Table 5.

Panel data regression results of sentiment, reverse and region effect.

	Sentiment Effect		Reverse Effect		Region Effect
	FE	FGLS	FE	FGLS	FE	FGLS
SENTi	0.005***	0.004***	0.005***	0.004***	0.005***	0.004***
	(114.55)	(113.85)	(114.79)	(114.07)	(114.79)	(114.07)
MKT	1.010***	1.011***	1.016***	1.017***	1.016***	1.017***
	(187.81)	(187.86)	(187.52)	(187.57)	(187.52)	(187.57)
SMB	0.604***	0.607***	0.625***	0.628***	0.625***	0.628***
	(54.62)	(54.86)	(55.40)	(55.65)	(55.40)	(55.65)
HML	-0.108***	-0.120***	-0.058***	-0.070***	-0.058***	-0.070***
	(-5.09)	(-5.63)	(-2.67)	(-3.18)	(-2.67)	(-3.18)
EW			-0.002***	-0.002***	-0.002***	-0.002***
			(-9.27)	(-9.31)	(-9.27)	(-9.31)
Location
Other Hubei regions					0	-0.000
					(.)	(-0.29)
Wuhan City					0	-0.001
					(.)	(-0.77)
α0	-0.003***	-0.002***	-0.001***	-0.001***	-0.001***	-0.001***
	(-25.43)	(-23.89)	(-4.74)	(-3.92)	(-4.74)	(-3.85)
adj. R-sq	0.477		0.477		0.477
F	17404.1		13956.8		13956.8
N	74455	74455	74455	74455	74455	74455

Notes: Table 5 provides the results from the estimation of the following regression specification.

$R_{i,t}={\alpha }_0+\phi MK{T}_t+\delta SM{B}_t+\eta HM{L}_t+{\gamma }_{1}SEN{T}_{i,t}+{\gamma }_{2}E{W}_t+{\gamma }_3{L}_i+{\epsilon }_{i,t}$

Dependent variable R_i,t represents the return of individual stock i on day t and SENT_i,t represents the sentiment index of individual stock i on day t. EW_t is a dummy variable representing the event window(0: the event window, 1: the post-event window). L_i is the dummy variable representing the region, and the values are 2, 1 and 0, which respectively indicate whether the company is located in Wuhan, other cities in Hubei and other regions in China. First, we run the regression using SENT as the independent variable alone and then gradually add EW and L to test the regional and reversal effects. The adjusted R squares of the three fixed effect models are approximately equal. That is to say, the reverse and regional effect dummy variables have little effect on improving the fitting degree. Accordingly, the coefficients of EW and L are close to zero. T-stats are in parentheses below the coefficient estimates. ***, **, * indicate significance at the 1%, 5%, and 10% levels, respectively.