Table 2 Overall market reaction to MBE...

Table 2

Overall market reaction to MBE

	Pred	(1)	(2)	(3)	(4)	(5)
Dep. var	Sign	BHAR[−1, 1]	BHAR[−2, 2]	BHAR[−3, 3]	BHAR[−5, 5]	BHAR[−10, 10]
MBE	+	0.006*** (0.000)	0.006*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.008*** (0.000)
Surprise	+	−0.006 (0.638)	−0.002 (0.919)	−0.010 (0.589)	−0.015 (0.408)	0.011 (0.670)
Analyst	+	0.001*** (0.005)	0.001*** (0.001)	0.001*** (0.000)	0.001** (0.016)	0.001 (0.717)
GVT	−	−0.002 (0.121)	−0.001 (0.242)	−0.001 (0.513)	0.000 (0.909)	−0.001 (0.681)
ROA	+	0.033*** (0.005)	0.051*** (0.000)	0.061*** (0.000)	0.064*** (0.001)	0.047* (0.091)
ETP	+	−0.010 (0.460)	0.006 (0.714)	0.017 (0.347)	0.022 (0.320)	0.061** (0.039)
Size	−	0.000 (0.619)	0.000 (0.979)	−0.001 (0.258)	−0.001 (0.224)	−0.002** (0.047)
MTB	+	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001** (0.032)
Leverage	+	−0.000 (0.716)	−0.000 (0.794)	−0.000 (0.499)	−0.000 (0.619)	0.001 (0.255)
CFO	+	−0.000 (0.930)	0.000 (1.000)	0.002 (0.730)	0.005 (0.343)	0.006 (0.396)
Prior stock return	?	0.002 (0.397)	0.005 (0.135)	0.003 (0.342)	0.010** (0.018)	0.007 (0.204)
Constant		−0.008 (0.416)	−0.006 (0.618)	0.010 (0.494)	0.018 (0.277)	0.050** (0.031)
Year fixed effects		Yes	Yes	Yes	Yes	Yes
Industry fixed effects		Yes	Yes	Yes	Yes	Yes
Observations		9,898	9,831	9,773	9,539	8,813
R²		0.019	0.024	0.024	0.025	0.024

	Pred	(1)	(2)	(3)	(4)	(5)
Dep. var	Sign	BHAR[−1, 1]	BHAR[−2, 2]	BHAR[−3, 3]	BHAR[−5, 5]	BHAR[−10, 10]
MBE	+	0.006*** (0.000)	0.006*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.008*** (0.000)
Surprise	+	−0.006 (0.638)	−0.002 (0.919)	−0.010 (0.589)	−0.015 (0.408)	0.011 (0.670)
Analyst	+	0.001*** (0.005)	0.001*** (0.001)	0.001*** (0.000)	0.001** (0.016)	0.001 (0.717)
GVT	−	−0.002 (0.121)	−0.001 (0.242)	−0.001 (0.513)	0.000 (0.909)	−0.001 (0.681)
ROA	+	0.033*** (0.005)	0.051*** (0.000)	0.061*** (0.000)	0.064*** (0.001)	0.047* (0.091)
ETP	+	−0.010 (0.460)	0.006 (0.714)	0.017 (0.347)	0.022 (0.320)	0.061** (0.039)
Size	−	0.000 (0.619)	0.000 (0.979)	−0.001 (0.258)	−0.001 (0.224)	−0.002** (0.047)
MTB	+	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001** (0.032)
Leverage	+	−0.000 (0.716)	−0.000 (0.794)	−0.000 (0.499)	−0.000 (0.619)	0.001 (0.255)
CFO	+	−0.000 (0.930)	0.000 (1.000)	0.002 (0.730)	0.005 (0.343)	0.006 (0.396)
Prior stock return	?	0.002 (0.397)	0.005 (0.135)	0.003 (0.342)	0.010** (0.018)	0.007 (0.204)
Constant		−0.008 (0.416)	−0.006 (0.618)	0.010 (0.494)	0.018 (0.277)	0.050** (0.031)
Year fixed effects		Yes	Yes	Yes	Yes	Yes
Industry fixed effects		Yes	Yes	Yes	Yes	Yes
Observations		9,898	9,831	9,773	9,539	8,813
R²		0.019	0.024	0.024	0.025	0.024

Note(s): This table presents the regression results of the overall market reaction to meeting or beating analyst earnings forecasts over the three-day [−1, 1], five-day [−2, 2], seven-day [−3, 3], 11-day [−5, 5] and 21-day [−10, 10] event windows around earnings announcements. Non-MBE firms serve as the control group omitted from the regression for comparison with MBE. All variables are defined in Appendix 1. p-values for two-tailed tests are given in parentheses and are based on robust standard errors clustered by firm and year. *, ** and *** indicate statistical significance at the 10, 5 and 1% levels, respectively

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