Table 6 Earnings announcement lag (1)...

Table 6

Earnings announcement lag

	(1)	(2)	(3)	(4)	(5)	(6)
Variables	PEG	MPEG	OJN	PEG	MPEG	OJN
Panel A: earnings announcement lag and cost of equity capital
CONSTANT	0.078^***	0.125^***	0.108^***	0.078^***	0.124^***	0.106^***
CONSTANT	(8.547)	(15.662)	(19.074)	(6.169)	(11.225)	(13.611)
EAL_Q4	0.0002^**	0.0004^**	0.0005^***
EAL_Q4	(2.151)	(2.409)	(3.546)
LNEAL				0.009^**	0.011^**	0.018^***
LNEAL				(2.029)	(2.297)	(3.458)
BODSIZE	−0.001	−0.005^***	−0.004^***	−0.001	−0.005^***	−0.004^***
BODSIZE	(−0.353)	(−3.149)	(−3.277)	(−0.357)	(−3.15)	(−3.277)
INDDIR	−0.001	0.001	−0.001	−0.001	0.001	−0.001
INDDIR	(−0.244)	(0.229)	(−0.232)	(−0.24)	(0.233)	(−0.228)
CEODUAL	0.003^**	0.003^***	0.002^***	0.003^**	0.003^***	0.002^***
CEODUAL	(2.361)	(3.077)	(2.929)	(2.362)	(3.077)	(2.929)
BODMEET	0.001	0.001	0.001	0.001	0.001	0.001
BODMEET	(0.925)	(1.206)	(0.838)	(0.928)	(1.208)	(0.839)
BIGN	−0.006^***	−0.005^***	−0.006^***	−0.006^***	−0.005^***	−0.006^***
BIGN	(−3.185)	(−2.749)	(−4.521)	(−3.188)	(−2.751)	(−4.523)
GCOPIN	−0.007	0.013	0.02^*	−0.007	0.013	0.02^*
GCOPIN	(−0.435)	(0.855)	(1.919)	(−0.433)	(0.857)	(1.921)
OWNCON	−0.001	−0.005^***	−0.004^***	−0.001	−0.005^***	−0.004^***
OWNCON	(−0.553)	(−2.822)	(−3.374)	(−0.555)	(−2.823)	(−3.375)
ICWEAK	−0.001	−0.001	−0.001	−0.001	−0.001	−0.001
ICWEAK	(−0.438)	(−0.575)	(−1.541)	(−0.443)	(−0.579)	(−1.544)
SALEGR	−0.011^**	0.01^**	0.008^***	−0.011^**	0.009^**	0.008^***
SALEGR	(−2.346)	(2.391)	(2.764)	(−2.349)	(2.389)	(2.762)
LNAT	0.001^***	−0.002^***	−0.001^***	0.001^***	−0.002^***	−0.001^***
LNAT	(2.864)	(−6.237)	(−4.162)	(2.877)	(−6.231)	(−4.157)
LEV1	0.011^***	0.025^***	0.022^***	0.011^***	0.025^***	0.022^***
LEV1	(3.271)	(8.486)	(10.269)	(3.271)	(8.487)	(10.27)
BTM	0.061^***	0.045^***	0.04^***	0.061^***	0.045^***	0.04^***
BTM	(20.508)	(17.738)	(21.838)	(20.499)	(17.734)	(21.834)
ROA	−0.045^***	−0.045^***	0.009	−0.045^***	−0.045^***	0.009
ROA	(−3.157)	(−3.627)	(1.022)	(−3.157)	(−3.627)	(1.023)
LOSS	0.007^**	0.019^***	0.006^***	0.007^**	0.019^***	0.006^***
LOSS	(2.231)	(6.896)	(2.872)	(2.235)	(6.899)	(2.875)
BETA	0.003^***	0.006^***	0.004^***	0.003^***	0.006^***	0.004^***
BETA	(5.005)	(10.569)	(11.701)	(5.008)	(10.571)	(11.702)
ZSCORE	0.005^***	0.004^***	0.003^***	0.005^***	0.004^***	0.003^***
ZSCORE	(5.778)	(4.37)	(5.553)	(5.782)	(4.372)	(5.555)
INDUSTRY_FE	Yes	Yes	Yes	Yes	Yes	Yes
YEAR_FE	Yes	Yes	Yes	Yes	Yes	Yes
Observations	9,304	9,304	9,304	9,304	9,304	9,304
R-squared	0.206	0.27	0.346	0.206	0.27	0.346
Note(s): Standard errors are robust to heteroscedasticity and clustered by firm. t-values are in parentheses. ^*p < 0.01, ^p < 0.05, ^*p < 0.10. Variable definitions are reported in Appendix

	(1)	(2)	(3)	(4)	(5)	(6)
Variables	PEG	MPEG	OJN	PEG	MPEG	OJN
Panel A: earnings announcement lag and cost of equity capital
CONSTANT	0.078^***	0.125^***	0.108^***	0.078^***	0.124^***	0.106^***
CONSTANT	(8.547)	(15.662)	(19.074)	(6.169)	(11.225)	(13.611)
EAL_Q4	0.0002^**	0.0004^**	0.0005^***
EAL_Q4	(2.151)	(2.409)	(3.546)
LNEAL				0.009^**	0.011^**	0.018^***
LNEAL				(2.029)	(2.297)	(3.458)
BODSIZE	−0.001	−0.005^***	−0.004^***	−0.001	−0.005^***	−0.004^***
BODSIZE	(−0.353)	(−3.149)	(−3.277)	(−0.357)	(−3.15)	(−3.277)
INDDIR	−0.001	0.001	−0.001	−0.001	0.001	−0.001
INDDIR	(−0.244)	(0.229)	(−0.232)	(−0.24)	(0.233)	(−0.228)
CEODUAL	0.003^**	0.003^***	0.002^***	0.003^**	0.003^***	0.002^***
CEODUAL	(2.361)	(3.077)	(2.929)	(2.362)	(3.077)	(2.929)
BODMEET	0.001	0.001	0.001	0.001	0.001	0.001
BODMEET	(0.925)	(1.206)	(0.838)	(0.928)	(1.208)	(0.839)
BIGN	−0.006^***	−0.005^***	−0.006^***	−0.006^***	−0.005^***	−0.006^***
BIGN	(−3.185)	(−2.749)	(−4.521)	(−3.188)	(−2.751)	(−4.523)
GCOPIN	−0.007	0.013	0.02^*	−0.007	0.013	0.02^*
GCOPIN	(−0.435)	(0.855)	(1.919)	(−0.433)	(0.857)	(1.921)
OWNCON	−0.001	−0.005^***	−0.004^***	−0.001	−0.005^***	−0.004^***
OWNCON	(−0.553)	(−2.822)	(−3.374)	(−0.555)	(−2.823)	(−3.375)
ICWEAK	−0.001	−0.001	−0.001	−0.001	−0.001	−0.001
ICWEAK	(−0.438)	(−0.575)	(−1.541)	(−0.443)	(−0.579)	(−1.544)
SALEGR	−0.011^**	0.01^**	0.008^***	−0.011^**	0.009^**	0.008^***
SALEGR	(−2.346)	(2.391)	(2.764)	(−2.349)	(2.389)	(2.762)
LNAT	0.001^***	−0.002^***	−0.001^***	0.001^***	−0.002^***	−0.001^***
LNAT	(2.864)	(−6.237)	(−4.162)	(2.877)	(−6.231)	(−4.157)
LEV1	0.011^***	0.025^***	0.022^***	0.011^***	0.025^***	0.022^***
LEV1	(3.271)	(8.486)	(10.269)	(3.271)	(8.487)	(10.27)
BTM	0.061^***	0.045^***	0.04^***	0.061^***	0.045^***	0.04^***
BTM	(20.508)	(17.738)	(21.838)	(20.499)	(17.734)	(21.834)
ROA	−0.045^***	−0.045^***	0.009	−0.045^***	−0.045^***	0.009
ROA	(−3.157)	(−3.627)	(1.022)	(−3.157)	(−3.627)	(1.023)
LOSS	0.007^**	0.019^***	0.006^***	0.007^**	0.019^***	0.006^***
LOSS	(2.231)	(6.896)	(2.872)	(2.235)	(6.899)	(2.875)
BETA	0.003^***	0.006^***	0.004^***	0.003^***	0.006^***	0.004^***
BETA	(5.005)	(10.569)	(11.701)	(5.008)	(10.571)	(11.702)
ZSCORE	0.005^***	0.004^***	0.003^***	0.005^***	0.004^***	0.003^***
ZSCORE	(5.778)	(4.37)	(5.553)	(5.782)	(4.372)	(5.555)
INDUSTRY_FE	Yes	Yes	Yes	Yes	Yes	Yes
YEAR_FE	Yes	Yes	Yes	Yes	Yes	Yes
Observations	9,304	9,304	9,304	9,304	9,304	9,304
R-squared	0.206	0.27	0.346	0.206	0.27	0.346
Note(s): Standard errors are robust to heteroscedasticity and clustered by firm. t-values are in parentheses. ^*p < 0.01, ^p < 0.05, ^*p < 0.10. Variable definitions are reported in Appendix

	(1)	(2)	(3)	(4)
Variables	LNEAL	PEG	MPEG	OJN
Panel B: abnormal earnings announcement lag and cost of equity capital
CONSTANT	3.745^***	−0.421^***	−0.647^***	−0.442^***
CONSTANT	(71.384)	(−3.073)	(−5.234)	(−5.087)
ABNEAL		0.129^***	0.202^***	0.144^***
ABNEAL		(3.632)	(6.318)	(6.4)
BODSIZE	−0.015^*	0.003^*	−0.001	−0.001
BODSIZE	(−1.724)	(1.896)	(−0.309)	(−0.758)
INDDIR	0.018	−0.003	−0.001	−0.001
INDDIR	(1.191)	(−1.11)	(−0.449)	(−0.652)
CEODUAL	0.003	0.001	0.001	0.001
CEODUAL	(0.669)	(0.865)	(1.557)	(1.295)
BIGN	−0.011	−0.003^*	−0.003^**	−0.004^***
BIGN	(−1.086)	(−1.781)	(−2.116)	(−3.746)
GCOPIN	0.048	−0.016	−0.004	0.006
GCOPIN	(0.671)	(−1.03)	(−0.3)	(0.602)
ICWEAK	−0.011^**	0.001	0.002^*	0.001
ICWEAK	(−1.998)	(1.053)	(1.817)	(0.998)
LNSIZE	0.004	−0.001	−0.006^***	−0.003^***
LNSIZE	(1.344)	(−1.094)	(−11.914)	(−10.352)
LEV	−0.014	0.017^***	0.027^***	0.023^***
LEV	(−0.885)	(5.595)	(10.241)	(12.423)
BTM	−0.047^***	0.061^***	0.054^***	0.044^***
BTM	(−4.284)	(20.599)	(20.165)	(23.49)
LOSS	0.021	−0.002	0.008^***	0.003
LOSS	(1.571)	(−0.715)	(3.578)	(−0.092)
BETA	0.004	0.002^***	0.005^***	0.004^***
BETA	(1.471)	(4.068)	(10.102)	(11.327)
ZSCORE	0.003	0.004^***	0.003^***	0.002^***
ZSCORE	(0.772)	(5.244)	(3.535)	(4.79)
BODMEET		0.001	0.002^**	0.001^*
BODMEET		(0.965)	(2.406)	(1.714)
OWNCON		−0.002	−0.003^**	−0.002^**
OWNCON		(−1.199)	(−2.045)	(−2.16)
SALEGR		−0.009^**	0.013^***	0.01^***
SALEGR		(−2.452)	(3.787)	(4.272)
ROA		−0.032^***	−0.038^***	0.012
ROA		(−2.726)	(−3.566)	(1.612)
FYE	0.025^***
FYE	(4.529)
RESTATE	−0.005
RESTATE	(−0.691)
LNAFEE	0.011^**
LNAFEE	(2.486)
LNNAFEE	0.006
LNNAFEE	(0.031)
INDUSTRY_FE	Yes	Yes	Yes	Yes
YEAR_FE	Yes	Yes	Yes	Yes
Observations	9,304	9,304	9,304	9,304
R-squared	0.062	0.186	0.252	0.326

	(1)	(2)	(3)	(4)
Variables	LNEAL	PEG	MPEG	OJN
Panel B: abnormal earnings announcement lag and cost of equity capital
CONSTANT	3.745^***	−0.421^***	−0.647^***	−0.442^***
CONSTANT	(71.384)	(−3.073)	(−5.234)	(−5.087)
ABNEAL		0.129^***	0.202^***	0.144^***
ABNEAL		(3.632)	(6.318)	(6.4)
BODSIZE	−0.015^*	0.003^*	−0.001	−0.001
BODSIZE	(−1.724)	(1.896)	(−0.309)	(−0.758)
INDDIR	0.018	−0.003	−0.001	−0.001
INDDIR	(1.191)	(−1.11)	(−0.449)	(−0.652)
CEODUAL	0.003	0.001	0.001	0.001
CEODUAL	(0.669)	(0.865)	(1.557)	(1.295)
BIGN	−0.011	−0.003^*	−0.003^**	−0.004^***
BIGN	(−1.086)	(−1.781)	(−2.116)	(−3.746)
GCOPIN	0.048	−0.016	−0.004	0.006
GCOPIN	(0.671)	(−1.03)	(−0.3)	(0.602)
ICWEAK	−0.011^**	0.001	0.002^*	0.001
ICWEAK	(−1.998)	(1.053)	(1.817)	(0.998)
LNSIZE	0.004	−0.001	−0.006^***	−0.003^***
LNSIZE	(1.344)	(−1.094)	(−11.914)	(−10.352)
LEV	−0.014	0.017^***	0.027^***	0.023^***
LEV	(−0.885)	(5.595)	(10.241)	(12.423)
BTM	−0.047^***	0.061^***	0.054^***	0.044^***
BTM	(−4.284)	(20.599)	(20.165)	(23.49)
LOSS	0.021	−0.002	0.008^***	0.003
LOSS	(1.571)	(−0.715)	(3.578)	(−0.092)
BETA	0.004	0.002^***	0.005^***	0.004^***
BETA	(1.471)	(4.068)	(10.102)	(11.327)
ZSCORE	0.003	0.004^***	0.003^***	0.002^***
ZSCORE	(0.772)	(5.244)	(3.535)	(4.79)
BODMEET		0.001	0.002^**	0.001^*
BODMEET		(0.965)	(2.406)	(1.714)
OWNCON		−0.002	−0.003^**	−0.002^**
OWNCON		(−1.199)	(−2.045)	(−2.16)
SALEGR		−0.009^**	0.013^***	0.01^***
SALEGR		(−2.452)	(3.787)	(4.272)
ROA		−0.032^***	−0.038^***	0.012
ROA		(−2.726)	(−3.566)	(1.612)
FYE	0.025^***
FYE	(4.529)
RESTATE	−0.005
RESTATE	(−0.691)
LNAFEE	0.011^**
LNAFEE	(2.486)
LNNAFEE	0.006
LNNAFEE	(0.031)
INDUSTRY_FE	Yes	Yes	Yes	Yes
YEAR_FE	Yes	Yes	Yes	Yes
Observations	9,304	9,304	9,304	9,304
R-squared	0.062	0.186	0.252	0.326

Note(s): Standard errors are robust to heteroscedasticity and clustered by firm. t-values are in parentheses. ^***p < 0.01, ^**p < 0.05, ^*p < 0.10. Variable definitions are reported in Appendix A

Source(s): Created by authors

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