Variable definitions
| Δ | Indicating change in any of the variables specified below: the variable reflects the difference in the value for a given period and the value of the immediately preceding period |
| ACCPS | Accruals per share, calculated so that OPS = CPS + ACCPS |
| Audit | An indicator variable set to one if the firm has a Big 4 auditor (zero otherwise) |
| BoardSize | The number of directors on the board |
| BPS | Book value per share |
| BSCFdis | An indicator variable set to one if the BS and CF are placed adjacent to each other in the results announcement (zero otherwise) |
| CPS | Operating cash flow per share, represented by “funds from operations” (WC04201) |
| Change | An indicator variable set to one if the identity of both the CEO and the CFO differs from the previous reporting period (zero otherwise) |
| Comment | An indicator variable set to one if management commentary precedes the financial statements in the results announcement (zero otherwise) |
| EPS | Basic earnings per share |
| High | An indicator variable set to one if highlights are included in the results announcement (zero otherwise) |
| Indep | The percentage of directors classified as independent directors by the firm |
| ISBS | An indicator variable set to one if the IS precedes the BS in the results announcement (zero otherwise) |
| ISBSdis | An indicator variable set to one if the IS and the BS are placed adjacent to each other in the results announcement (zero otherwise) |
| ISCFdis | An indicator variable set to one if the IS and the CF are placed adjacent to each other in the results announcement (zero otherwise) |
| Float | Free float percentage at reporting date (NOSHFF). The free float percentage represents the shares held by outside investors with holdings smaller than 5% of the outstanding shares |
| Follow | An indicator variable set to one when a firm has an analyst following (zero otherwise) |
| LEV | Leverage, calculated as total debt over total assets |
| mBSCFdis | An indicator variable set to one if the BS and CF are placed adjacent to each other in either the current year or the immediately preceding year (but not in both) and zero otherwise |
| mComment | An indicator variable set to one if management commentary precedes the financial statements in the results announcement in either the current year or the immediately preceding year (but not in both) and zero otherwise |
| mHigh | An indicator variable set to one if highlights are included in the results announcement in either the current year or the immediately preceding year (but not in both) and zero otherwise |
| mISBS | An indicator variable set to one if the IS precedes the BS in either the current year or the immediately preceding year (but not in both) and zero otherwise |
| mISBSdis | An indicator variable set to one if the IS and BS are placed adjacent to each other in either the current year or the immediately preceding year (but not in both) and zero otherwise |
| mISCFdis | An indicator variable set to one if the IS and CF are placed adjacent to each other in either the current year or the immediately preceding year (but not in both) and zero otherwise |
| MAR | Market-adjusted return, calculated as the cumulative change in the total return index less the return on the market index, for five days starting from the release date of the results announcement |
| MTB | The market-to-book ratio at reporting date |
| Neg | An indicator variable set to one if EPS is negative (zero otherwise) |
| OPS | Operating profit per share |
| P | Cum dividend share price, six months after reporting date, calculated by adjusting the share price at reporting date with a firm-specific total return index which compensates for corporate actions |
| Public | The number of shares held by public shareholders at reporting date as disclosed in the firm’s annual report. Non-public shareholders are defined in the JSE listing regulations as directors, employees and shareholders holding more than 10% of shares in issue |
| Qual | The percentage of the board of directors who hold a financial designation (e.g. Chartered Accountant, Chartered Financial Analyst) or a business management qualification (MBA or MBL) |
| ROA | Return on assets, calculated as operating profit over total assets |
| Sign | Short-term earnings volatility, represented by an indicator variable set to one if the sign of basic earnings in the current reporting period differs from that of the immediately preceding period (zero otherwise) |
| Size | The natural log of total assets at reporting date |
| Tang | The ratio of property, plant and equipment to total assets |
| TO | Asset turnover, calculated as revenue over total assets |
| Vol | Longer term earnings volatility, calculated as the three-year standard deviation of IFRS earnings dividend by the three-year standard deviation of headline earnings |
| Indicating change in any of the variables specified below: the variable reflects the difference in the value for a given period and the value of the immediately preceding period | |
| Accruals per share, calculated so that | |
| An indicator variable set to one if the firm has a Big 4 auditor (zero otherwise) | |
| The number of directors on the board | |
| Book value per share | |
| An indicator variable set to one if the | |
| Operating cash flow per share, represented by “funds from operations” (WC04201) | |
| An indicator variable set to one if the identity of both the | |
| An indicator variable set to one if management commentary precedes the financial statements in the results announcement (zero otherwise) | |
| Basic earnings per share | |
| An indicator variable set to one if highlights are included in the results announcement (zero otherwise) | |
| The percentage of directors classified as independent directors by the firm | |
| An indicator variable set to one if the | |
| An indicator variable set to one if the | |
| An indicator variable set to one if the | |
| Free float percentage at reporting date ( | |
| An indicator variable set to one when a firm has an analyst following (zero otherwise) | |
| Leverage, calculated as total debt over total assets | |
| An indicator variable set to one if the | |
| An indicator variable set to one if management commentary precedes the financial statements in the results announcement in either the current year or the immediately preceding year (but not in both) and zero otherwise | |
| An indicator variable set to one if highlights are included in the results announcement in either the current year or the immediately preceding year (but not in both) and zero otherwise | |
| An indicator variable set to one if the | |
| An indicator variable set to one if the | |
| An indicator variable set to one if the | |
| Market-adjusted return, calculated as the cumulative change in the total return index less the return on the market index, for five days starting from the release date of the results announcement | |
| The market-to-book ratio at reporting date | |
| An indicator variable set to one if | |
| Operating profit per share | |
| Cum dividend share price, six months after reporting date, calculated by adjusting the share price at reporting date with a firm-specific total return index which compensates for corporate actions | |
| The number of shares held by public shareholders at reporting date as disclosed in the firm’s annual report. Non-public shareholders are defined in the | |
| The percentage of the board of directors who hold a financial designation (e.g. Chartered Accountant, Chartered Financial Analyst) or a business management qualification ( | |
| Return on assets, calculated as operating profit over total assets | |
| Short-term earnings volatility, represented by an indicator variable set to one if the sign of basic earnings in the current reporting period differs from that of the immediately preceding period (zero otherwise) | |
| The natural log of total assets at reporting date | |
| The ratio of property, plant and equipment to total assets | |
| Asset turnover, calculated as revenue over total assets | |
| Longer term earnings volatility, calculated as the three-year standard deviation of | |
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