Panel regression analysis: sample at the TOM
| TOM [–1, +3] | TOM [–1, +1] | |||
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| NetBuyVindi | −0.703*** (−16.93) | −0.686*** (−16.85) | −0.750*** (−17.04) | −0.733*** (−16.95) |
| NetBuyVinst | 0.033*** (16.70) | 0.034*** (17.17) | 0.036*** (14.50) | 0.036*** (14.89) |
| NetBuyVforg | 0.107*** (46.08) | −0.939*** (−12.36) | 0.107*** (38.49) | −0.898*** (−10.41) |
| NetBuyVforg × LnSize | 0.042*** (13.67) | 0.040*** (11.61) | ||
| LnSize | 0.042*** (5.84) | 0.042*** (5.87) | 0.030*** (3.16) | 0.030*** (3.14) |
| MB | 0.002** (2.37) | 0.002** (2.33) | 0.003** (2.04) | 0.003** (1.98) |
| Turnover | 9.517*** (36.21) | 9.511*** (36.22) | 9.176*** (27.94) | 9.171*** (27.94) |
| TOY | 0.719*** (36.62) | 0.721*** (36.72) | −0.035 (−1.61) | 0.901*** (35.40) |
| Constant | −1.055*** (−6.03) | −1.058*** (−6.06) | −0.663*** (−2.88) | −0.658*** (−2.86) |
| Observations | 946,601 | 946,601 | 473,884 | 473,884 |
| Clusters (firms) | 1,986 | 1,986 | 1,986 | 1,986 |
| R2 | 0.039 | 0.040 | 0.039 | 0.039 |
| TOM [–1, +3] | TOM [–1, +1] | |||
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| NetBuyV | −0.703*** (−16.93) | −0.686*** (−16.85) | −0.750*** (−17.04) | −0.733*** (−16.95) |
| NetBuyV | 0.033*** (16.70) | 0.034*** (17.17) | 0.036*** (14.50) | 0.036*** (14.89) |
| NetBuyV | 0.107*** (46.08) | −0.939*** (−12.36) | 0.107*** (38.49) | −0.898*** (−10.41) |
| NetBuyV | 0.042*** (13.67) | 0.040*** (11.61) | ||
| LnSize | 0.042*** (5.84) | 0.042*** (5.87) | 0.030*** (3.16) | 0.030*** (3.14) |
| MB | 0.002** (2.37) | 0.002** (2.33) | 0.003** (2.04) | 0.003** (1.98) |
| Turnover | 9.517*** (36.21) | 9.511*** (36.22) | 9.176*** (27.94) | 9.171*** (27.94) |
| TOY | 0.719*** (36.62) | 0.721*** (36.72) | −0.035 (−1.61) | 0.901*** (35.40) |
| Constant | −1.055*** (−6.03) | −1.058*** (−6.06) | −0.663*** (−2.88) | −0.658*** (−2.86) |
| Observations | 946,601 | 946,601 | 473,884 | 473,884 |
| Clusters (firms) | 1,986 | 1,986 | 1,986 | 1,986 |
| 0.039 | 0.040 | 0.039 | 0.039 | |
Note(s): This table reports the results of panel regressions of excess stock returns using only a sample at the TOM, excluding data for the ROM. In regressions 1 and 2, the TOM period is defined as the interval [–1, +3]. In regressions 3 and 4, the TOM period is the interval [–1, +1]. 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
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.