Table 15

Difference in the CAR around annual report release date across samples

(1)(2)(3)(4)
CAR (−2,2)CAR (−1,1)CAR (−2,2)CAR (−1,1)
OTCi,t  0.000−0.000
  (0.20)(−0.18)
RDCi,t0.002**0.002**0.002*0.002**
(2.11)(2.47)(1.90)(2.39)
UEi,t0.001*0.001***0.001*0.001***
(1.92)(2.79)(1.92)(2.79)
ROEi,t0.040***0.020***0.040***0.020***
(4.49)(2.77)(4.49)(2.76)
Sizei,t0.004***0.003***0.004***0.003***
(5.84)(5.91)(5.84)(5.90)
Levi,t−0.007**−0.005−0.007**−0.005
(−2.11)(−1.60)(−2.11)(−1.60)
MBi,t0.005***0.005***0.005***0.005***
(4.31)(4.68)(4.31)(4.67)
Growthi,t−0.000−0.001−0.000−0.001
(−0.04)(−0.42)(−0.04)(−0.42)
RDinti,t−0.080*−0.055−0.080*−0.055
(−1.92)(−1.55)(−1.92)(−1.55)
Constant−0.107***−0.088***−0.107***−0.088***
(−6.00)(−6.08)(−6.00)(−6.08)
Fixed Effects
IndustryYESYESYESYES
YearYESYESYESYES
# of Obs.10,87310,87310,87310,873
Adj. R20.0270.0200.0270.020

Note(s): All variables are defined in Appendix. The robust t statistics shown in parentheses are based on the firm-clustered standard errors. *, ** and *** represent the statistical significance level of 10%, 5% and 1%, respectively

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