[text] results_stata

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  1. . import delimited "C:\Users\Hongsheng Zhang\Desktop\PURE.csv"
  2. (9 vars, 2,908 obs)
  3.  
  4. . sum
  5.  
  6.     Variable |        Obs        Mean    Std. Dev.       Min        Max
  7. -------------+---------------------------------------------------------
  8.      quarter |          0
  9.        gvkey |      2,908    37771.91    55004.45       1045     260774
  10.  public_date |          0
  11.          gpm |      2,908    .1487406    4.405515  -2.054567        237
  12.          roa |      2,908   -.0073458    1.311031  -62.15834   6.337325
  13. -------------+---------------------------------------------------------
  14.          roe |      2,908    .3348569    8.648334        -38   388.7582
  15.      debt_at |      2,908    .0666452    .4284866         -1   19.77932
  16.     d_return |      2,908   -.0011353    .0536763  -.5053738    .368123
  17.    sentiment |      2,908    .2921117    .1956656  -.5181818   .9183673
  18.  
  19. . 
  20.  
  21. . reg d_return sentiment 
  22.  
  23.       Source |       SS           df       MS      Number of obs   =     2,908
  24. -------------+----------------------------------   F(1, 2906)      =      5.87
  25.        Model |  .016879408         1  .016879408   Prob > F        =    0.0155
  26.     Residual |  8.35862492     2,906  .002876333   R-squared       =    0.0020
  27. -------------+----------------------------------   Adj R-squared   =    0.0017
  28.        Total |  8.37550432     2,907   .00288115   Root MSE        =    .05363
  29.  
  30. ------------------------------------------------------------------------------
  31.     d_return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
  32. -------------+----------------------------------------------------------------
  33.    sentiment |   .0123152   .0050837     2.42   0.015     .0023471    .0222833
  34.        _cons |  -.0047327   .0017873    -2.65   0.008    -.0082372   -.0012283
  35. ------------------------------------------------------------------------------
  36.  
  37. . 
  38.  
  39. . estimates store model1
  40.  
  41. . 
  42.  
  43. . reg d_return sentiment gpm 
  44.  
  45.       Source |       SS           df       MS      Number of obs   =     2,908
  46. -------------+----------------------------------   F(2, 2905)      =      2.93
  47.        Model |  .016879451         2  .008439726   Prob > F        =    0.0534
  48.     Residual |  8.35862487     2,905  .002877324   R-squared       =    0.0020
  49. -------------+----------------------------------   Adj R-squared   =    0.0013
  50.        Total |  8.37550432     2,907   .00288115   Root MSE        =    .05364
  51.  
  52. ------------------------------------------------------------------------------
  53.     d_return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
  54. -------------+----------------------------------------------------------------
  55.    sentiment |   .0123153   .0050847     2.42   0.015     .0023454    .0222852
  56.          gpm |   8.77e-07   .0002258     0.00   0.997    -.0004419    .0004437
  57.        _cons |  -.0047329    .001788    -2.65   0.008    -.0082389   -.0012269
  58. ------------------------------------------------------------------------------
  59.  
  60. . 
  61.  
  62. . estimates store model2
  63.  
  64. . 
  65.  
  66. . reg d_return sentiment gpm roe 
  67.  
  68.       Source |       SS           df       MS      Number of obs   =     2,908
  69. -------------+----------------------------------   F(3, 2904)      =      2.53
  70.        Model |  .021824297         3  .007274766   Prob > F        =    0.0556
  71.     Residual |  8.35368003     2,904  .002876612   R-squared       =    0.0026
  72. -------------+----------------------------------   Adj R-squared   =    0.0016
  73.        Total |  8.37550432     2,907   .00288115   Root MSE        =    .05363
  74.  
  75. ------------------------------------------------------------------------------
  76.     d_return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
  77. -------------+----------------------------------------------------------------
  78.    sentiment |   .0123256    .005084     2.42   0.015     .0023569    .0222942
  79.          gpm |   8.16e-07   .0002258     0.00   0.997    -.0004419    .0004436
  80.          roe |  -.0001508    .000115    -1.31   0.190    -.0003763    .0000747
  81.        _cons |  -.0046854   .0017882    -2.62   0.009    -.0081916   -.0011792
  82. ------------------------------------------------------------------------------
  83.  
  84. . 
  85.  
  86. . estimates store model3
  87.  
  88. . 
  89.  
  90. . reg d_return sentiment gpm roe debt_at 
  91.  
  92.       Source |       SS           df       MS      Number of obs   =     2,908
  93. -------------+----------------------------------   F(4, 2903)      =      2.14
  94.        Model |  .024581695         4  .006145424   Prob > F        =    0.0738
  95.     Residual |  8.35092263     2,903  .002876653   R-squared       =    0.0029
  96. -------------+----------------------------------   Adj R-squared   =    0.0016
  97.        Total |  8.37550432     2,907   .00288115   Root MSE        =    .05363
  98.  
  99. ------------------------------------------------------------------------------
  100.     d_return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
  101. -------------+----------------------------------------------------------------
  102.    sentiment |   .0124861   .0050867     2.45   0.014     .0025122    .0224601
  103.          gpm |  -7.50e-06    .000226    -0.03   0.974    -.0004506    .0004356
  104.          roe |  -.0001518    .000115    -1.32   0.187    -.0003774    .0000737
  105.      debt_at |  -.0022758   .0023245    -0.98   0.328    -.0068337    .0022821
  106.        _cons |  -.0045791   .0017915    -2.56   0.011    -.0080918   -.0010663
  107. ------------------------------------------------------------------------------
  108.  
  109. . 
  110.  
  111. . estimates store model4
  112.  
  113. . 
  114.  
  115. . reg d_return sentiment gpm roe debt_at roa
  116.  
  117.       Source |       SS           df       MS      Number of obs   =     2,908
  118. -------------+----------------------------------   F(5, 2902)      =      1.73
  119.        Model |   .02489526         5  .004979052   Prob > F        =    0.1242
  120.     Residual |  8.35060906     2,902  .002877536   R-squared       =    0.0030
  121. -------------+----------------------------------   Adj R-squared   =    0.0013
  122.        Total |  8.37550432     2,907   .00288115   Root MSE        =    .05364
  123.  
  124. ------------------------------------------------------------------------------
  125.     d_return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
  126. -------------+----------------------------------------------------------------
  127.    sentiment |   .0125288   .0050891     2.46   0.014     .0025502    .0225075
  128.          gpm |  -.0000431   .0002504    -0.17   0.863     -.000534    .0004479
  129.          roe |  -.0001516    .000115    -1.32   0.188    -.0003772    .0000739
  130.      debt_at |    -.00227    .002325    -0.98   0.329    -.0068287    .0022888
  131.          roa |  -.0002777   .0008413    -0.33   0.741    -.0019272    .0013718
  132.        _cons |  -.0045887    .001792    -2.56   0.010    -.0081025    -.001075
  133. ------------------------------------------------------------------------------
  134.  
  135. . 
  136.  
  137. . estimates store model5
  138.  
  139. . 
  140.  
  141. . esttab model1 model2 model3 model4 model5, starlevels(* 0.1 ** 0.05 *** 0.01) stats(N r2_a)
  142.  
  143. --------------------------------------------------------------------------------------------
  144.                       (1)             (2)             (3)             (4)             (5)   
  145.                  d_return        d_return        d_return        d_return        d_return   
  146. --------------------------------------------------------------------------------------------
  147. sentiment          0.0123**        0.0123**        0.0123**        0.0125**        0.0125** 
  148.                    (2.42)          (2.42)          (2.42)          (2.45)          (2.46)   
  149.  
  150. gpm                           0.000000877     0.000000816     -0.00000750      -0.0000431   
  151.                                    (0.00)          (0.00)         (-0.03)         (-0.17)   
  152.  
  153. roe                                             -0.000151       -0.000152       -0.000152   
  154.                                                   (-1.31)         (-1.32)         (-1.32)   
  155.  
  156. debt_at                                                          -0.00228        -0.00227   
  157.                                                                   (-0.98)         (-0.98)   
  158.  
  159. roa                                                                             -0.000278   
  160.                                                                                   (-0.33)   
  161.  
  162. _cons            -0.00473***     -0.00473***     -0.00469***     -0.00458**      -0.00459** 
  163.                   (-2.65)         (-2.65)         (-2.62)         (-2.56)         (-2.56)   
  164. --------------------------------------------------------------------------------------------
  165. N                    2908            2908            2908            2908            2908   
  166. r2_a              0.00167         0.00133         0.00158         0.00156         0.00125   
  167. --------------------------------------------------------------------------------------------
  168. t statistics in parentheses
  169. * p<0.1, ** p<0.05, *** p<0.01
  170.  
  171. . 
  172.  

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