Table 5 Cross-sectional regression...

Table 5

Cross-sectional regression analysis of cumulative abnormal returns

Variables	Pre-event days					Event days	Post-event days
Variables	(−30, 0)	(−15, 0)	(−10, 0)	(−5, 0)	(−1, 0)	(0, 0)	(0, +1)	(0, +5)	(0, +10)	(0, +15)	(0, +30)
NATO	0.00190	0.00306	−0.02991*	0.00680	0.03064	0.03862**	0.01978	0.02555	0.09467***	0.05943**	0.08055***
NATO	(0.57)	(0.28)	(−1.95)	(0.39)	(1.64)	(2.06)	(1.03)	(1.25)	(4.31)	(2.36)	(2.89)
SIZE	−0.00011	0.00349**	0.00152	0.00407	0.00453	0.00526*	0.00378	0.00523*	0.00105	−0.00122	−0.00283
SIZE	(−0.26)	(2.11)	(0.65)	(1.50)	(1.49)	(1.72)	(1.27)	(1.68)	(0.29)	(−0.30)	(−0.61)
BSIZE	0.00017	−0.00291**	−0.00274*	−0.00330**	−0.00337*	−0.00245	−0.00420**	−0.00244	−0.00458**	−0.00617***	−0.00557**
BSIZE	(0.51)	(−2.51)	(−1.94)	(−2.05)	(−1.92)	(−1.35)	(−2.40)	(−1.31)	(−2.12)	(−2.79)	(−2.09)
INF	0.00029	0.00411**	0.00250	0.00287*	0.00401*	0.00167	0.00205	0.00172	0.00460**	0.00488**	0.00321
INF	(0.72)	(2.44)	(1.39)	(1.70)	(1.89)	(0.90)	(1.13)	(0.87)	(2.10)	(2.01)	(1.16)
GDP	0.00002	0.00030	0.00061	0.00065	0.00081*	0.00085*	0.00078*	0.00122**	0.00135***	0.00080	0.00115
GDP	(0.54)	(1.23)	(1.59)	(1.49)	(1.74)	(1.96)	(1.67)	(2.42)	(2.71)	(1.26)	(1.59)
Constant	0.00261	−0.07630*	−0.02010	−0.08703	−0.10451	−0.11418	−0.06351	−0.08160	0.00793	0.06538	0.10013
Constant	(0.23)	(−1.74)	(−0.31)	(−1.18)	(−1.26)	(−1.41)	(−0.79)	(−0.97)	(0.08)	(0.59)	(0.80)
Obs.	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511
R Square	0.0012	0.0092	0.0056	0.0058	0.0108	0.0109	0.0083	0.0105	0.0339	0.0183	0.0240

Variables	Pre-event days					Event days	Post-event days
Variables	(−30, 0)	(−15, 0)	(−10, 0)	(−5, 0)	(−1, 0)	(0, 0)	(0, +1)	(0, +5)	(0, +10)	(0, +15)	(0, +30)
NATO	0.00190	0.00306	−0.02991*	0.00680	0.03064	0.03862**	0.01978	0.02555	0.09467***	0.05943**	0.08055***
NATO	(0.57)	(0.28)	(−1.95)	(0.39)	(1.64)	(2.06)	(1.03)	(1.25)	(4.31)	(2.36)	(2.89)
SIZE	−0.00011	0.00349**	0.00152	0.00407	0.00453	0.00526*	0.00378	0.00523*	0.00105	−0.00122	−0.00283
SIZE	(−0.26)	(2.11)	(0.65)	(1.50)	(1.49)	(1.72)	(1.27)	(1.68)	(0.29)	(−0.30)	(−0.61)
BSIZE	0.00017	−0.00291**	−0.00274*	−0.00330**	−0.00337*	−0.00245	−0.00420**	−0.00244	−0.00458**	−0.00617***	−0.00557**
BSIZE	(0.51)	(−2.51)	(−1.94)	(−2.05)	(−1.92)	(−1.35)	(−2.40)	(−1.31)	(−2.12)	(−2.79)	(−2.09)
INF	0.00029	0.00411**	0.00250	0.00287*	0.00401*	0.00167	0.00205	0.00172	0.00460**	0.00488**	0.00321
INF	(0.72)	(2.44)	(1.39)	(1.70)	(1.89)	(0.90)	(1.13)	(0.87)	(2.10)	(2.01)	(1.16)
GDP	0.00002	0.00030	0.00061	0.00065	0.00081*	0.00085*	0.00078*	0.00122**	0.00135***	0.00080	0.00115
GDP	(0.54)	(1.23)	(1.59)	(1.49)	(1.74)	(1.96)	(1.67)	(2.42)	(2.71)	(1.26)	(1.59)
Constant	0.00261	−0.07630*	−0.02010	−0.08703	−0.10451	−0.11418	−0.06351	−0.08160	0.00793	0.06538	0.10013
Constant	(0.23)	(−1.74)	(−0.31)	(−1.18)	(−1.26)	(−1.41)	(−0.79)	(−0.97)	(0.08)	(0.59)	(0.80)
Obs.	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511	1,511
R Square	0.0012	0.0092	0.0056	0.0058	0.0108	0.0109	0.0083	0.0105	0.0339	0.0183	0.0240

Note(s): CAR = cumulative abnormal return. NATO = a dummy variable that takes one for NATO member countries and 0 otherwise. SIZE = Logarithm of market capitalization. BSIZE = Number of Director. INF = Inflation rate. GDP = GDP per capita. The ordinate represents the event window. ***, **, and * are significant at 1%, 5%, and 10% confidence levels, respectively. The model uses the ordinary least squares (OLS) estimation technique with robust standard errors

Source(s): Elaborated by the authors

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