Table 6 Firm fixed effects and excess...

Table 6

Firm fixed effects and excess disclosure quality ratings

Panel A: Market reactions to the announcement of disclosure quality ratings
Dependent variable	CAR
	(1)
INFO_FE	0.0002
INFO_FE	[0.181]
Controls	Yes
No. of obs	21,250
Adj. R²	3.3%

Panel A: Market reactions to the announcement of disclosure quality ratings
INFO_FE	0.0002
[0.181]
Controls	Yes
No. of obs	21,250
Adj. R²	3.3%

Panel B: Association with market−based and accounting−based information quality measures
Dependent variable	ZERORET	ILLIQ	NCSKEW	CONSERV	PERSIST	DD
	(1)	(2)	(3)	(4)	(5)	(6)
INFO_FE	−0.0006*	0.0015	−0.0331***	−0.9856	0.0214**	−0.0004
	[−1.874]	[0.479]	[−3.417]	[−0.869]	[2.350]	[−0.423]
Controls	Yes	Yes	Yes	Yes	Yes	Yes
No. of obs	22,954	22,953	22,939	10,760	9,817	10,068
Adj. R²	39.6%	44.1%	11.6%	0.3%	14.5%	26.1%

Panel B: Association with market−based and accounting−based information quality measures
Dependent variable	ZERORET	ILLIQ	NCSKEW	CONSERV	PERSIST	DD
	(1)	(2)	(3)	(4)	(5)	(6)
INFO_FE	−0.0006*	0.0015	−0.0331***	−0.9856	0.0214**	−0.0004
	[−1.874]	[0.479]	[−3.417]	[−0.869]	[2.350]	[−0.423]
Controls	Yes	Yes	Yes	Yes	Yes	Yes
No. of obs	22,954	22,953	22,939	10,760	9,817	10,068
Adj. R²	39.6%	44.1%	11.6%	0.3%	14.5%	26.1%

Panel C: Predictability of future outcomes
Dependent variable	F_INST	F_ANA	F_FERRORS	F_DISPERSION	F_ENFORCE	F_ANNLETT
	(1)	(2)	(3)	(4)	(5)	(6)
INFO_FE	0.0040**	−0.1252	−0.0019*	−0.0005	−0.0199***	−0.0164***
INFO_FE	[1.978]	[−0.972]	[−1.733]	[−1.405]	[−3.122]	[−3.261]
Controls	Yes	Yes	Yes	Yes	Yes	Yes
No. of obs	18,991	18,991	12,891	10,690	21,560	21,560
Adj. R²/Pseudo R²	83.5%	59.7%	10.4%	8.7%	15.9%	28.4%

Panel C: Predictability of future outcomes
Dependent variable	F_INST	F_ANA	F_FERRORS	F_DISPERSION	F_ENFORCE	F_ANNLETT
	(1)	(2)	(3)	(4)	(5)	(6)
INFO_FE	0.0040**	−0.1252	−0.0019*	−0.0005	−0.0199***	−0.0164***
INFO_FE	[1.978]	[−0.972]	[−1.733]	[−1.405]	[−3.122]	[−3.261]
Controls	Yes	Yes	Yes	Yes	Yes	Yes
No. of obs	18,991	18,991	12,891	10,690	21,560	21,560
Adj. R²/Pseudo R²	83.5%	59.7%	10.4%	8.7%	15.9%	28.4%

Note(s): Table 6 replicates all the results using an alternative measure of excess disclosure quality ratings when public signals include firm fixed effects. The test variable INFO_FE is the residuals from estimating the model in column (1) of Table 2 with firm fixed effects. Panel A reports the relation between INFO_FE and market reactions to the announcement of disclosure quality ratings (CAR). Panel B reports the association between INFO_FE and market-based information quality measures (ZERORET, ILLIQ, and NCSKEW) and accounting-based information quality measures (CONSERV, PERSIST and DD). Panel C reports the relation between INFO_FE and future outcomes (F_INST, F_ANA, F_FERRORS, F_DISPERSION, F_ENFORCE and F_ANNLETT). The models in columns (5) and (6) of Panel C are Probit and the other models are OLS. Marginal effects at the mean are reported as coefficients for the Probit models. Detailed variable definitions are in Appendix 2. t-statistics or z-statistics underneath the coefficients are based on standard errors clustered at the firm. ***, **, and * denote two-tailed statistical significance at the 1%, 5%, and 10% level, respectively

Source(s): Table created by authors

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