AFI and firm performance – firm liquidity and firm location subsamples
| Qt+1 | Qt+2 | Qt+3 | Qt+4 | Qt+5 | Qt+1 | Qt+2 | Qt+3 | Qt+4 | Qt+5 | |
|---|---|---|---|---|---|---|---|---|---|---|
| Panel A: Firm liquidity | ||||||||||
| High liquid firms | Less liquid firms | |||||||||
| AFIt | 0.61*** | 0.44** | 0.22 | 0.26 | 0.24 | −0.04 | −0.00 | 0.37 | 0.33 | 0.09 |
| (2.43) | (1.88) | (1.00) | (1.25) | (1.09) | (−0.09) | (−0.01) | (0.82) | (0.82) | (0.31) | |
| Controlst | yes | yes | yes | yes | yes | yes | yes | yes | yes | yes |
| N | 6,609 | 6,311 | 6,017 | 5,790 | 5,550 | 6,606 | 6,258 | 5,926 | 5,683 | 5,428 |
| Q | Q | Q | Q | Q | Q | Q | Q | Q | Q | |
|---|---|---|---|---|---|---|---|---|---|---|
| Panel A: Firm liquidity | ||||||||||
| High liquid firms | Less liquid firms | |||||||||
| AFI | 0.61*** | 0.44** | 0.22 | 0.26 | 0.24 | −0.04 | −0.00 | 0.37 | 0.33 | 0.09 |
| (2.43) | (1.88) | (1.00) | (1.25) | (1.09) | (−0.09) | (−0.01) | (0.82) | (0.82) | (0.31) | |
| Controls | yes | yes | yes | yes | yes | yes | yes | yes | yes | yes |
| 6,609 | 6,311 | 6,017 | 5,790 | 5,550 | 6,606 | 6,258 | 5,926 | 5,683 | 5,428 | |
| Panel B: Firm location | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Firms listed at HOSE | Firms listed at HNX | |||||||||
| AFIt | 0.74*** | 0.62*** | 0.49** | 0.53*** | 0.44* | 0.13 | 0.07 | 0.11 | 0.02 | −0.11 |
| (2.85) | (2.50) | (2.01) | (2.38) | (1.81) | (0.39) | (0.20) | (0.31) | (0.05) | (−0.39) | |
| Controlst | yes | yes | yes | yes | yes | yes | yes | yes | yes | yes |
| N | 7,195 | 6,866 | 6,532 | 6,273 | 5,977 | 6,020 | 5,703 | 5,411 | 5,200 | 5,001 |
| Panel B: Firm location | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Firms listed at HOSE | Firms listed at HNX | |||||||||
| AFI | 0.74*** | 0.62*** | 0.49** | 0.53*** | 0.44* | 0.13 | 0.07 | 0.11 | 0.02 | −0.11 |
| (2.85) | (2.50) | (2.01) | (2.38) | (1.81) | (0.39) | (0.20) | (0.31) | (0.05) | (−0.39) | |
| Controls | yes | yes | yes | yes | yes | yes | yes | yes | yes | yes |
| 7,195 | 6,866 | 6,532 | 6,273 | 5,977 | 6,020 | 5,703 | 5,411 | 5,200 | 5,001 | |
Note(s): This table reports the subsample analysis for Equation (2). High (less) liquid firms are firms in the first (second) half of the sample by firms’ Amihud levels at each quarter. AFI is the abnormal foreign investment, estimated as the residuals from Equation (1). Controls are control variables used in Equation (2). The subscript t indicates the current quarter. Standard errors are clustered at the firm-quarter level. t-statistics in the parentheses. *, ** and *** indicate statistical significance at the 10, 5 and 1% levels, respectively
Source(s): Authors' own work