Table 3 Market reactions to meeting/just...

Table 3

Market reactions to meeting/just beating analyst forecasts (H1)

	(1)	(2)	(3)	(4)	(5)
Dep. var	BHAR[−1, 1]	BHAR[−2, 2]	BHAR[−3, 3]	BHAR[−5, 5]	BHAR[−10, 10]
SMBEAT^a1	0.002 (0.254)	0.002 (0.146)	0.003 (0.112)	0.003 (0.195)	0.002 (0.602)
BIGBEAT^a2	0.007*** (0.000)	0.009*** (0.000)	0.009*** (0.000)	0.009*** (0.000)	0.011*** (0.002)
Surprise	−0.009 (0.505)	−0.006 (0.677)	−0.015 (0.385)	−0.020 (0.456)	0.005 (0.883)
Analyst	0.001*** (0.006)	0.001*** (0.007)	0.001*** (0.000)	0.001** (0.024)	0.001 (0.751)
GVT	−0.002* (0.099)	−0.001 (0.239)	−0.001 (0.471)	0.000 (0.953)	−0.001 (0.648)
ROA	0.033** (0.021)	0.050** (0.012)	0.060*** (0.000)	0.064* (0.077)	0.047 (0.327)
ETP	−0.011 (0.617)	0.004 (0.897)	0.015 (0.416)	0.021 (0.615)	0.059 (0.237)
Size	0.000 (0.752)	−0.000 (0.983)	−0.001 (0.243)	−0.001 (0.554)	−0.002 (0.428)
MTB	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001* (0.076)
Leverage	−0.000 (0.686)	−0.000 (0.739)	−0.000 (0.446)	−0.000 (0.667)	0.001 (0.188)
CFO	−0.000 (0.856)	−0.000 (0.975)	0.002 (0.746)	0.005 (0.333)	0.005 (0.503)
Prior stock return	0.002 (0.538)	0.004 (0.219)	0.003 (0.386)	0.009 (0.109)	0.007 (0.489)
Constant	−0.008 (0.527)	−0.006 (0.768)	0.010 (0.478)	0.019 (0.574)	0.051 (0.375)
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	0.020	0.025	0.025	0.025	0.025
Test of equality of coefficients
p-value (H₀: a1 = a2)	0.005	0.003	0.005	0.021	0.004

	(1)	(2)	(3)	(4)	(5)
Dep. var	BHAR[−1, 1]	BHAR[−2, 2]	BHAR[−3, 3]	BHAR[−5, 5]	BHAR[−10, 10]
SMBEAT^a1	0.002 (0.254)	0.002 (0.146)	0.003 (0.112)	0.003 (0.195)	0.002 (0.602)
BIGBEAT^a2	0.007*** (0.000)	0.009*** (0.000)	0.009*** (0.000)	0.009*** (0.000)	0.011*** (0.002)
Surprise	−0.009 (0.505)	−0.006 (0.677)	−0.015 (0.385)	−0.020 (0.456)	0.005 (0.883)
Analyst	0.001*** (0.006)	0.001*** (0.007)	0.001*** (0.000)	0.001** (0.024)	0.001 (0.751)
GVT	−0.002* (0.099)	−0.001 (0.239)	−0.001 (0.471)	0.000 (0.953)	−0.001 (0.648)
ROA	0.033** (0.021)	0.050** (0.012)	0.060*** (0.000)	0.064* (0.077)	0.047 (0.327)
ETP	−0.011 (0.617)	0.004 (0.897)	0.015 (0.416)	0.021 (0.615)	0.059 (0.237)
Size	0.000 (0.752)	−0.000 (0.983)	−0.001 (0.243)	−0.001 (0.554)	−0.002 (0.428)
MTB	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001*** (0.000)	0.001* (0.076)
Leverage	−0.000 (0.686)	−0.000 (0.739)	−0.000 (0.446)	−0.000 (0.667)	0.001 (0.188)
CFO	−0.000 (0.856)	−0.000 (0.975)	0.002 (0.746)	0.005 (0.333)	0.005 (0.503)
Prior stock return	0.002 (0.538)	0.004 (0.219)	0.003 (0.386)	0.009 (0.109)	0.007 (0.489)
Constant	−0.008 (0.527)	−0.006 (0.768)	0.010 (0.478)	0.019 (0.574)	0.051 (0.375)
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	0.020	0.025	0.025	0.025	0.025
Test of equality of coefficients
p-value (H₀: a1 = a2)	0.005	0.003	0.005	0.021	0.004

Note(s): This table presents the regression results of market reactions to meeting/just beating analyst forecasts over three-, five-, seven-, 11- and 21-day event windows around earnings announcements. SMBEAT (BIGBEAT) is a dummy variable equal to 1 if a firm's actual EPS equals or exceeds the latest analyst forecast by ≤1 cent per share (> 1 cent per share), and 0 otherwise. Non-MBE firms serve as the control group omitted from the regression for comparison with MBE (SMBEAT and BIGBEAT). The test of equality of coefficients is an F-test. 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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