\)

0.3273

–

0.3389

–

0.3269

–

0.3431

–

AR(1) test (p value)

–

0.002

–

0.000

–

0.004

–

0.000

AR(2) test (p value)

–

0.200

–

0.313

–

0.574

–

0.531

Hansen test of over-identification (p value)

–

0.893

–

0.187

–

0.236

–

0.229

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

–

0.537

–

0.215

–

0.210

–

0.102