Regression results with long-window AH price difference
| Variables | Equation (3) | Equation (4) |
|---|---|---|
| pricedif | aturnover | |
| pricedif | 0.439 (1.514) | |
| aturnover | −0.179*** (−2.869) | |
| mtop | 0.800*** (5.783) | 1.249*** (7.549) |
| totalsharess | 0.0852*** (3.497) | −0.0597* (−1.705) |
| shortdummy | −0.492*** (−8.959) | 0.0462 (0.317) |
| supply | −0.0834*** (−4.493) | 0.0118 (0.407) |
| mom | 1.423*** (13.79) | |
| govownership | −0.598*** (−4.607) | 0.796*** (3.605) |
| marketvalue | −0.295*** (−16.11) | 0.0301 (0.368) |
| absepschange | −0.0201 (−0.208) | |
| fanindex | −0.0599*** (−3.394) | |
| Constant | 7.588*** (21.86) | −2.265 (−1.126) |
| Observations | 1,456 | 1,456 |
| Adj R2 | 0.375 | 0.511 |
| Variables | ||
|---|---|---|
| pricedif | aturnover | |
| pricedif | 0.439 (1.514) | |
| aturnover | −0.179*** (−2.869) | |
| mtop | 0.800*** (5.783) | 1.249*** (7.549) |
| totalsharess | 0.0852*** (3.497) | −0.0597* (−1.705) |
| shortdummy | −0.492*** (−8.959) | 0.0462 (0.317) |
| supply | −0.0834*** (−4.493) | 0.0118 (0.407) |
| mom | 1.423*** (13.79) | |
| govownership | −0.598*** (−4.607) | 0.796*** (3.605) |
| marketvalue | −0.295*** (−16.11) | 0.0301 (0.368) |
| absepschange | −0.0201 (−0.208) | |
| fanindex | −0.0599*** (−3.394) | |
| Constant | 7.588*** (21.86) | −2.265 (−1.126) |
| Observations | 1,456 | 1,456 |
| 0.375 | 0.511 |
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 Panel A of Table 3
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