Table 8 Propensity score matched sample...

Table 8

Propensity score matched sample

	(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	0.005*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.009*** (0.000)
Constant	−0.011 (0.376)	−0.007 (0.638)	0.004 (0.816)	0.020 (0.330)	0.046 (0.122)
Controls	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes
Observations	6,698	6,608	6,566	6,364	5,850
R²	0.021	0.026	0.025	0.025	0.026
Panel B: Market reactions to meeting/just beating analyst forecasts
SMBEAT^a1	0.002 (0.366)	0.002 (0.299)	0.002 (0.262)	0.002 (0.352)	0.003 (0.364)
BIGBEAT^a2	0.007*** (0.000)	0.009*** (0.000)	0.010*** (0.000)	0.010*** (0.000)	0.011*** (0.004)
Constant	−0.011 (0.386)	−0.007 (0.762)	0.005 (0.876)	0.021 (0.513)	0.047 (0.407)
Controls	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes
Observations	6,698	6,608	6,566	6,364	5,850
R²	0.023	0.028	0.026	0.026	0.027
Test of equality of coefficients
p-value (H₀: a1 = a2)	0.005	0.000	0.000	0.008	0.019

	(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	0.005*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.007*** (0.000)	0.009*** (0.000)
Constant	−0.011 (0.376)	−0.007 (0.638)	0.004 (0.816)	0.020 (0.330)	0.046 (0.122)
Controls	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes
Observations	6,698	6,608	6,566	6,364	5,850
R²	0.021	0.026	0.025	0.025	0.026
Panel B: Market reactions to meeting/just beating analyst forecasts
SMBEAT^a1	0.002 (0.366)	0.002 (0.299)	0.002 (0.262)	0.002 (0.352)	0.003 (0.364)
BIGBEAT^a2	0.007*** (0.000)	0.009*** (0.000)	0.010*** (0.000)	0.010*** (0.000)	0.011*** (0.004)
Constant	−0.011 (0.386)	−0.007 (0.762)	0.005 (0.876)	0.021 (0.513)	0.047 (0.407)
Controls	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes	Yes	Yes
Observations	6,698	6,608	6,566	6,364	5,850
R²	0.023	0.028	0.026	0.026	0.027
Test of equality of coefficients
p-value (H₀: a1 = a2)	0.005	0.000	0.000	0.008	0.019

Note(s): This table presents the regression results 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, using a matched sample. We match each MBE firm with a non-MBE firm in the same industry and year based on Analyst, GVT, ROA, ETP, Size, MTB, Leverage, CFO, Prior stock return using one-to-one nearest neighbor propensity score matching without replacement. To enhance the effectiveness of matching, we use a small caliper of 0.01 to identify sets of matches. In Panel A (B), the matched 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 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

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