Table 6.

Panel data regression results of sentiment before and after the pandemic.

	[-100, -1]	[0, 45]	[-100, -1]	[0, 45]
	FE	FE	FGLS	FGLS
SENTi,t	0.003***	0.005***	0.002***	0.004***
	(-194)	(-114.55)	(-191.07)	(-113.85)
MKT	1.020***	1.010***	1.023***	1.011***
	(-199.69)	(-187.81)	(-199.81)	(-187.86)
SMB	0.733***	0.604***	0.738***	0.607***
	(-110.44)	(-54.62)	(-110.86)	(-54.86)
HML	-0.102***	-0.108***	-0.0996***	-0.120***
	(-11.94)	(-5.09)	(-11.67)	(-5.63)
α0	-0.001***	-0.002***	-0.001***	-0.002***
	(-35.58)	(-25.43)	(-33.34)	(-23.89)
adj. R-sq	0.272	0.477
F	30474.9	17404.1
N	317901	74455	317901	74455
F	2988.71		754.78
P-value	0.000***		0.000***

Notes: Table 6 provides the results from the estimation of the following regression specification.

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

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. In panel [-100, -1], the sample period is from August 22, 2019 to January 19, 2020. In panel [0, 45], the sample period from is from January 20, 2020 to to March 31, 2020. T-stats are in parentheses below the coefficient estimates. ***, **, * indicate significance at the 1%, 5%, and 10% levels, respectively. The last two rows are the results of the coefficient difference test.