Table 5 Cross-sectional regression...

Table 5

Cross-sectional regression analysis of cumulative abnormal returns: tariff

Variables	Pre-event days			Event days			Post-event days
Variables	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
TARIFF	−0.0007***	−0.0006***	−0.0005***	−0.0004***	−0.0003***	0.00008	0.0001	0.0001	0.0005***
SIZE	0.0033***	0.0030***	0.0036***	0.0014***	0.0001	−0.0016***	−0.0015**	−0.0010	−0.0019
BTM	0.0117***	0.0031	−0.0013	−0.0056	−0.0054	0.0016	0.0049	0.0018	0.0027
ROA	−0.0241	−0.05923	−0.0673**	0.0103	0.0212	0.0273	−0.0060	0.0237	−0.0587
LEV	−0.0002	0.00001	0.00007	9.06e−06	−8.48e−06	0.00005	−0.00005	−0.0001	3.48e−06
IEF	−0.0009**	−0.0005*	−9.40e−06	−0.0001	0.0001	0.00009	0.0003	0.0008***	0.0006*
Constant	0.0558*	0.0253	−0.0168	0.0060	−0.0006	0.0066	−0.0033	−0.0421**	0-.0273
Industry Dummy	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
R Square	0.0492	0.0437	0.0531	0.0316	0.0366	0.0354	0.0263	0.0292	0.0178
Prob > F	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0030	0.0002	0.0610
Number of obs	1,106	1,106	1,106	1,106	1,106	1,106	1,106	1,106	1,106

Variables	Pre-event days			Event days			Post-event days
Variables	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
TARIFF	−0.0007***	−0.0006***	−0.0005***	−0.0004***	−0.0003***	0.00008	0.0001	0.0001	0.0005***
SIZE	0.0033***	0.0030***	0.0036***	0.0014***	0.0001	−0.0016***	−0.0015**	−0.0010	−0.0019
BTM	0.0117***	0.0031	−0.0013	−0.0056	−0.0054	0.0016	0.0049	0.0018	0.0027
ROA	−0.0241	−0.05923	−0.0673**	0.0103	0.0212	0.0273	−0.0060	0.0237	−0.0587
LEV	−0.0002	0.00001	0.00007	9.06e−06	−8.48e−06	0.00005	−0.00005	−0.0001	3.48e−06
IEF	−0.0009**	−0.0005*	−9.40e−06	−0.0001	0.0001	0.00009	0.0003	0.0008***	0.0006*
Constant	0.0558*	0.0253	−0.0168	0.0060	−0.0006	0.0066	−0.0033	−0.0421**	0-.0273
Industry Dummy	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
R Square	0.0492	0.0437	0.0531	0.0316	0.0366	0.0354	0.0263	0.0292	0.0178
Prob > F	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0030	0.0002	0.0610
Number of obs	1,106	1,106	1,106	1,106	1,106	1,106	1,106	1,106	1,106

Note(s): None of the independent variables in this study exhibited strong correlations. The USA was excluded from the regression analysis. Tariff = the percentage of export tariffs imposed on goods entering the US, based on President Trump's tariff policy. SIZE = logarithm of total assets; BTM = book-to-market ratio; ROA = net income before taxes divided by total assets; LEV = total liabilities to total equity; IEF = Index of Economic Freedom. ***, ** and * indicate significance at the 1%, 5% and 10% confidence levels, respectively

Source(s): Authors’ own work

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