Table 11 Information environment Panel...

Table 11

Information environment

Panel A: Idiosyncratic volatility
	High idiosyncratic volatility	Low idiosyncratic volatility	Difference Chi-square [p-value]
Variables	CAR (−1, +1)	CAR (−1, +1)
LT (%)	−0.0188	−0.00187	0.07
LT (%)	(−1.54)	(−0.35)	(0.78)
TP∆/P	0.0133^***	0.0333^***	7.14^***
TP∆/P	(2.85)	(6.19)	(0.00)
LT (%) × TP∆/P	0.0636^**	−0.000921	5.65^**
LT (%) × TP∆/P	(2.49)	(−0.05)	(0.02)
N	18,132	17,821
Adj. R²	0.126	0.152
Firm & Year FEs	Yes	Yes
Controls	Yes	Yes

Panel A: Idiosyncratic volatility
	High idiosyncratic volatility	Low idiosyncratic volatility	Difference Chi-square [p-value]
Variables	CAR (−1, +1)	CAR (−1, +1)
LT (%)	−0.0188	−0.00187	0.07
LT (%)	(−1.54)	(−0.35)	(0.78)
TP∆/P	0.0133^***	0.0333^***	7.14^***
TP∆/P	(2.85)	(6.19)	(0.00)
LT (%) × TP∆/P	0.0636^**	−0.000921	5.65^**
LT (%) × TP∆/P	(2.49)	(−0.05)	(0.02)
N	18,132	17,821
Adj. R²	0.126	0.152
Firm & Year FEs	Yes	Yes
Controls	Yes	Yes

Panel B: PIN
	High PIN	Low PIN	Difference Chi-square [p-value]
Variables	CAR(−1,+1)	CAR(−1,+1)	Difference Chi-square [p-value]
LT (%)	−0.00691	−0.00566	0.02
LT (%)	(−0.75)	(−0.53)	(0.89)
TP∆/P	−0.00417	0.0139	2.71
TP∆/P	(−0.48)	(1.13)	(0.10)
LT (%) × TP∆/P	0.122^***	0.0211	3.89^**
LT (%) × TP∆/P	(2.89)	(0.59)	(0.048)
N	11,440	11,219
Adj. R²	0.093	0.141
Firm & Year FEs	Yes	Yes
Controls	Yes	Yes

Panel B: PIN
	High PIN	Low PIN	Difference Chi-square [p-value]
Variables	CAR(−1,+1)	CAR(−1,+1)	Difference Chi-square [p-value]
LT (%)	−0.00691	−0.00566	0.02
LT (%)	(−0.75)	(−0.53)	(0.89)
TP∆/P	−0.00417	0.0139	2.71
TP∆/P	(−0.48)	(1.13)	(0.10)
LT (%) × TP∆/P	0.122^***	0.0211	3.89^**
LT (%) × TP∆/P	(2.89)	(0.59)	(0.048)
N	11,440	11,219
Adj. R²	0.093	0.141
Firm & Year FEs	Yes	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), after accounting for the information environment of firms. Panel A provides the results for the idiosyncratic volatility, and Panel B presents the results for the generalized probability of informed trading (PIN). 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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