Table 3 Comparison of 10 trading day log returns with and without news events
From: Prediction of ESG compliance using a heterogeneous information network
Group | No. of samples | 0.01 | 0.05 | 0.5 | 0.95 | 0.99 | Skewness |
|---|---|---|---|---|---|---|---|
With news | 8685 | − 0.233 | − 0.102 | 0.005 | 0.098 | 0.191 | − 6.521 |
Without news | 1,667,616 | − 0.218 | − 0.109 | 0.005 | 0.110 | 0.207 | 0.165 |