OLS regression results
| All | Egypt | Malaysia | Pakistan | Saudi Arabia | Turkey | |
|---|---|---|---|---|---|---|
| Panel A CAR (0, 10) and TDTA | ||||||
| TDTA | −0.0603* (−1.7451) | −0.2785** (−2.0309) | 0.0323 (0.4932) | 0.0840 (0.9226) | 0.0514 (0.7909) | −0.0695 (−1.3745) |
| _cons | −3.2520** (−2.3474) | 3.1951 (0.7578) | −2.2033 (−0.9988) | −8.5702** (−2.5375) | −6.0312** (−2.1487) | −4.4596* (−1.9666) |
| N | 280 | 46 | 42 | 37 | 26 | 129 |
| R2 | 0.011 | 0.086 | 0.006 | 0.024 | 0.025 | 0.015 |
| All | Egypt | Malaysia | Pakistan | Saudi Arabia | Turkey | |
|---|---|---|---|---|---|---|
| TDTA | −0.0603* (−1.7451) | −0.2785** (−2.0309) | 0.0323 (0.4932) | 0.0840 (0.9226) | 0.0514 (0.7909) | −0.0695 (−1.3745) |
| _cons | −3.2520** (−2.3474) | 3.1951 (0.7578) | −2.2033 (−0.9988) | −8.5702** (−2.5375) | −6.0312** (−2.1487) | −4.4596* (−1.9666) |
| 280 | 46 | 42 | 37 | 26 | 129 | |
| 0.011 | 0.086 | 0.006 | 0.024 | 0.025 | 0.015 |
| All | Egypt | Malaysia | Pakistan | Saudi Arabia | Turkey | |
|---|---|---|---|---|---|---|
| Panel B CAR(0, 5) and TDTA | ||||||
| TDTA | −0.0484* (−1.6907) | −0.1826* (−1.7908) | 0.0032 (0.0593) | 0.0414 (0.5463) | 0.0556 (1.0131) | −0.0568 (−1.3154) |
| _cons | −2.6754** (−2.3289) | 1.5435 (0.4922) | −1.5916 (−0.8694) | −5.5376* (−1.9690) | −4.5690* (−1.9288) | −3.8541** (−1.9887) |
| N | 280 | 46 | 42 | 37 | 26 | 129 |
| R2 | 0.010 | 0.068 | 0.000 | 0.008 | 0.041 | 0.013 |
| All | Egypt | Malaysia | Pakistan | Saudi Arabia | Turkey | |
|---|---|---|---|---|---|---|
| TDTA | −0.0484* (−1.6907) | −0.1826* (−1.7908) | 0.0032 (0.0593) | 0.0414 (0.5463) | 0.0556 (1.0131) | −0.0568 (−1.3154) |
| _cons | −2.6754** (−2.3289) | 1.5435 (0.4922) | −1.5916 (−0.8694) | −5.5376* (−1.9690) | −4.5690* (−1.9288) | −3.8541** (−1.9887) |
| 280 | 46 | 42 | 37 | 26 | 129 | |
| 0.010 | 0.068 | 0.000 | 0.008 | 0.041 | 0.013 |
| All_CAR (0, 5) | All_CAR (0, 10) | Egypt_CAAR (0, 5) | Egypt_CAAR (0, 10) | |
|---|---|---|---|---|
| Panel C proxy for the leverage level (TDTC) | ||||
| TDTC | −0.0102 (−0.7341) | −0.0138 (−0.8258) | −0.1059* (−1.6896) | −0.1603* (−1.8976) |
| _cons | −3.7780*** (−4.2592) | −4.5582*** (−4.2579) | 1.1129 (0.3724) | 2.4895 (0.6181) |
| N | 283 | 283 | 47 | 47 |
| R2 | 0.002 | 0.002 | 0.060 | 0.074 |
| All_CAR (0, 5) | All_CAR (0, 10) | Egypt_CAAR (0, 5) | Egypt_CAAR (0, 10) | |
|---|---|---|---|---|
| TDTC | −0.0102 (−0.7341) | −0.0138 (−0.8258) | −0.1059* (−1.6896) | −0.1603* (−1.8976) |
| _cons | −3.7780*** (−4.2592) | −4.5582*** (−4.2579) | 1.1129 (0.3724) | 2.4895 (0.6181) |
| 283 | 283 | 47 | 47 | |
| 0.002 | 0.002 | 0.060 | 0.074 |
Note(s): CAR refers to cumulative abnormal returns; TDTA is the total-debt-to-total-assets ratio. TDTC stands for the total-debt-to-total-capital ratio. (0, 10) and (0, 5) are event windows for after announcement periods t statistics in parentheses. * p < 0.1, **p < 0.05, ***p < 0.01
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