Table 4 Cumulative abnormal returns...

Table 4

Cumulative abnormal returns (CARs) around the disclosure of analyst reports

Panel A: CARs by OPN
	N	CAR(0,2)	CAR(0,4)	CAR(0,10)	CAR(1,2)	CAR(1,4)	CAR(1,10)
1(Low)	1,750	−0.814^***	−0.633^***	−0.536^***	−0.206^***	−0.025	0.071
		(−8.13)	(−5.47)	(−3.54)	(−3.06)	(−0.27)	(0.52)
2	1,331	−0.261^***	−0.260^**	−0.053	−0.143^*	−0.142	0.065
		(−2.54)	(−2.01)	(−0.29)	(−1.89)	(−1.27)	(0.39)
3	1,596	0.157	0.134	−0.010	0.042	0.020	−0.124
		(1.62)	(1.16)	(−0.06)	(0.60)	(0.21)	(−0.88)
4	2,758	0.522^***	0.506^***	0.654^***	0.071	0.055	0.203^*
		(7.10)	(5.78)	(5.41)	(1.31)	(0.73)	(1.81)
5(High)	2,774	0.655^***	0.689^***	0.767^***	0.144^**	0.178^**	0.256^**
		(8.85)	(7.88)	(6.33)	(2.50)	(2.32)	(2.23)
High-Low		1.469^***	1.322^***	1.303^***	0.350^***	0.203^*	0.185
		(11.99)	(9.22)	(6.71)	(3.89)	(1.66)	(1.02)

Panel A: CARs by OPN
	N	CAR(0,2)	CAR(0,4)	CAR(0,10)	CAR(1,2)	CAR(1,4)	CAR(1,10)
1(Low)	1,750	−0.814^***	−0.633^***	−0.536^***	−0.206^***	−0.025	0.071
		(−8.13)	(−5.47)	(−3.54)	(−3.06)	(−0.27)	(0.52)
2	1,331	−0.261^***	−0.260^**	−0.053	−0.143^*	−0.142	0.065
		(−2.54)	(−2.01)	(−0.29)	(−1.89)	(−1.27)	(0.39)
3	1,596	0.157	0.134	−0.010	0.042	0.020	−0.124
		(1.62)	(1.16)	(−0.06)	(0.60)	(0.21)	(−0.88)
4	2,758	0.522^***	0.506^***	0.654^***	0.071	0.055	0.203^*
		(7.10)	(5.78)	(5.41)	(1.31)	(0.73)	(1.81)
5(High)	2,774	0.655^***	0.689^***	0.767^***	0.144^**	0.178^**	0.256^**
		(8.85)	(7.88)	(6.33)	(2.50)	(2.32)	(2.23)
High-Low		1.469^***	1.322^***	1.303^***	0.350^***	0.203^*	0.185
		(11.99)	(9.22)	(6.71)	(3.89)	(1.66)	(1.02)

Panel B: CARs by change of OPN(⁠ $Δ$ OPN)
	N	CAR(0,2)	CAR(0,4)	CAR(0,10)	CAR(1,2)	CAR(1,4)	CAR(1,10)
ΔOPN<0(Low)	4,803	−0.162^***	−0.118^*	−0.098	−0.118^***	−0.074	−0.054
		(−2.73)	(−1.69)	(−1.05)	(−2.82)	(−1.28)	(−0.64)
ΔOPN = 0	420	0.652^***	0.761^***	0.582^**	0.417^***	0.526^***	0.347
		(3.61)	(3.48)	(2.04)	(2.91)	(2.75)	(1.27)
ΔOPN<0(High)	4,986	0.449^***	0.464^***	0.628^***	0.101^**	0.116^**	0.280^***
		(8.39)	(7.20)	(6.96)	(2.51)	(2.08)	(3.32)
High-Low		0.611^***	0.581^***	0.726^***	0.219^***	0.189^**	0.334^***
		(7.66)	(6.13)	(5.60)	(3.77)	(2.37)	(2.80)

Panel B: CARs by change of OPN( $Δ$ OPN)
	N	CAR(0,2)	CAR(0,4)	CAR(0,10)	CAR(1,2)	CAR(1,4)	CAR(1,10)
ΔOPN<0(Low)	4,803	−0.162^***	−0.118^*	−0.098	−0.118^***	−0.074	−0.054
		(−2.73)	(−1.69)	(−1.05)	(−2.82)	(−1.28)	(−0.64)
ΔOPN = 0	420	0.652^***	0.761^***	0.582^**	0.417^***	0.526^***	0.347
		(3.61)	(3.48)	(2.04)	(2.91)	(2.75)	(1.27)
ΔOPN<0(High)	4,986	0.449^***	0.464^***	0.628^***	0.101^**	0.116^**	0.280^***
		(8.39)	(7.20)	(6.96)	(2.51)	(2.08)	(3.32)
High-Low		0.611^***	0.581^***	0.726^***	0.219^***	0.189^**	0.334^***
		(7.66)	(6.13)	(5.60)	(3.77)	(2.37)	(2.80)

Note(s): This table reports the market reaction to analyst reports by textual opinion groups and recommendation levels, recommendation revisions, target price revisions group. OPN is textual opinion measure calculated as percentage of positive word frequency minus percentage of negative word frequency. OPN is converted as five groups, indicating 1 for OPN<0, 2 for 0=<OPN<0.2, 3 for 0.2=<OPN<0.4, 4 for 0.4=<OPN<0.6, 5 for 0.6=<OPN<1, respectively. High quintile of OPN represents most positive tone group referred to KOSELF, when low quintile of OPN represents most negative tone group. CAR (n1,n2) is cumulated abnormal returns for n1 and n2 day surrounding the report announcement date, where abnormal returns calculated as the raw return minus KOSPI market index return. t-value is reported in parenthesis and *, **, *** indicates p < 0.1, p < 0.05, p < 0.01, respectively

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