Regression results with short-window AH price differences around earnings announcements
| Variables | (1) | (2) | (3) | |||
|---|---|---|---|---|---|---|
| Equation (1) | Equation (2) | Equation (1) | Equation (2) | Equation (1) | Equation (2) | |
| pricedif22 | aturnover22 | pricedif55 | aturnover55 | pricedif1010 | aturnover1010 | |
| Gain | 0.229*** (7.932) | −0.0937 (−1.384) | 0.231*** (8.100) | −0.0967 (−1.414) | 0.230*** (8.127) | −0.119* (−1.728) |
| mtop | 0.809*** (3.360) | 1.633*** (7.347) | 0.817*** (3.577) | 1.570*** (6.879) | 0.810*** (3.798) | 1.448*** (6.242) |
| totalsharess | 0.268*** (6.984) | −0.0207 (−0.234) | 0.269*** (7.086) | −0.0417 (−0.468) | 0.266*** (7.096) | −0.0763 (−0.854) |
| shortdummy | −0.272*** (−3.593) | −0.0535 (−0.484) | −0.271*** (−3.650) | −0.0106 (−0.0952) | −0.271*** (−3.705) | 0.0267 (0.236) |
| supply | −0.213*** (−6.835) | 0.0446 (0.686) | −0.213*** (−6.916) | 0.0564 (0.863) | −0.211*** (−6.928) | 0.0858 (1.307) |
| mom | 0.997*** (9.607) | 1.060*** (10.20) | 1.144*** (10.88) | |||
| govownership | −1.239*** (−6.412) | 0.108 (0.297) | −1.261*** (−6.647) | 0.260 (0.700) | −1.258*** (−6.735) | 0.521 (1.387) |
| marketvalue | −0.240*** (−7.786) | −0.0511 (−0.704) | −0.237*** (−7.858) | −0.0337 (−0.466) | −0.235*** (−7.871) | −0.0189 (−0.261) |
| absepschange | 0.101 (0.719) | 0.0458 (0.325) | 0.0421 (0.301) | |||
| fanindex | −0.104*** (−3.757) | −0.104*** (−3.799) | −0.105*** (−3.852) | |||
| pricedif22 | 0.314 (1.141) | |||||
| aturnover22 | −0.0572 (−0.561) | |||||
| pricedif55 | 0.377 (1.358) | |||||
| aturnover55 | −0.0516 (−0.540) | |||||
| pricedif1010 | 0.467* (1.671) | |||||
| aturnover1010 | −0.0456 (−0.517) | |||||
| Constant | 7.287*** (13.12) | −0.681 (−0.372) | 7.240*** (13.22) | −1.131 (−0.619) | 7.207*** (13.24) | −1.614 (−0.881) |
| Observations | 789 | 789 | 789 | 789 | 789 | 789 |
| Adj R2 | 0.365 | 0.467 | 0.372 | 0.464 | 0.376 | 0.450 |
| Variables | (1) | (2) | (3) | |||
|---|---|---|---|---|---|---|
| pricedif22 | aturnover22 | pricedif55 | aturnover55 | pricedif1010 | aturnover1010 | |
| Gain | 0.229*** (7.932) | −0.0937 (−1.384) | 0.231*** (8.100) | −0.0967 (−1.414) | 0.230*** (8.127) | −0.119* (−1.728) |
| mtop | 0.809*** (3.360) | 1.633*** (7.347) | 0.817*** (3.577) | 1.570*** (6.879) | 0.810*** (3.798) | 1.448*** (6.242) |
| totalsharess | 0.268*** (6.984) | −0.0207 (−0.234) | 0.269*** (7.086) | −0.0417 (−0.468) | 0.266*** (7.096) | −0.0763 (−0.854) |
| shortdummy | −0.272*** (−3.593) | −0.0535 (−0.484) | −0.271*** (−3.650) | −0.0106 (−0.0952) | −0.271*** (−3.705) | 0.0267 (0.236) |
| supply | −0.213*** (−6.835) | 0.0446 (0.686) | −0.213*** (−6.916) | 0.0564 (0.863) | −0.211*** (−6.928) | 0.0858 (1.307) |
| mom | 0.997*** (9.607) | 1.060*** (10.20) | 1.144*** (10.88) | |||
| govownership | −1.239*** (−6.412) | 0.108 (0.297) | −1.261*** (−6.647) | 0.260 (0.700) | −1.258*** (−6.735) | 0.521 (1.387) |
| marketvalue | −0.240*** (−7.786) | −0.0511 (−0.704) | −0.237*** (−7.858) | −0.0337 (−0.466) | −0.235*** (−7.871) | −0.0189 (−0.261) |
| absepschange | 0.101 (0.719) | 0.0458 (0.325) | 0.0421 (0.301) | |||
| fanindex | −0.104*** (−3.757) | −0.104*** (−3.799) | −0.105*** (−3.852) | |||
| pricedif22 | 0.314 (1.141) | |||||
| aturnover22 | −0.0572 (−0.561) | |||||
| pricedif55 | 0.377 (1.358) | |||||
| aturnover55 | −0.0516 (−0.540) | |||||
| pricedif1010 | 0.467* (1.671) | |||||
| aturnover1010 | −0.0456 (−0.517) | |||||
| Constant | 7.287*** (13.12) | −0.681 (−0.372) | 7.240*** (13.22) | −1.131 (−0.619) | 7.207*** (13.24) | −1.614 (−0.881) |
| Observations | 789 | 789 | 789 | 789 | 789 | 789 |
| 0.365 | 0.467 | 0.372 | 0.464 | 0.376 | 0.450 | |
Note(s): t-statistics are reported in parentheses, with *, ** and *** indicate statistically significant at the 10%, 5% and 1% levels, respectively. All variables are as defined in Tables 3 and 6
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