Table 10 Analyst sophistication (1) (2)...

Table 10

Analyst sophistication

	(1)	(2)	(3)
Variables	CAR [−1, +1]	CAR [−1, +1]	CAR [−1, +1]
LT (%)	−0.00141	0.000362	−0.00328
LT (%)	(−0.31)	(0.08)	(−0.70)
TP∆/P	−0.00217	0.00556	0.00221
TP∆/P	(−0.55)	(1.41)	(0.64)
High Experience	0.0132^***
High Experience	(10.67)
Large Broker		0.00213^*
Large Broker		(1.74)
High Past Accuracy			0.00491^***
High Past Accuracy			(4.26)
LT (%)×TP∆/P	0.0270^*	0.0296^**	0.0447^***
LT (%)×TP∆/P	(1.70)	(2.07)	(3.27)
High Experience × LT (%)	−0.0107^**
High Experience × LT (%)	(−2.38)
High Experience × TP∆/P	0.00774
High Experience × TP∆/P	(1.43)
High Experience × LT (%) × TP∆/P	0.0598^**
High Experience × LT (%) × TP∆/P	(2.30)
Large Broker × LT (%)		−0.0119^***
Large Broker × LT (%)		(−2.76)
Large Broker × TP∆/P		−0.0174^***
Large Broker × TP∆/P		(−3.04)
Large Broker × LT (%) × TP∆/P		0.102^***
Large Broker × LT (%) × TP∆/P		(3.66)
High Past Accuracy × LT (%)			−0.00380
High Past Accuracy × LT (%)			(−0.92)
High Past Accuracy × TP∆/P			−0.0127
High Past Accuracy × TP∆/P			(−1.42)
High Past Accuracy × LT(%) × TP∆/P			0.0753^**
High Past Accuracy × LT(%) × TP∆/P			(2.45)
N	53,988	53,988	46,814
Adj. R²	0.149	0.137	0.137
Firm & Year FEs	Yes	Yes	Yes
Controls	Yes	Yes	Yes

	(1)	(2)	(3)
Variables	CAR [−1, +1]	CAR [−1, +1]	CAR [−1, +1]
LT (%)	−0.00141	0.000362	−0.00328
LT (%)	(−0.31)	(0.08)	(−0.70)
TP∆/P	−0.00217	0.00556	0.00221
TP∆/P	(−0.55)	(1.41)	(0.64)
High Experience	0.0132^***
High Experience	(10.67)
Large Broker		0.00213^*
Large Broker		(1.74)
High Past Accuracy			0.00491^***
High Past Accuracy			(4.26)
LT (%)×TP∆/P	0.0270^*	0.0296^**	0.0447^***
LT (%)×TP∆/P	(1.70)	(2.07)	(3.27)
High Experience × LT (%)	−0.0107^**
High Experience × LT (%)	(−2.38)
High Experience × TP∆/P	0.00774
High Experience × TP∆/P	(1.43)
High Experience × LT (%) × TP∆/P	0.0598^**
High Experience × LT (%) × TP∆/P	(2.30)
Large Broker × LT (%)		−0.0119^***
Large Broker × LT (%)		(−2.76)
Large Broker × TP∆/P		−0.0174^***
Large Broker × TP∆/P		(−3.04)
Large Broker × LT (%) × TP∆/P		0.102^***
Large Broker × LT (%) × TP∆/P		(3.66)
High Past Accuracy × LT (%)			−0.00380
High Past Accuracy × LT (%)			(−0.92)
High Past Accuracy × TP∆/P			−0.0127
High Past Accuracy × TP∆/P			(−1.42)
High Past Accuracy × LT(%) × TP∆/P			0.0753^**
High Past Accuracy × LT(%) × TP∆/P			(2.45)
N	53,988	53,988	46,814
Adj. R²	0.149	0.137	0.137
Firm & Year FEs	Yes	Yes	Yes
Controls	Yes	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) after considering the role of analyst sophistication. 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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