因变量：对数收益率 $l{r}_{i,t}$

模型

固定效应模型–组内估计量

随机效应模型-MLE法

$CPC{N}_t$

−0.005

(0.006)

−0.006

(0.006)

$BaiduInde{x}_t$

−2.78e−07

(6.80e−07)

−2.98e−07

(6.75e−07)

$BaiduInde{x}_{t-1}$

2.01e−06^**

(8.45e−07)

2.06e−06^**

(8.52e−07)

$BaiduInde{x}_{t-2}$

−2.17e−06

(1.31e−06)

−2.16e−06^*

(1.30e−06)

$BaiduInde{x}_{t-3}$

9.56e−07

(1.01e−06)

8.92e−07

(9.79e−07)

$lvolum{e}_{i,t}$

−0.067

(0.045)

−0.067

(0.045)

$lvolum{e}_{i,t-1}$

0.041

(0.028)

0.041

(0.028)

$lvolum{e}_{i,t-2}$

0.017

(0.010)

0.017

(0.010)

$lvolum{e}_{i,t-3}$

0.005

(0.011)

0.005

(0.011)

$lturnove{r}_{i,t}$

0.063

(0.043)

0.064

(0.043)

$lturnove{r}_{i,t-1}$

−0.037

(0.028)

−0.037

(0.028)

$lturnove{r}_{i,t-2}$

−0.017

(0.010)

−0.017

(0.010)

$lturnove{r}_{i,t-3}$

−0.005

(0.010)

−0.005

(0.010)

截距项

−0.021

(0.013)

−0.020^**

(0.008)

数据量

1706

1706

组数

11

11