Table 12 Performance implications
\(Return_{i,t}\) | ||||
|---|---|---|---|---|
(1) | (2) | (3) | (4) | |
\(Leader\ comment_{i,t-1}\) | − 0.0007\(^{***}\) | − 0.0007\(^{***}\) | ||
(− 2.80) | (− 2.73) | |||
\(Leader\ count_{i,t-1}\) | − 0.00004 | − 0.00003 | ||
(− 0.27) | (− 0.22) | |||
\(Leader\ positive_{i,t-1}\) | − 0.0022 | − 0.0021 | ||
(− 0.58) | (− 0.55) | |||
\(Leader\ negative_{i,t-1}\) | − 0.0030 | − 0.0027 | ||
(− 0.86) | (− 0.77) | |||
\(Trades_{i,t-1}\) | − 0.0023\(^{***}\) | − 0.0021\(^{***}\) | ||
(− 8.78) | (− 7.70) | |||
\(Turnover_{i,t-1}\) | −0.0025\(^{***}\) | −0.0025\(^{***}\) | ||
(− 10.57) | (− 9.35) | |||
\(Return\ SD_{i,t-1}\) | 0.0025 | 0.0044 | − 0.0007 | 0.0010 |
(0.34) | (0.59) | (− 0.07) | (0.10) | |
\(No.securities_{i,t-1}\) | 0.0006 | 0.0003 | 0.0008 | 0.0006 |
(0.75) | (0.45) | (0.97) | (0.72) | |
\(No.followers_{i,t-1}\) | −0.0058\(^{***}\) | − 0.0057\(^{***}\) | − 0.0050\(^{***}\) | − 0.0049\(^{***}\) |
(− 7.02) | (− 7.01) | (− 6.09) | (− 6.12) | |
\(Portfolio\ age_{i,t-1}\) | 0.0004 | 0.0004 | 0.0018\(^{***}\) | 0.0017\(^{***}\) |
(1.19) | (1.21) | (3.30) | (3.20) | |
\(No.leaders_{i,t-1}\) | 0.0001 | 0.0001 | − 0.0002 | − 0.0002 |
(0.27) | (0.18) | (− 0.43) | (− 0.51) | |
\(Leader\ return_{i,t-1}\) | − 0.0034 | − 0.0031 | − 0.0078 | − 0.0074 |
(− 0.58) | (− 0.53) | (− 1.03) | (− 0.97) | |
\(Leader\ SD_{i,t-1}\) | − 0.0070 | − 0.0063 | − 0.0212 | − 0.0209 |
(− 0.56) | (− 0.51) | (− 1.45) | (− 1.43) | |
\(Leader\ trades_{i,t-1}\) | 0.0003 | 0.0003 | 0.0002 | 0.0002 |
(1.07) | (1.10) | (0.63) | (0.66) | |
\(\text{Leader followers}_{i,t-1}\) | − 0.000002 | − 0.00002 | − 0.0001 | − 0.0002 |
(− 0.01) | (− 0.08) | (− 0.56) | (− 0.58) | |
\(Leader\ securities_{i,t-1}\) | − 0.0003 | − 0.0003 | − 0.0004 | − 0.0003 |
(− 1.10) | (− 1.11) | (− 0.93) | (− 0.82) | |
\(Leader\ age_{i,t-1}\) | 0.0001 | 0.0001 | 0.0001 | 0.0001 |
(0.46) | (0.51) | (0.62) | (0.56) | |
Portfolio fixed effects | Yes | Yes | Yes | Yes |
Time fixed effects | Yes | Yes | Yes | Yes |
Observations | 262,457 | 262,457 | 150,447 | 150,447 |
Adjusted \(R^2\) | 0.2043 | 0.2062 | 0.2314 | 0.2332 |