Regression of AVOL and AVAR against time trend and firm characteristics for the period 2007–2017
| (1) | (2) | (3) | (4) | |
|---|---|---|---|---|
| AVOL | AAR | AVOL | AAR | |
| TIME | 0.00212*** (9.10) | 0.00217*** (6.50) | 0.00329*** (5.93) | 0.00209*** (2.74) |
| ANDUM | 0.280*** (7.61) | −0.137*** (−2.94) | 0.278*** (7.45) | −0.0832* (−1.78) |
| TIME × ANDUM | −0.00328*** (−7.14) | 0.000466 (0.77) | −0.00350*** (−7.55) | −0.000338 (−0.56) |
| ln(SIZE) | −0.0159* (−1.80) | 0.00679 (0.59) | ||
| B/M | 0.0594*** (3.84) | 0.0546*** (3.18) | ||
| BETA | 0.0277 (0.63) | −0.311*** (−5.75) | ||
| |UE| | 0.121 (0.72) | −0.230 (−1.10) | ||
| SURPRISE SIGN | 0.115*** (3.71) | 0.0490 (1.16) | ||
| TIME × ln(SIZE) | 0.000242** (2.23) | 0.000208 (1.42) | ||
| TIME × B/M | −0.000704*** (−3.90) | −0.000642*** (−3.18) | ||
| TIME × BETA | −0.000751 (−1.43) | 0.000662 (1.02) | ||
| TIME × |UE| | 0.00650*** (2.66) | 0.0105*** (3.01) | ||
| TIME × SURPRISE SIGN | 0.000665* (1.66) | 0.000785 (1.39) | ||
| Constant | −0.0230 (−1.29) | 0.152*** (6.18) | −0.198*** (−4.36) | 0.291*** (4.97) |
| Observations | 12,143 | 12,143 | 12,143 | 12,143 |
| (1) | (2) | (3) | (4) | |
|---|---|---|---|---|
| AVOL | AAR | AVOL | AAR | |
| TIME | 0.00212*** (9.10) | 0.00217*** (6.50) | 0.00329*** (5.93) | 0.00209*** (2.74) |
| ANDUM | 0.280*** (7.61) | −0.137*** (−2.94) | 0.278*** (7.45) | −0.0832* (−1.78) |
| TIME × ANDUM | −0.00328*** (−7.14) | 0.000466 (0.77) | −0.00350*** (−7.55) | −0.000338 (−0.56) |
| ln(SIZE) | −0.0159* (−1.80) | 0.00679 (0.59) | ||
| 0.0594*** (3.84) | 0.0546*** (3.18) | |||
| BETA | 0.0277 (0.63) | −0.311*** (−5.75) | ||
| |UE| | 0.121 (0.72) | −0.230 (−1.10) | ||
| SURPRISE SIGN | 0.115*** (3.71) | 0.0490 (1.16) | ||
| TIME × ln(SIZE) | 0.000242** (2.23) | 0.000208 (1.42) | ||
| TIME × B/M | −0.000704*** (−3.90) | −0.000642*** (−3.18) | ||
| TIME × BETA | −0.000751 (−1.43) | 0.000662 (1.02) | ||
| TIME × |UE| | 0.00650*** (2.66) | 0.0105*** (3.01) | ||
| TIME × SURPRISE SIGN | 0.000665* (1.66) | 0.000785 (1.39) | ||
| Constant | −0.0230 (−1.29) | 0.152*** (6.18) | −0.198*** (−4.36) | 0.291*** (4.97) |
| Observations | 12,143 | 12,143 | 12,143 | 12,143 |
Notes: t-Statistics in parentheses. *p<0.10; **p<0.05; ***p<0.01
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