Table 5 Quasi-natural experiments (1)...

Table 5

Quasi-natural experiments

	(1)	(2)
Variables	CAR(−1,+1)	CAR(−1,+1)
Treat	0.00149
Treat	(0.70)
Post	0.000720
Post	(0.45)
LT (%)	0.00204	0.00246
LT (%)	(0.74)	(0.57)
TP∆/P	0.0204^*	0.0337^***
TP∆/P	(1.76)	(5.86)
Treat × Post	0.00688^***
Treat × Post	(7.08)
Treat × LT (%)	−0.00704
Treat × LT (%)	(−1.01)
Treat × TP∆/P	0.0131^**
Treat × TP∆/P	(2.00)
Post × LT (%)	−0.00951^*
Post × LT (%)	(−1.94)
Post × TP∆/P	0.00500
Post × TP∆/P	(1.21)
LT (%) × TP∆/P	0.0580^*	0.0680^***
LT (%) × TP∆/P	(1.92)	(2.68)
Treat × Post × TP∆/P	−0.0409^*
Treat × Post × TP∆/P	(−1.91)
Treat × Post × TP∆/P × LT (%)	0.216^***
Treat × Post × TP∆/P × LT (%)	(3.05)
S&P 500		0.00604^***
S&P 500		(3.42)
S&P 500 × TP∆/P		−0.0198
S&P 500 × TP∆/P		(−1.53)
S&P 500 × LT (%)		−0.0200^***
S&P 500 × LT (%)		(−4.15)
S&P 500 × TP∆/P × LT (%)		0.0930^**
S&P 500 × TP∆/P × LT (%)		(2.19)
N	27,731	53,988
Adj. R²	0.130	0.182
Merger FEs	Yes	No
Firm & Year FEs	No	Yes
Controls	Yes	Yes

	(1)	(2)
Variables	CAR(−1,+1)	CAR(−1,+1)
Treat	0.00149
Treat	(0.70)
Post	0.000720
Post	(0.45)
LT (%)	0.00204	0.00246
LT (%)	(0.74)	(0.57)
TP∆/P	0.0204^*	0.0337^***
TP∆/P	(1.76)	(5.86)
Treat × Post	0.00688^***
Treat × Post	(7.08)
Treat × LT (%)	−0.00704
Treat × LT (%)	(−1.01)
Treat × TP∆/P	0.0131^**
Treat × TP∆/P	(2.00)
Post × LT (%)	−0.00951^*
Post × LT (%)	(−1.94)
Post × TP∆/P	0.00500
Post × TP∆/P	(1.21)
LT (%) × TP∆/P	0.0580^*	0.0680^***
LT (%) × TP∆/P	(1.92)	(2.68)
Treat × Post × TP∆/P	−0.0409^*
Treat × Post × TP∆/P	(−1.91)
Treat × Post × TP∆/P × LT (%)	0.216^***
Treat × Post × TP∆/P × LT (%)	(3.05)
S&P 500		0.00604^***
S&P 500		(3.42)
S&P 500 × TP∆/P		−0.0198
S&P 500 × TP∆/P		(−1.53)
S&P 500 × LT (%)		−0.0200^***
S&P 500 × LT (%)		(−4.15)
S&P 500 × TP∆/P × LT (%)		0.0930^**
S&P 500 × TP∆/P × LT (%)		(2.19)
N	27,731	53,988
Adj. R²	0.130	0.182
Merger FEs	Yes	No
Firm & Year FEs	No	Yes
Controls	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), using the merger of two financial institutions (Column (1)) and the membership changes in the S&P 500 index (Column (2)) as part of our quasi-natural experiments. 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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