Effects of the CPRs for high- and low-IE firms on equity returns
| Lag | High | Low | High – Low | ||
|---|---|---|---|---|---|
| 0 | −0.055 (−3.71)*** | −0.05 | −0.011 (−1.27) | −0.01 | −0.044 |
| 1 | −0.015 (−3.78)*** | −0.07 | −0.003 (−0.90) | −0.01 | −0.012 |
| 2 | −0.002 (−0.48) | −0.07 | 0.000 (−0.18) | −0.01 | −0.002 |
| 3 | −0.001 (−0.19) | −0.07 | −0.001 (−0.53) | −0.01 | 0.000 |
| 4 | −0.003 (−0.57) | −0.07 | −0.001 (−0.40) | −0.02 | −0.001 |
| 5 | −0.002 (−0.24) | −0.08 | 0.001 (0.27) | −0.02 | −0.003 |
| 6 | 0.001 (0.14) | −0.08 | −0.008 (−1.30) | −0.02 | 0.008 |
| 7 | 0.000 (−0.06) | −0.08 | −0.003 (−0.56) | −0.03 | 0.002 |
| 8 | −0.005 (−0.93) | −0.08 | −0.004 (−0.62) | −0.03 | −0.002 |
| 9 | 0.001 (0.15) | −0.08 | −0.007 (−1.02) | −0.04 | 0.007 |
| 10 | 0.002 (0.63) | −0.08 | 0.007 (1.34) | −0.03 | −0.005 |
| Lag | High | Low | High – Low | ||
|---|---|---|---|---|---|
| 0 | −0.055 (−3.71)*** | −0.05 | −0.011 (−1.27) | −0.01 | −0.044 |
| 1 | −0.015 (−3.78)*** | −0.07 | −0.003 (−0.90) | −0.01 | −0.012 |
| 2 | −0.002 (−0.48) | −0.07 | 0.000 (−0.18) | −0.01 | −0.002 |
| 3 | −0.001 (−0.19) | −0.07 | −0.001 (−0.53) | −0.01 | 0.000 |
| 4 | −0.003 (−0.57) | −0.07 | −0.001 (−0.40) | −0.02 | −0.001 |
| 5 | −0.002 (−0.24) | −0.08 | 0.001 (0.27) | −0.02 | −0.003 |
| 6 | 0.001 (0.14) | −0.08 | −0.008 (−1.30) | −0.02 | 0.008 |
| 7 | 0.000 (−0.06) | −0.08 | −0.003 (−0.56) | −0.03 | 0.002 |
| 8 | −0.005 (−0.93) | −0.08 | −0.004 (−0.62) | −0.03 | −0.002 |
| 9 | 0.001 (0.15) | −0.08 | −0.007 (−1.02) | −0.04 | 0.007 |
| 10 | 0.002 (0.63) | −0.08 | 0.007 (1.34) | −0.03 | −0.005 |
Source(s): Table by authors
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