Table 3 OLS regression models of AC and...

Table 3

OLS regression models of AC and IR

	M1	M2	M3	M4	M5	M6	M7
Intercept	0.022	0.008	0.023	***0.030^b	*0.021^c	0.021	0.025
AUDITCOM	**0.025^b	*0.018^c	*0.025^c	**0.023^c	**0.021^c	*0.025^c	**0.023^c
LNSIZE	−0.005		−0.005	−0.003	−0.003	−0.005	−0.004
LNAGE				−0.070
LNDEBT		*−0.034		−0.021	−0.022		−0.029
Auditor			−0.002
Executives	**−0.001^b	*−0.002^c	*−0.001^c			**−0.001^c	**−0.001^b
IGBMRET				*0.112^c
Property						0.001
Management					−0.008
Reference price	**0.011^b	*0.010^c	**0.011^c	**0.012^c	*0.011^b	**0.011^b	**0.012^b
PPP	**0.017^b	***0.020^a	**0.016^b	*0.013^c	**0.016^b	**0.016^b	***0.018^a
Standard	0.006	0.010	0.006			0.006	0.006
N^(a)	41	41	41	41	41	41	41
Adjusted R²	0.202	0.214	0.178	0.222	0.153	0.178	0.231
F-test statistic	***5.20	**2.78	***4.83	**3.12	**3.07	***4.45	**4.16
VIF	[1.06–1.99]	[1.07–1.20]	[1.08–2.01]	[1.17–1.68]	[1.10–1.64]	[1.10–2.16]	[1.11–2.10]

	M1	M2	M3	M4	M5	M6	M7
Intercept	0.022	0.008	0.023	***0.030^b	*0.021^c	0.021	0.025
AUDITCOM	**0.025^b	*0.018^c	*0.025^c	**0.023^c	**0.021^c	*0.025^c	**0.023^c
LNSIZE	−0.005		−0.005	−0.003	−0.003	−0.005	−0.004
LNAGE				−0.070
LNDEBT		*−0.034		−0.021	−0.022		−0.029
Auditor			−0.002
Executives	**−0.001^b	*−0.002^c	*−0.001^c			**−0.001^c	**−0.001^b
IGBMRET				*0.112^c
Property						0.001
Management					−0.008
Reference price	**0.011^b	*0.010^c	**0.011^c	**0.012^c	*0.011^b	**0.011^b	**0.012^b
PPP	**0.017^b	***0.020^a	**0.016^b	*0.013^c	**0.016^b	**0.016^b	***0.018^a
Standard	0.006	0.010	0.006			0.006	0.006
N^(a)	41	41	41	41	41	41	41
Adjusted R²	0.202	0.214	0.178	0.222	0.153	0.178	0.231
F-test statistic	***5.20	**2.78	***4.83	**3.12	**3.07	***4.45	**4.16
VIF	[1.06–1.99]	[1.07–1.20]	[1.08–2.01]	[1.17–1.68]	[1.10–1.64]	[1.10–2.16]	[1.11–2.10]

Note(s): Multiple linear regression models estimated by cross-sectional OLS. Dependent variable is the initial-day return. Heteroscedasticity has been corrected using White’s methodology

The variables are described in Table A1

VIF: Variance Inflation Factor. Maximum-minimum values are reported

***, **, * significant at the 1%, 5 and 10% levels, respectively

^{a, b, c} significant at the 1%, 5 and 10% levels, respectively, using the bootstrap methodology

^(a) 10 observations have been lost out of the initial 51 since there are firms that do not perform an initial valuation of the company and therefore the REFERENCE PRICE variable has no value (see Section 2 for more information)

Source(s): Table by authors

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