Table 6 Panel regression analysis: full...

Table 6

Panel regression analysis: full sample

	TOM [–1, +3]		TOM [–1, +1]
	(1)	(2)	(3)	(4)
TOM	0.216^*** (43.62)	1.363^*** (12.31)	0.291^*** (44.32)	1.519^*** (10.63)
TOM × NetBuyV_indi		−0.039^*** (−3.00)		−0.079^*** (−4.25)
TOM × NetBuyV_inst		0.001 (0.35)		0.004^* (1.95)
TOM × NetBuyV_forg		0.006^*** (3.30)		0.006^*** (2.61)
TOM × TOY	0.763^*** (34.30)	0.760^*** (34.19)	0.887^*** (34.00)	0.882^*** (33.79)
TOM × LnSize		−0.046^*** (−10.47)		−0.050^*** (−8.67)
NetBuyV_indi	−0.662^*** (−17.36)	−0.654^*** (−17.32)	−0.661^*** (−17.36)	−0.654^*** (−17.27)
NetBuyV_inst	0.032^*** (21.73)	0.032^*** (21.20)	0.032^*** (21.69)	0.032^*** (21.28)
NetBuyV_forg	0.102^*** (56.71)	0.101^*** (54.50)	0.102^*** (56.62)	0.101^*** (55.27)
LnSize	0.079^*** (19.36)	0.089^*** (20.67)	0.079^*** (19.31)	0.084^*** (20.04)
MB	0.002^*** (3.64)	0.002^*** (3.64)	0.002^*** (3.64)	0.002^*** (3.64)
Turnover	9.001^*** (46.87)	9.001^*** (46.87)	9.003^*** (46.88)	9.003^*** (46.88)
TOY	−0.042^*** (−5.23)	−0.042^*** (−5.20)	0.016^** (2.20)	0.016^** (2.22)
Constant	−2.198^*** (−21.87)	−2.422^*** (−23.07)	−2.180^*** (−21.69)	−2.299^*** (−22.37)
Observations	4,875,325	4,875,325	4,875,325	4,875,325
Clusters (firms)	1,986	1,986	1,986	1,986
R²	0.034	0.034	0.034	0.034

	TOM [–1, +3]		TOM [–1, +1]
	(1)	(2)	(3)	(4)
TOM	0.216^*** (43.62)	1.363^*** (12.31)	0.291^*** (44.32)	1.519^*** (10.63)
TOM × NetBuyV_indi		−0.039^*** (−3.00)		−0.079^*** (−4.25)
TOM × NetBuyV_inst		0.001 (0.35)		0.004^* (1.95)
TOM × NetBuyV_forg		0.006^*** (3.30)		0.006^*** (2.61)
TOM × TOY	0.763^*** (34.30)	0.760^*** (34.19)	0.887^*** (34.00)	0.882^*** (33.79)
TOM × LnSize		−0.046^*** (−10.47)		−0.050^*** (−8.67)
NetBuyV_indi	−0.662^*** (−17.36)	−0.654^*** (−17.32)	−0.661^*** (−17.36)	−0.654^*** (−17.27)
NetBuyV_inst	0.032^*** (21.73)	0.032^*** (21.20)	0.032^*** (21.69)	0.032^*** (21.28)
NetBuyV_forg	0.102^*** (56.71)	0.101^*** (54.50)	0.102^*** (56.62)	0.101^*** (55.27)
LnSize	0.079^*** (19.36)	0.089^*** (20.67)	0.079^*** (19.31)	0.084^*** (20.04)
MB	0.002^*** (3.64)	0.002^*** (3.64)	0.002^*** (3.64)	0.002^*** (3.64)
Turnover	9.001^*** (46.87)	9.001^*** (46.87)	9.003^*** (46.88)	9.003^*** (46.88)
TOY	−0.042^*** (−5.23)	−0.042^*** (−5.20)	0.016^** (2.20)	0.016^** (2.22)
Constant	−2.198^*** (−21.87)	−2.422^*** (−23.07)	−2.180^*** (−21.69)	−2.299^*** (−22.37)
Observations	4,875,325	4,875,325	4,875,325	4,875,325
Clusters (firms)	1,986	1,986	1,986	1,986
R²	0.034	0.034	0.034	0.034

Note(s): This table reports the results of panel regressions of excess stock returns. In regressions (1) and (2), TOM takes one at the TOM that encompasses day −1 through day +3, and 0 otherwise. In regressions (3) and (4), TOM takes one at the TOM that encompasses day −1 through day +1, and 0 otherwise. Standard errors are clustered by firm. t-statistics are presented in parentheses. ^*, ^** and ^*** indicate significance at the 10%, 5% and 1% levels, respectively. The sample period is from 2000 to 2020

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