Table 5 The effect of earnings...

Table 5

The effect of earnings management on earnings coefficient response

	FEM		GMM		OLS
Variable	Coeff.	t-value	Coeff.	t-value	Coeff.	t-value
CAR3_{lag 1}	−0.124	−1.63	−0.012	−0.11	0.002	0.03
ES	0.169***	3.35	0.199***	2.96	0.110**	2.36
ABSEM	−0.004	−0.61	−0.009	−1.36	0.001	0.24
Dummy_EM	0.013	1.35	0.018*	1.82	0.009	1.36
sqES*EM	0.713***	5.54	0.778***	3.59	0.378**	2.55
Size	−0.052	−1.20	−0.087*	−1.85	−0.007*	−1.91
ROA	−0.169*	−1.82	−0.341**	−2.44	0.002	0.03
WC	−0.158***	−3.40	−0.174**	−1.98	−0.034	−1.38
Growth2	0.049***	3.09	0.041**	2.44	−0.001	−0.20
sqrtCR	0.046*	1.88	0.058*	1.90	0.009	0.77
Y2020	−0.004	−0.43	0.000	−0.01	−0.019*	−1.74
Y2021	0.011	0.81	0.019	1.45	−0.020	−1.59
Y2022	0.006	0.37	0.010	0.71	−0.025**	−2.40
Constant	1.756	1.28	2.857*	1.91	0.290**	2.53
Sargan test (p-value)			6.342 (0.274)
AR(1) test (p-value)			−2.280 (0.022)
AR(2) test (p-value)			−1.008 (0.313)
F-statistic (p-value)	37.18 (0.000)				8.00 (0.000)
R-squared	0.387				0.201

	FEM		GMM		OLS
Variable	Coeff.	t-value	Coeff.	t-value	Coeff.	t-value
CAR3_{lag 1}	−0.124	−1.63	−0.012	−0.11	0.002	0.03
ES	0.169***	3.35	0.199***	2.96	0.110**	2.36
ABSEM	−0.004	−0.61	−0.009	−1.36	0.001	0.24
Dummy_EM	0.013	1.35	0.018*	1.82	0.009	1.36
sqES*EM	0.713***	5.54	0.778***	3.59	0.378**	2.55
Size	−0.052	−1.20	−0.087*	−1.85	−0.007*	−1.91
ROA	−0.169*	−1.82	−0.341**	−2.44	0.002	0.03
WC	−0.158***	−3.40	−0.174**	−1.98	−0.034	−1.38
Growth2	0.049***	3.09	0.041**	2.44	−0.001	−0.20
sqrtCR	0.046*	1.88	0.058*	1.90	0.009	0.77
Y2020	−0.004	−0.43	0.000	−0.01	−0.019*	−1.74
Y2021	0.011	0.81	0.019	1.45	−0.020	−1.59
Y2022	0.006	0.37	0.010	0.71	−0.025**	−2.40
Constant	1.756	1.28	2.857*	1.91	0.290**	2.53
Sargan test (p-value)			6.342 (0.274)
AR(1) test (p-value)			−2.280 (0.022)
AR(2) test (p-value)			−1.008 (0.313)
F-statistic (p-value)	37.18 (0.000)				8.00 (0.000)
R-squared	0.387				0.201

Note(s): ***p < 0.01; **p < 0.05; *p < 0.10. This table presents the results of testing the effect of management on the market reaction around earnings announcements (Earnings Coefficient Response). This effect can be seen from the interaction between unexpected earnings and earnings management (SqES*EM) on CAR. T-statistics are based on robust standard errors

Source(s): Authors’ own work

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