where Newst is the sentiment of the highly relevant newswire items
released during period t, Rect is a dummy variable indicating
whether the economy is in recession (1) or not (0), NewstRect is
an interaction term between news sentiment and recession, Xt is
a vector of control variables including lagged returns and a dummy
variable for the day of the week, and et is the error term. Additional
regression specifications replace the recession dummy variable
with a High Credit Spread dummy that indicates whether credit
spreads are in the top quintile (1) or not (0)