\(Trades_{i,t}\) | \(Turnover_{i,t}\) | |||
---|---|---|---|---|
(1) | (2) | (3) | (4) | |
\(Y_{i,t-1}\) | 0.4220\(^{***}\) | 0.4688\(^{***}\) | ||
(49.86) | (38.29) | |||
\(Y_{i,t-2}\) | 0.1360\(^{***}\) | 0.1141\(^{***}\) | ||
(25.13) | (12.63) | |||
\(Y_{i,t-3}\) | 0.0571\(^{***}\) | 0.0532\(^{***}\) | ||
(12.16) | (6.36) | |||
\(Y_{i,t-4}\) | 0.0336\(^{***}\) | 0.0356\(^{***}\) | ||
(7.60) | (4.39) | |||
\(Y_{i,t-5}\) | 0.0078\(^{*}\) | 0.0133\(^{*}\) | ||
(1.94) | (1.87) | |||
\(Y_{i,t-6}\) | 0.0047 | 0.1298\(^{***}\) | − 0.0025 | 0.1407\(^{***}\) |
(1.12) | (19.99) | (− 0.38) | (13.16) | |
\(Y_{i,t-7}\) | 0.0023 | 0.0501\(^{***}\) | 0.0055 | 0.0534\(^{***}\) |
(0.66) | (9.96) | (0.72) | (6.45) | |
\(Y_{i,t-8}\) | 0.0031 | 0.0286\(^{***}\) | − 0.0010 | 0.0274\(^{***}\) |
(0.84) | (5.12) | (− 0.16) | (3.11) | |
\(Return_{i,t-1}\) | 0.9580\(^{***}\) | 0.6778\(^{***}\) | 0.9424\(^{***}\) | 0.1983 |
(13.92) | (7.15) | (8.67) | (1.33) | |
\(Return\ SD_{i,t-1}\) | 0.0490 | 0.3879\(^{***}\) | 0.1182 | 0.8011\(^{***}\) |
(0.79) | (2.74) | (1.29) | (3.11) | |
\(No.securities_{i,t-1}\) | 0.1315\(^{***}\) | 0.3720\(^{***}\) | 0.0547\(^{***}\) | 0.2353\(^{***}\) |
(21.58) | (23.62) | (8.75) | (13.45) | |
\(No.followers_{i,t-1}\) | 0.0091 | 0.0460\(^{*}\) | 0.0085 | 0.0493\(^{**}\) |
(0.85) | (1.95) | (0.90) | (2.27) | |
\(Portfolio\ age_{i,t-1}\) | − 0.0245\(^{***}\) | − 0.0542\(^{***}\) | − 0.0148 | − 0.0239 |
(− 2.77) | (− 2.89) | (− 1.35) | (− 0.93) | |
\(No.leaders_{i,t-1}\) | 0.0062 | 0.0417\(^{***}\) | 0.0095 | 0.0388\(^{**}\) |
(0.88) | (2.69) | (1.35) | (2.38) | |
\(Leader\ return_{i,t-1}\) | 0.0758 | 0.1214\(^{*}\) | 0.0422 | 0.2205\(^{**}\) |
(1.47) | (1.68) | (0.52) | (2.11) | |
\(Leader\ SD_{i,t-1}\) | 0.0079 | 0.2596 | − 0.1726 | 0.0997 |
(0.06) | (1.49) | (− 1.20) | (0.40) | |
\(Leader\ trades_{i,t-1}\) | 0.0089\(^{*}\) | 0.0459\(^{***}\) | 0.0030 | 0.0395\(^{***}\) |
(1.81) | (5.12) | (0.44) | (2.87) | |
\(Leader\ Followers_{i,t-1}\) | 0.0055\(^{*}\) | 0.0120\(^{*}\) | 0.0054 | 0.0076 |
(1.95) | (1.89) | (1.57) | (0.92) | |
\(Leader\ securities_{i,t-1}\) | 0.0057 | 0.0110 | 0.0071 | 0.0145 |
(1.18) | (1.05) | (0.99) | (0.91) | |
\(Leader\ age_{i,t-1}\) | − 0.0073\(^{***}\) | − 0.0206\(^{***}\) | − 0.0070\(^{**}\) | − 0.0184\(^{**}\) |
(−2.96) | (−3.65) | (−2.21) | (−2.42) | |
Time fixed effects | Yes | Yes | Yes | Yes |
Observations | 252,586 | 252,586 | 252,586 | 252,586 |
Adjusted R\(^{2}\) | 0.5445 | 0.3596 | 0.5715 | 0.3646 |