Table 8 GMM estimation
\(Trades_{i,t}\) | \(Turnover_{i,t}\) | |||
|---|---|---|---|---|
(1) | (2) | (3) | (4) | |
\(Leader\ comment_{i,t-1}\) | 0.0313\(^{**}\) | 0.0599\(^{**}\) | ||
(2.27) | (2.23) | |||
\(Leader\ count_{i,t-1}\) | 0.0224\(^{**}\) | 0.0340\(^{**}\) | ||
(2.26) | (2.33) | |||
\(Leader\ positive_{i,t-1}\) | − 1.1626 | − 1.3631 | ||
(− 1.09) | (− 0.95) | |||
\(Leader\ negative_{i,t-1}\) | − 0.4159 | 1.1988 | ||
(− 0.51) | (0.97) | |||
\(Return_{i,t-1}\) | 3.4177\(^{***}\) | 1.0144\(^{***}\) | 5.5847\(^{***}\) | 0.9183\(^{***}\) |
(3.17) | (9.26) | (2.88) | (5.29) | |
\(Return\ SD_{i,t-1}\) | 2.2353\(^{***}\) | 1.8947\(^{**}\) | 3.5000\(^{*}\) | 2.1011 |
(2.72) | (1.98) | (1.72) | (1.20) | |
\(No.securities_{i,t-1}\) | 0.0160\(^{**}\) | 0.0067 | 0.0085 | -0.0321\(^{*}\) |
(2.33) | (0.66) | (0.91) | (− 1.83) | |
\(No.followers_{i,t-1}\) | 0.0334 | 0.0583\(^{**}\) | 0.0415 | 0.0914\(^{**}\) |
(1.44) | (2.10) | (1.22) | (2.57) | |
\(Portfolio\ ae_{i,t-1}\) | − 0.0204\(^{***}\) | −0.0172\(^{***}\) | − 0.0228\(^{***}\) | − 0.0169\(^{*}\) |
(− 4.09) | (− 2.63) | (− 3.03) | (− 1.76) | |
\(No.leaders_{i,t-1}\) | 0.0096 | 0.0087 | 0.0016 | − 0.0276 |
(0.81) | (0.50) | (0.09) | (− 1.49) | |
\(Leader\ return_{i,t-1}\) | 0.3781 | 0.0660 | 5.0060\(^{**}\) | 0.9162 |
(0.56) | (0.05) | (2.04) | (0.49) | |
\(Leader\ SD_{i,t-1}\) | 0.4273 | 1.9271 | 1.6339 | 3.7328\(^{*}\) |
(0.63) | (1.57) | (1.01) | (1.82) | |
\(Leader\ trades_{i,t-1}\) | 0.0003 | − 0.0019 | − 0.0194 | 0.0117 |
(0.02) | (− 0.08) | (− 0.95) | (0.33) | |
\(Leader\ followers_{i,t-1}\) | 0.0069 | 0.0029 | − 0.0071 | -0.0191\(^{*}\) |
(1.55) | (0.37) | (− 1.01) | (− 1.77) | |
\(Leader\ securities_{i,t-1}\) | 0.0010 | 0.0048 | − 0.0051 | − 0.0004 |
(0.16) | (0.40) | (− 0.49) | (− 0.02) | |
\(Leader\ age_{i,t-1}\) | − 0.0088 | − 0.0179 | − 0.0061 | − 0.0034 |
(− 1.54) | − 1.59) | (− 0.69) | (− 0.22) | |
\(Y_{i,t-1}\) | 0.5808\(^{***}\) | 0.7511\(^{***}\) | 0.7862\(^{***}\) | 0.6949\(^{***}\) |
(4.66) | (11.96) | (3.86) | (7.07) | |
\(Y_{i,t-2}\) | 0.3931\(^{**}\) | 0.0811 | 0.0144 | 0.1073 |
(2.37) | (0.57) | (0.06) | (1.42) | |
\(Y_{i,t-3}\) | − 0.1188 | 0.0137 | 0.0378 | 0.0557 |
(− 1.39) | (0.15) | (0.46) | (0.98) | |
\(Y_{i,t-4}\) | 0.0064 | -0.0039 | 0.0036 | − 0.0427 |
(0.62) | (− 0.32) | (0.19) | (− 0.43) | |
\(Y_{i,t-5}\) | -0.0091\(^{*}\) | − 0.0089 | 0.0072 | 0.0077 |
(− 1.67) | (− 1.25) | (0.74) | (0.30) | |
Portfolio fixed effects | Yes | Yes | Yes | Yes |
Time fixed effects | Yes | Yes | Yes | Yes |
Observations | 243,880 | 140,419 | 243,880 | 140,419 |
AR(1) test (p value) | 0.002 | 0.000 | 0.005 | 0.000 |
AR(2) test (p value) | 0.170 | 0.620 | 0.581 | 0.447 |
Hansen test of over-identification (p value) | 0.250 | 0.536 | 0.286 | 0.367 |
Diff-in-Hansen test of exogeneity (p value) | 0.553 | 0.225 | 0.224 | 0.575 |