*****************************************************************************************************************************************************************; * Last Update: January 2017 *; * *; * This STATA code reproduces our main results. *; * It was written by my co-author Hoikwang (Hugh) Kim at U South Carolina (http://www.hughhkim.com/) *; *****************************************************************************************************************************************************************; *Housekeeping clear clear matrix set more off *Read data use "MasterSample.dta",clear *summary stats estpost summarize Readability2 comp_PassiveVerb comp_HiddenVerb /// comp_LegalWords comp_Overwriting comp_WordyPhrases /// Readability2_std Readability2_pca FogIndex_Ver2 /// kincaid Discount Alpha_prc_3factor /// expense Payout_ratio trading_vol_relative /// bid_ask_relative PS_liquidity /// Term Un_Cap Leverage_CIQ ConsumerCo /// Inv_price_premium Inv_price_discount /// Div_yield_premium Div_yield_discount /// Shares_retail Underlying_fog Underlying_complex3 /// Underlying_size Underlying_me Underlying_BM /// Underlying_voltl, detail est sto table_summ esttab table_summ using "ResultReporting\Summary_Stat.csv", /// replace cells("mean sd p10 p50 p90 count" ) estpost summarize Trading_scale Bid_ask_spread Underlying_TradingVol /// Underlying_Bid_Ask, detail est sto table_summ_2 esttab table_summ_2, cells("mean sd p10 p50 p90 count" ) estpost correlate Readability2 Readability2_std Readability2_pca /// FogIndex_read kincaid_read, matrix est sto table_corr_readability esttab table_corr_readability using "ResultReporting\Table_Correlation1.csv",/// replace not unstack compress noobs starlevels(* 0.05) cells(b(star fmt(3))) estpost correlate Readability2 Discount Alpha_prc_3factor expense /// Payout_ratio trading_vol_relative bid_ask_relative /// PS_liquidity Term Un_Cap Leverage_CIQ ConsumerCo /// Shares_retail , matrix est sto table_correlate esttab table_correlate using "ResultReporting\Table_Correlation2.csv", /// replace not unstack compress noobs starlevels(* 0.05) cells(b(star fmt(3))) * Main regression analysis use "MasterSample.dta",clear global predetermined "" global exogenous "Alpha_prc_3factor expense Payout_ratio trading_vol_relative bid_ask_relative PS_liquidity Term Un_Cap Leverage_CIQ ConsumerCo Inv_price_premium Inv_price_discount Div_yield_premium Div_yield_discount Log_retail Underlying_fog Underlying_complex3 Underlying_size Underlying_me_bill Underlying_BM Underlying_voltl" quietly xi: xtdpdsys Discount $exogenous , pre(Readability2 $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_1 quietly xi: xtdpdsys Discount $exogenous , pre(Readability2_std $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_2 quietly xi: xtdpdsys Discount $exogenous , pre(Readability2_pca $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_3 quietly xi: xtdpdsys Discount $exogenous , pre(FogIndex_read $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_4 quietly xi: xtdpdsys Discount $exogenous , pre(kincaid_read $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_5 esttab S3_1 S3_2 S3_3 S3_4 S3_5 using "ResultReporting\Readability_Discount_Without_TimeFE.csv", replace /// starlevels(* 0.10 ** 0.05 *** 0.01) cells(b(star fmt(3)) t(par fmt(2))) /// stats(r2 N, fmt(3 0 1) label(R-squared N)) /// order (Readability2 Readability2_std Readability2_pca FogIndex_read flesch_read kincaid_read words_sentence) *2<2> With time fixed effects (Cannot include macro shocks) global predetermined "" global exogenous "Alpha_prc_3factor expense Payout_ratio trading_vol_relative bid_ask_relative Un_Cap Leverage_CIQ Inv_price_premium Inv_price_discount Div_yield_premium Div_yield_discount Log_retail Underlying_fog Underlying_complex3 Underlying_size Underlying_me_bill Underlying_BM Underlying_voltl" quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(Readability2 $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_1 quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(Readability2_std $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_2 quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(Readability2_pca $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_3 quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(FogIndex_read $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_4 quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(flesch_read $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_5 quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(kincaid_read $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_6 quietly xi: xtdpdsys Discount $exogenous i.year_month, pre(words_sentence $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_7 esttab S3_1 S3_2 S3_3 S3_4 S3_5 S3_6 S3_7 using "ResultReporting\Readability_Discount_With_TimeFE.csv", replace /// starlevels(* 0.10 ** 0.05 *** 0.01) cells(b(star fmt(3)) t(par fmt(2))) /// stats(r2 N, fmt(3 0 1) label(R-squared N)) /// indicate("Time FE = _Iyear*" ) /// order ( Readability2 Readability2_std Readability2_pca FogIndex_read flesch_read kincaid_read words_sentence) * Magnitude of the regressor's change by 1 SD. summ Readability1, detail display r(sd)*0.011 summ Readability2, detail display r(sd)*0.009 /*1sd * coeff */ summ Discount, detail display 0.0085+r(p50) pctile pct_discount=Discount, nq(100) *result with abstract words gen Readability2_abstract=Readability2+(-1*AbstractWords_Ver2*10/Sentences_Ver2) global predetermined "" global exogenous "Alpha_prc_3factor expense Payout_ratio trading_vol_relative bid_ask_relative PS_liquidity Term Un_Cap Leverage_CIQ ConsumerCo Inv_price_premium Inv_price_discount Div_yield_premium Div_yield_discount Log_retail Underlying_fog Underlying_complex3 Underlying_size Underlying_me_bill Underlying_BM Underlying_voltl" quietly xi: xtdpdsys Discount $exogenous /*i.year_month*/, pre(Readability2_abstract $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto abst esttab abst using "ResultReporting\Readability_Discount_Without_TimeFE.csv", replace /// starlevels(* 0.10 ** 0.05 *** 0.01) cells(b(star fmt(3)) t(par fmt(2))) /// stats(r2 N, fmt(3 0 1) label(R-squared N)) /// order ( Readability2 words_sentence) *Robustness check - different underlying complexity measure foreach i of numlist 4 5 7 8 9 { /*complex 1 is file size.*/ gen Underlying_read`i' = Underlying_complex`i' /*no sign change*/ global predetermined "" global exogenous "Alpha_prc_3factor expense trading_vol_relative bid_ask_relative Payout_ratio Un_Cap Leverage_CIQ Log_retail Underlying_fog Underlying_size Underlying_read`i' Underlying_me_bill Underlying_BM Underlying_voltl ConsumerCo PS_liquidity Term Inv_price_premium Inv_price_discount Div_yield_premium Div_yield_discount" global exogenous_no_FE "Alpha_prc_3factor expense trading_vol_relative bid_ask_relative Payout_ratio Un_Cap Leverage_CIQ Log_retail Underlying_fog Underlying_size Underlying_read`i' Underlying_me_bill Underlying_BM Underlying_voltl Inv_price_premium Inv_price_discount Div_yield_premium Div_yield_discount" quietly xi: xtdpdsys Discount $exogenous , pre(Readability2 $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_1 quietly xi: xtdpdsys Discount $exogenous_no_FE , pre(Readability2 $predetermined) lag(1) maxldep(2) maxlags(3) vce(r) est sto S3_2 esttab S3_1 S3_2 using "ResultReporting\Readability_Discount_robust`i'_DynPanel.csv", replace /// starlevels(* 0.10 ** 0.05 *** 0.01) cells(b(star fmt(3)) t(par fmt(2))) /// stats(r2 N, fmt(3 0 1) label(R-squared N)) /// order ( Readability1 Readability2 Readability3 Underlying_size Underlying_read`i' Alpha_prc_3factor Underlying_voltl expense) } *****************************************************************************************************************************************************************; * Code for additional tests is available upon requests *; *****************************************************************************************************************************************************************;