Table 3 Baseline results (1) (2)...

Table 3

Baseline results

	(1)	(2)
Variables	CAR(−1,+1)	CAR(−1,+1)
LT (%)	−0.00197	−0.00154
LT (%)	(−0.44)	(−0.35)
TP∆/P	0.0266^***	0.0141^***
TP∆/P	(11.69)	(3.83)
LT (%)× TP∆/P		0.0713^***
LT (%)× TP∆/P		(4.26)
Size	−0.00756^***	−0.00777^***
Size	(−8.15)	(−8.32)
Broker Size	−0.000224	−0.000213
Broker Size	(−1.00)	(−0.95)
B/M	−0.00111	−0.000953
B/M	(−1.58)	(−1.37)
Experience	0.000000909	7.77e−08
Experience	(0.15)	(0.01)
IO	0.00358	0.00317
IO	(1.18)	(1.04)
Ext Fin	−0.00890^*	−0.00925^*
Ext Fin	(−1.88)	(−1.96)
Coverage	−0.000676	−0.000588
Coverage	(−0.83)	(−0.73)
Dispersion	0.0155^***	0.0141^**
Dispersion	(2.61)	(2.37)
Leverage	0.000775	0.000844
Leverage	(0.18)	(0.20)
∆VIX	−0.0736^***	−0.0733^***
∆VIX	(−37.13)	(−36.94)
EPS Frsct	−0.00286^***	−0.00280^***
EPS Frsct	(−5.35)	(−5.23)
Recession	−0.00747^***	−0.00828^***
Recession	(−3.59)	(−3.97)
SIR	−0.0280^***	−0.0271^***
SIR	(−2.93)	(−2.84)
Momentum	−0.00358^***	−0.00395^***
Momentum	(−3.18)	(−3.50)
Constant	0.0557^***	0.0576^***
Constant	(6.88)	(7.09)
N	53,988	53,988
Adj. R²	0.139	0.141
Firm & Year FEs	Yes	Yes

	(1)	(2)
Variables	CAR(−1,+1)	CAR(−1,+1)
LT (%)	−0.00197	−0.00154
LT (%)	(−0.44)	(−0.35)
TP∆/P	0.0266^***	0.0141^***
TP∆/P	(11.69)	(3.83)
LT (%)× TP∆/P		0.0713^***
LT (%)× TP∆/P		(4.26)
Size	−0.00756^***	−0.00777^***
Size	(−8.15)	(−8.32)
Broker Size	−0.000224	−0.000213
Broker Size	(−1.00)	(−0.95)
B/M	−0.00111	−0.000953
B/M	(−1.58)	(−1.37)
Experience	0.000000909	7.77e−08
Experience	(0.15)	(0.01)
IO	0.00358	0.00317
IO	(1.18)	(1.04)
Ext Fin	−0.00890^*	−0.00925^*
Ext Fin	(−1.88)	(−1.96)
Coverage	−0.000676	−0.000588
Coverage	(−0.83)	(−0.73)
Dispersion	0.0155^***	0.0141^**
Dispersion	(2.61)	(2.37)
Leverage	0.000775	0.000844
Leverage	(0.18)	(0.20)
∆VIX	−0.0736^***	−0.0733^***
∆VIX	(−37.13)	(−36.94)
EPS Frsct	−0.00286^***	−0.00280^***
EPS Frsct	(−5.35)	(−5.23)
Recession	−0.00747^***	−0.00828^***
Recession	(−3.59)	(−3.97)
SIR	−0.0280^***	−0.0271^***
SIR	(−2.93)	(−2.84)
Momentum	−0.00358^***	−0.00395^***
Momentum	(−3.18)	(−3.50)
Constant	0.0557^***	0.0576^***
Constant	(6.88)	(7.09)
N	53,988	53,988
Adj. R²	0.139	0.141
Firm & Year FEs	Yes	Yes

Note(s): This table estimates the effect of long-term institutional shareholdings (LT (%)) on the stock market response (CARs) to target price revisions (TP∆/P). All the variables are defined in table A1 in Appendix. The t-statistics are reported in parentheses. Standard errors are clustered at the firm level. *, ** and *** denote statistical significance for the coefficients at 10%, 5% and 1% respectively

Source(s): Authors’ own work

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