Table 7 Results of the second-stage...

Table 7

Results of the second-stage Heckman regression


	(1)	(2)	(3)	(4)	(5)
Dep. Var	BHAR[−1, 1]	BHAR[−2, 2]	BHAR[−3, 3]	BHAR[−5, 5]	BHAR[−10, 10]
Panel A: Overall market reaction to MBE
MBE	0.006*** (0.000)	0.006*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.008*** (0.000)
Inverse Mills	−0.004 (0.216)	−0.007* (0.071)	−0.007* (0.082)	−0.005 (0.277)	−0.010 (0.126)
Constant	0.010 (0.575)	0.027 (0.226)	0.046* (0.075)	0.044 (0.130)	0.102** (0.014)
Controls	Yes	Yes	Yes	Yes	Yes
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	0.025	0.024	0.025	0.024
Panel B: Market reactions to meeting/just beating analyst forecasts
SMBEAT^a1	0.002 (0.247)	0.002 (0.135)	0.003 (0.106)	0.003 (0.187)	0.002 (0.493)
BIGBEAT^a2	0.007*** (0.000)	0.008*** (0.000)	0.009*** (0.000)	0.009*** (0.000)	0.011*** (0.000)
Inverse Mills	−0.003 (0.464)	−0.006 (0.296)	−0.007* (0.095)	−0.005 (0.615)	−0.010 (0.140)
Constant	0.010 (0.731)	0.026 (0.451)	0.045* (0.080)	0.043 (0.411)	0.101** (0.015)
Controls	Yes	Yes	Yes	Yes	Yes
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	0.026	0.025	0.025	0.025
Test of equality of coefficients
p-value (H₀: a1 = a2)	0.010	0.001	0.001	0.013	0.006


	(1)	(2)	(3)	(4)	(5)
Dep. Var	BHAR[−1, 1]	BHAR[−2, 2]	BHAR[−3, 3]	BHAR[−5, 5]	BHAR[−10, 10]
Panel A: Overall market reaction to MBE
MBE	0.006*** (0.000)	0.006*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.008*** (0.000)
Inverse Mills	−0.004 (0.216)	−0.007* (0.071)	−0.007* (0.082)	−0.005 (0.277)	−0.010 (0.126)
Constant	0.010 (0.575)	0.027 (0.226)	0.046* (0.075)	0.044 (0.130)	0.102** (0.014)
Controls	Yes	Yes	Yes	Yes	Yes
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	0.025	0.024	0.025	0.024
Panel B: Market reactions to meeting/just beating analyst forecasts
SMBEAT^a1	0.002 (0.247)	0.002 (0.135)	0.003 (0.106)	0.003 (0.187)	0.002 (0.493)
BIGBEAT^a2	0.007*** (0.000)	0.008*** (0.000)	0.009*** (0.000)	0.009*** (0.000)	0.011*** (0.000)
Inverse Mills	−0.003 (0.464)	−0.006 (0.296)	−0.007* (0.095)	−0.005 (0.615)	−0.010 (0.140)
Constant	0.010 (0.731)	0.026 (0.451)	0.045* (0.080)	0.043 (0.411)	0.101** (0.015)
Controls	Yes	Yes	Yes	Yes	Yes
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	0.026	0.025	0.025	0.025
Test of equality of coefficients
p-value (H₀: a1 = a2)	0.010	0.001	0.001	0.013	0.006

Note(s): This table presents the results for the second-stage Heckman regression analysis of the overall market reaction to MBE (Panel A) and market reactions to meeting/just beating analyst forecasts (Panel B) over the three-, five-, seven-, 11- and 21-day event windows around earnings announcements, respectively. In Panel A (Panel B), non-MBE firms serve as the control group omitted from the regression for comparison with MBE (SMBEAT and BIGBEAT). Appendix 3 reports the results for the first-stage Heckman regression. All control variables are included in the regressions, but their results are not tabulated for the sake of brevity. 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

[ViewLarge]

Sharing Unavailable