Table III Panel data analysis results –...

Table III

Panel data analysis results – relationship between SR and CAR

	Pooled OLS		Fixed effects		Random effects
	Coef.	p (Sig)	Coef.	p (Sig)	Coef.	p (Sig)
Observations	880		880		880
No. of groups			220		220
Intercept	2.253	0.066	−6.907	0.520	2.253	0.095
UE	0.285	0.000	0.219	0.000	0.272	0.000
SD	0.398	0.015	0.609	0.022	0.420	0.014
UE×SD	0.168	0.022	0.211	0.008	0.179	0.013
MB	−0.014	0.765	0.088	0.384	−0.008	0.871
UE×MB	0.035	0.098	0.042	0.070	0.037	0.079
FSZ	−0.119	0.030	0.316	0.527	−0.120	0.047
UE×FSZ	0.042	0.074	0.037	0.149	0.042	0.072
LEV	0.827	0.005	1.280	0.259	0.844	0.008
UE×LEV	0.091	0.498	0.161	0.278	0.101	0.447
Age	0.015	0.868	−0.291	0.772	0.014	0.889
UE×Age	−0.181	0.000	−0.114	0.076	−0.170	0.001
Year effect	Yes		Yes		Yes
R² – overall	0.1187		0.0567		0.1186
F-test
χ²			1.34
Prob.			0.0029
Hausman test
χ²				15.35
Prob.				0.3544
LM test
χ²					7.47
Prob.					0.0031

	Pooled OLS		Fixed effects		Random effects
	Coef.	p (Sig)	Coef.	p (Sig)	Coef.	p (Sig)
Observations	880		880		880
No. of groups			220		220
Intercept	2.253	0.066	−6.907	0.520	2.253	0.095
UE	0.285	0.000	0.219	0.000	0.272	0.000
SD	0.398	0.015	0.609	0.022	0.420	0.014
UE×SD	0.168	0.022	0.211	0.008	0.179	0.013
MB	−0.014	0.765	0.088	0.384	−0.008	0.871
UE×MB	0.035	0.098	0.042	0.070	0.037	0.079
FSZ	−0.119	0.030	0.316	0.527	−0.120	0.047
UE×FSZ	0.042	0.074	0.037	0.149	0.042	0.072
LEV	0.827	0.005	1.280	0.259	0.844	0.008
UE×LEV	0.091	0.498	0.161	0.278	0.101	0.447
Age	0.015	0.868	−0.291	0.772	0.014	0.889
UE×Age	−0.181	0.000	−0.114	0.076	−0.170	0.001
Year effect	Yes		Yes		Yes
R² – overall	0.1187		0.0567		0.1186
F-test
χ²			1.34
Prob.			0.0029
Hausman test
χ²				15.35
Prob.				0.3544
LM test
χ²					7.47
Prob.					0.0031

Notes: CAR is the firm’s cumulative market-adjusted stock returns for the three-day earnings announcement window; UE is the difference between the actual earnings and the expected earnings, which measures as the difference between the firm’s current year EPS (EPS_t) and firm’s last year EPS (EPS_t-1); SD is a dichotomous variable that takes 1 if the firm discloses sustainability reports and 0 otherwise; MB is the market-to-book ratio; FSZ is the natural logarithm of total assets; LEV is the total debt to total assets ratio and Age is the natural logarithm of the number of years since the firm’s inception

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