Table 1. Sample reconciliation and...

Table 1.

Sample reconciliation and sample distribution

Description						Firm-years	Unique firms
Panel A: Sample reconciliation
Initial sample						2,767	415
Firms with more than one share class, suspended shares or impediments for hand-collected data^†						(401)	(37)
Steinhoff International Holdings NV^‡						(7)	(1)
Cash flow, operating earnings or headline earnings information missing						(64)	(5)
Insufficient data to determine firm characteristic variables^§						(56)	(3)
Insufficient information to calculate earnings volatility^¶						(366)	(35)
Final sample for level specifications						1,873	334
Insufficient data to calculate change in leverage or tangibility						(10)	(2)
Final sample for change specifications						1,863	332
Panel B: Sample distribution per year (level specifications)
Sample year	Firm-years	% of total	ISBS (mean)	ISBSdis (mean)	ISCFdis (mean)	Comment (mean)	High (mean)
2012	254	13.6	0.68	0.89	0.19	0.34	0.70
2013	246	13.1	0.66	0.89	0.18	0.42	0.74
2014	238	12.7	0.65	0.89	0.17	0.49	0.77
2015	230	12.3	0.63	0.89	0.17	0.53	0.79
2016	218	11.6	0.63	0.93	0.15	0.55	0.83
2017	225	12.0	0.63	0.91	0.13	0.58	0.83
2018	228	12.2	0.61	0.93	0.14	0.67	0.82
2019	234	12.5	0.58	0.94	0.13	0.75	0.80
Total	1,873	100.0	0.63	0.91	0.16	0.54	0.78

Description						Firm-years	Unique firms
Panel A: Sample reconciliation
Initial sample						2,767	415
Firms with more than one share class, suspended shares or impediments for hand-collected data^†						(401)	(37)
Steinhoff International Holdings NV^‡						(7)	(1)
Cash flow, operating earnings or headline earnings information missing						(64)	(5)
Insufficient data to determine firm characteristic variables^§						(56)	(3)
Insufficient information to calculate earnings volatility^¶						(366)	(35)
Final sample for level specifications						1,873	334
Insufficient data to calculate change in leverage or tangibility						(10)	(2)
Final sample for change specifications						1,863	332
Panel B: Sample distribution per year (level specifications)
Sample year	Firm-years	% of total	ISBS (mean)	ISBSdis (mean)	ISCFdis (mean)	Comment (mean)	High (mean)
2012	254	13.6	0.68	0.89	0.19	0.34	0.70
2013	246	13.1	0.66	0.89	0.18	0.42	0.74
2014	238	12.7	0.65	0.89	0.17	0.49	0.77
2015	230	12.3	0.63	0.89	0.17	0.53	0.79
2016	218	11.6	0.63	0.93	0.15	0.55	0.83
2017	225	12.0	0.63	0.91	0.13	0.58	0.83
2018	228	12.2	0.61	0.93	0.14	0.67	0.82
2019	234	12.5	0.58	0.94	0.13	0.75	0.80
Total	1,873	100.0	0.63	0.91	0.16	0.54	0.78

Sample year	Firm-years	% of total	mISBS (mean)	mISBSdis (mean)	mISCFdis (mean)	mComment (mean)	mHigh (mean)
Panel C: Sample distribution per year (change specifications)
2012	253	13.6	0.06	0.15	0.24	0.09	0.11
2013	245	13.2	0.06	0.13	0.22	0.13	0.14
2014	237	12.7	0.04	0.10	0.19	0.07	0.05
2015	229	12.3	0.03	0.10	0.13	0.06	0.11
2016	218	11.7	0.05	0.08	0.17	0.06	0.07
2017	222	11.9	0.04	0.07	0.11	0.04	0.06
2018	227	12.2	0.03	0.06	0.08	0.08	0.04
2019	232	12.5	0.05	0.07	0.15	0.07	0.06
Total	1,863	100.0	0.04	0.09	0.17	0.08	0.08
Panel D: Sample distribution per industry (level specifications)
Industry	Firm-years	% of total	ISBS (mean)	ISBSdis (mean)	ISCFdis (mean)	Comment (mean)	High (mean)
Basic materials	282	15.1	0.64	0.89	0.19	0.57	0.83
Consumer discretionary	242	12.9	0.73	0.90	0.14	0.48	0.75
Consumer staples	148	7.9	0.68	0.93	0.18	0.57	0.77
Energy	43	2.3	0.63	1.00	0.23	0.49	0.72
Financials	271	14.5	0.48	0.95	0.12	0.71	0.88
Health care	59	3.2	0.58	0.80	0.20	0.46	0.83
Industrials	437	23.3	0.69	0.88	0.15	0.46	0.80
Real estate	205	10.9	0.38	0.95	0.27	0.51	0.69
Technology	125	6.7	0.79	0.90	0.07	0.42	0.61
Telecommunications	55	2.9	0.91	0.96	0.02	0.69	0.91
Utilities	6	0.3	1.00	0.67	0.00	0.67	0.00
Total	1,873	100.0	0.63	0.91	0.16	0.54	0.78

Sample year	Firm-years	% of total	mISBS (mean)	mISBSdis (mean)	mISCFdis (mean)	mComment (mean)	mHigh (mean)
Panel C: Sample distribution per year (change specifications)
2012	253	13.6	0.06	0.15	0.24	0.09	0.11
2013	245	13.2	0.06	0.13	0.22	0.13	0.14
2014	237	12.7	0.04	0.10	0.19	0.07	0.05
2015	229	12.3	0.03	0.10	0.13	0.06	0.11
2016	218	11.7	0.05	0.08	0.17	0.06	0.07
2017	222	11.9	0.04	0.07	0.11	0.04	0.06
2018	227	12.2	0.03	0.06	0.08	0.08	0.04
2019	232	12.5	0.05	0.07	0.15	0.07	0.06
Total	1,863	100.0	0.04	0.09	0.17	0.08	0.08
Panel D: Sample distribution per industry (level specifications)
Industry	Firm-years	% of total	ISBS (mean)	ISBSdis (mean)	ISCFdis (mean)	Comment (mean)	High (mean)
Basic materials	282	15.1	0.64	0.89	0.19	0.57	0.83
Consumer discretionary	242	12.9	0.73	0.90	0.14	0.48	0.75
Consumer staples	148	7.9	0.68	0.93	0.18	0.57	0.77
Energy	43	2.3	0.63	1.00	0.23	0.49	0.72
Financials	271	14.5	0.48	0.95	0.12	0.71	0.88
Health care	59	3.2	0.58	0.80	0.20	0.46	0.83
Industrials	437	23.3	0.69	0.88	0.15	0.46	0.80
Real estate	205	10.9	0.38	0.95	0.27	0.51	0.69
Technology	125	6.7	0.79	0.90	0.07	0.42	0.61
Telecommunications	55	2.9	0.91	0.96	0.02	0.69	0.91
Utilities	6	0.3	1.00	0.67	0.00	0.67	0.00
Total	1,873	100.0	0.63	0.91	0.16	0.54	0.78

Industry	Firm-years	% of total	mISBS (mean)	mISBSdis (mean)	mISCFdis (mean)	mComment (mean)	mHigh (mean)
Panel E: Sample distribution per industry (change specifications)
Basic materials	280	15.0	0.04	0.09	0.13	0.07	0.06
Consumer discretionary	240	12.9	0.05	0.12	0.18	0.07	0.09
Consumer staples	148	7.	0.03	0.03	0.14	0.06	0.07
Energy	42	2.3	0.05	0.07	0.21	0.14	0.14
Financials	269	14.4	0.03	0.05	0.09	0.03	0.05
Health care	59	3.2	0.07	0.22	0.29	0.08	0.12
Industrials	437	23.5	0.05	0.12	0.16	0.10	0.12
Real estate	203	10.9	0.05	0.10	0.25	0.07	0.06
Technology	124	6.7	0.06	0.09	0.20	0.10	0.11
Telecommunications	55	3.0	0.02	0.05	0.15	0.05	0.00
Utilities	6	0.3	0.00	0.17	0.33	0.17	0.00
Total	1,863	100.0	0.04	0.09	0.17	0.08	0.08

Industry	Firm-years	% of total	mISBS (mean)	mISBSdis (mean)	mISCFdis (mean)	mComment (mean)	mHigh (mean)
Panel E: Sample distribution per industry (change specifications)
Basic materials	280	15.0	0.04	0.09	0.13	0.07	0.06
Consumer discretionary	240	12.9	0.05	0.12	0.18	0.07	0.09
Consumer staples	148	7.	0.03	0.03	0.14	0.06	0.07
Energy	42	2.3	0.05	0.07	0.21	0.14	0.14
Financials	269	14.4	0.03	0.05	0.09	0.03	0.05
Health care	59	3.2	0.07	0.22	0.29	0.08	0.12
Industrials	437	23.5	0.05	0.12	0.16	0.10	0.12
Real estate	203	10.9	0.05	0.10	0.25	0.07	0.06
Technology	124	6.7	0.06	0.09	0.20	0.10	0.11
Telecommunications	55	3.0	0.02	0.05	0.15	0.05	0.00
Utilities	6	0.3	0.00	0.17	0.33	0.17	0.00
Total	1,863	100.0	0.04	0.09	0.17	0.08	0.08

Note(s):

Variables are defined in the Appendix. ^†Suspended shares are removed from the sample as financial reports are frequently outstanding or released long after the required release dates, so that market values and non-financial variables are not concurrent to the accounting data. Hand-collection impediments arise when firms are not listed for a full year or change their reporting date – although the database adjusts for such changes, ensuring a consistent adjustment for hand-collected data is not feasible. ^‡The financial reports of Steinhoff International Holdings NV include significant fraud during the sample period. Financial data on the database is being retrospectively updated as new financial reports are released, so that market values and non-financial variables are not concurrent to the accounting data. ^§This includes firms where items such as revenue, total assets, total debt, and property, plant and equipment are missing from the database. ^¶We require three years of earnings data to calculate earnings volatility. In some cases, data for years before the start of the sample period is not available (e.g. if a firm is first listed in the year before the sample period starts)

Source(s): Authors’ own work

[ViewLarge]

Sharing Unavailable