Table 4 The moderating effects of...

Table 4

The moderating effects of analyst coverage and institutional ownership (H2 and H3)

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
Dep. var	BHAR[−1, 1]		BHAR[−2, 2]		BHAR[−3, 3]		BHAR[−5, 5]		BHAR[−10, 10]
Sample	High	Low	High	Low	High	Low	High	Low	High	Low
Panel A. The moderating effect of analyst coverage
SMBEAT	0.005** (0.033)	−0.000 (0.879)	0.006** (0.029)	−0.001 (0.710)	0.006** (0.021)	−0.000 (0.914)	0.006* (0.064)	0.001 (0.789)	0.002 (0.714)	0.003 (0.381)
BIGBEAT	0.008*** (0.000)	0.006*** (0.007)	0.009*** (0.000)	0.007*** (0.006)	0.010*** (0.000)	0.009*** (0.000)	0.009*** (0.001)	0.010** (0.013)	0.011*** (0.002)	0.011** (0.025)
Constant	−0.026 (0.104)	0.000 (0.972)	−0.015 (0.544)	−0.010 (0.642)	−0.010 (0.636)	0.008 (0.704)	−0.007 (0.867)	0.024 (0.502)	0.010 (0.888)	0.055 (0.364)
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	4,743	5,155	4,700	5,131	4,656	5,117	4,499	5,040	4,038	4,775
R²	0.036	0.012	0.044	0.017	0.046	0.019	0.046	0.022	0.050	0.028
Panel B. The moderating effect of institutional ownership
SMBEAT	0.004*** (0.008)	0.002 (0.271)	0.005** (0.011)	0.002 (0.436)	0.005** (0.024)	0.003 (0.289)	0.006** (0.040)	0.003 (0.335)	0.005 (0.182)	0.000 (0.976)
BIGBEAT	0.006*** (0.000)	0.008*** (0.000)	0.006*** (0.002)	0.011*** (0.000)	0.007*** (0.002)	0.012*** (0.000)	0.007*** (0.008)	0.012*** (0.000)	0.009*** (0.009)	0.013*** (0.000)
Constant	−0.019 (0.145)	0.007 (0.650)	−0.022 (0.174)	0.018 (0.357)	−0.010 (0.600)	0.037* (0.095)	0.013 (0.566)	0.038 (0.138)	0.051 (0.109)	0.069** (0.046)
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	4,945	4,953	4,908	4,923	4,878	4,895	4,747	4,792	4,352	4,461
R²	0.028	0.020	0.037	0.024	0.041	0.020	0.039	0.023	0.037	0.029

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
Dep. var	BHAR[−1, 1]		BHAR[−2, 2]		BHAR[−3, 3]		BHAR[−5, 5]		BHAR[−10, 10]
Sample	High	Low	High	Low	High	Low	High	Low	High	Low
Panel A. The moderating effect of analyst coverage
SMBEAT	0.005** (0.033)	−0.000 (0.879)	0.006** (0.029)	−0.001 (0.710)	0.006** (0.021)	−0.000 (0.914)	0.006* (0.064)	0.001 (0.789)	0.002 (0.714)	0.003 (0.381)
BIGBEAT	0.008*** (0.000)	0.006*** (0.007)	0.009*** (0.000)	0.007*** (0.006)	0.010*** (0.000)	0.009*** (0.000)	0.009*** (0.001)	0.010** (0.013)	0.011*** (0.002)	0.011** (0.025)
Constant	−0.026 (0.104)	0.000 (0.972)	−0.015 (0.544)	−0.010 (0.642)	−0.010 (0.636)	0.008 (0.704)	−0.007 (0.867)	0.024 (0.502)	0.010 (0.888)	0.055 (0.364)
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	4,743	5,155	4,700	5,131	4,656	5,117	4,499	5,040	4,038	4,775
R²	0.036	0.012	0.044	0.017	0.046	0.019	0.046	0.022	0.050	0.028
Panel B. The moderating effect of institutional ownership
SMBEAT	0.004*** (0.008)	0.002 (0.271)	0.005** (0.011)	0.002 (0.436)	0.005** (0.024)	0.003 (0.289)	0.006** (0.040)	0.003 (0.335)	0.005 (0.182)	0.000 (0.976)
BIGBEAT	0.006*** (0.000)	0.008*** (0.000)	0.006*** (0.002)	0.011*** (0.000)	0.007*** (0.002)	0.012*** (0.000)	0.007*** (0.008)	0.012*** (0.000)	0.009*** (0.009)	0.013*** (0.000)
Constant	−0.019 (0.145)	0.007 (0.650)	−0.022 (0.174)	0.018 (0.357)	−0.010 (0.600)	0.037* (0.095)	0.013 (0.566)	0.038 (0.138)	0.051 (0.109)	0.069** (0.046)
Controls	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	4,945	4,953	4,908	4,923	4,878	4,895	4,747	4,792	4,352	4,461
R²	0.028	0.020	0.037	0.024	0.041	0.020	0.039	0.023	0.037	0.029

Note(s): This table presents the regression results of the moderating effects of analyst coverage (Panel A) and institutional ownership (Panel B) on market reactions to meeting/just beating analyst forecasts. In Panel A (B), the full sample is partitioned into high and how analyst coverage (institutional ownership) subsamples using the yearly median value as the cutoff. 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. In Panels A and B, non-MBE firms serve as the control group omitted from the regression for comparison with MBE (SMBEAT and BIGBEAT). All control variables are included in the regressions, but their results are not tabulated for the sake of brevity. 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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