Table 6 Market reaction to the...

Table 6

Market reaction to the announcements of TPC and IFRS financial statements (Different Subsamples)

Date	Financial firms excluded (n = 283)		Financial firms only (n = 132)		High time lag between TPC-IFRS (n = 200)		Low time lag between TPC-IFRS (n = 215)
Date	CAR (%)	t-test Prob	CAR (%)	t-test Prob	CAR (%)	t-test Prob	CAR (%)	t-test Prob
Panel A1: TPC financial statements (financial sector subsample)					Panel B1: TPC financial statements (time lag subsample)
(−20,20)	−1.18	0.2335	−2.37	0.0901*	−1.73	0.1610	−1.86	0.1016
(−10,10)	−0.88	0.1765	−1.30	0.1559	−1.03	0.2015	−1.55	0.0394**
(−5,5)	−0.68	0.1309	−1.44	0.0247**	−1.23	0.0294**	−1.50	0.0044***
(−3,3)	−0.84	0.0185**	−0.72	0.1453	−1.00	0.0234**	−1.41	0.0006***
(−2,2)	−0.54	0.0690*	−0.41	0.3263	−0.39	0.2901	−1.09	0.0016***
(−1,1)	−0.45	0.0504*	−0.16	0.6134	−0.26	0.3525	−0.58	0.0257**
(0,10)	−0.23	0.6162	−0.36	0.5747	−0.04	0.9404	−0.42	0.4147
(0,5)	−0.26	0.4165	−0.49	0.2895	−0.27	0.5045	−0.56	0.1336
(0,3)	−0.75	0.0053***	−0.39	0.2922	−0.44	0.1799	−0.92	0.0027***
(0,20)	−1.67	0.0128**	−2.00	0.0325**	−1.75	0.0337**	−1.84	0.0159**
(12,20)	−1.66	0.0000***	−1.95	0.0010***	−1.82	0.0005***	−1.73	0.0003***
(−5,20)	−2.08	0.0061***	−2.95	0.0057***	−2.71	0.0041***	−2.78	0.0015***
(−7,20)	−2.65	0.0010***	−3.05	0.0063***	−2.92	0.0031***	−3.16	0.0006***
Panel A2: IFRS financial statements (financial sector subsample)					Panel B2: IFRS financial statements (time lag subsample)
(−20,20)	−1.83	0.0715*	−0.96	0.4959	−2.86	0.0233**	−2.32	0.0425**
(−10,10)	−1.19	0.0773*	−1.01	0.2790	−1.81	0.0312**	−1.87	0.0136**
(−5,5)	−1.32	0.0053***	−1.17	0.0704*	−1.73	0.0031***	−0.99	0.0558*
(−3,3)	−1.22	0.0010***	−1.04	0.0395**	−1.97	0.0000***	−0.78	0.0544*
(−2,2)	−1.17	0.0002***	−1.12	0.0087***	−1.68	0.0000***	−0.54	0.1120
(−1,1)	−0.66	0.0051***	−0.69	0.0323**	−0.94	0.0014***	−0.06	0.8311
(0,10)	−0.71	0.1258	−0.77	0.2360	−0.98	0.0881*	−1.22	0.0200**
(0,5)	−0.98	0.0040***	−1.33	0.0049***	−1.35	0.0015***	−0.81	0.0306**
(0,3)	−0.87	0.0015***	−1.00	0.0085***	−1.33	0.0001***	−0.51	0.0880*
(0,20)	0.11	0.8684	−0.14	0.8837	−0.67	0.4139	−0.88	0.2422
(12,20)	0.78	0.0623*	0.48	0.4106	0.28	0.5781	0.39	0.4059
(−5,20)	−0.22	0.7679	0.02	0.9840	−1.06	0.2593	−1.07	0.2149
(−7,20)	−0.16	0.8412	−0.31	0.7786	−1.13	0.2527	−0.96	0.2842

Date	Financial firms excluded (n = 283)		Financial firms only (n = 132)		High time lag between TPC-IFRS (n = 200)		Low time lag between TPC-IFRS (n = 215)
Date	CAR (%)	t-test Prob	CAR (%)	t-test Prob	CAR (%)	t-test Prob	CAR (%)	t-test Prob
Panel A1: TPC financial statements (financial sector subsample)					Panel B1: TPC financial statements (time lag subsample)
(−20,20)	−1.18	0.2335	−2.37	0.0901*	−1.73	0.1610	−1.86	0.1016
(−10,10)	−0.88	0.1765	−1.30	0.1559	−1.03	0.2015	−1.55	0.0394**
(−5,5)	−0.68	0.1309	−1.44	0.0247**	−1.23	0.0294**	−1.50	0.0044***
(−3,3)	−0.84	0.0185**	−0.72	0.1453	−1.00	0.0234**	−1.41	0.0006***
(−2,2)	−0.54	0.0690*	−0.41	0.3263	−0.39	0.2901	−1.09	0.0016***
(−1,1)	−0.45	0.0504*	−0.16	0.6134	−0.26	0.3525	−0.58	0.0257**
(0,10)	−0.23	0.6162	−0.36	0.5747	−0.04	0.9404	−0.42	0.4147
(0,5)	−0.26	0.4165	−0.49	0.2895	−0.27	0.5045	−0.56	0.1336
(0,3)	−0.75	0.0053***	−0.39	0.2922	−0.44	0.1799	−0.92	0.0027***
(0,20)	−1.67	0.0128**	−2.00	0.0325**	−1.75	0.0337**	−1.84	0.0159**
(12,20)	−1.66	0.0000***	−1.95	0.0010***	−1.82	0.0005***	−1.73	0.0003***
(−5,20)	−2.08	0.0061***	−2.95	0.0057***	−2.71	0.0041***	−2.78	0.0015***
(−7,20)	−2.65	0.0010***	−3.05	0.0063***	−2.92	0.0031***	−3.16	0.0006***
Panel A2: IFRS financial statements (financial sector subsample)					Panel B2: IFRS financial statements (time lag subsample)
(−20,20)	−1.83	0.0715*	−0.96	0.4959	−2.86	0.0233**	−2.32	0.0425**
(−10,10)	−1.19	0.0773*	−1.01	0.2790	−1.81	0.0312**	−1.87	0.0136**
(−5,5)	−1.32	0.0053***	−1.17	0.0704*	−1.73	0.0031***	−0.99	0.0558*
(−3,3)	−1.22	0.0010***	−1.04	0.0395**	−1.97	0.0000***	−0.78	0.0544*
(−2,2)	−1.17	0.0002***	−1.12	0.0087***	−1.68	0.0000***	−0.54	0.1120
(−1,1)	−0.66	0.0051***	−0.69	0.0323**	−0.94	0.0014***	−0.06	0.8311
(0,10)	−0.71	0.1258	−0.77	0.2360	−0.98	0.0881*	−1.22	0.0200**
(0,5)	−0.98	0.0040***	−1.33	0.0049***	−1.35	0.0015***	−0.81	0.0306**
(0,3)	−0.87	0.0015***	−1.00	0.0085***	−1.33	0.0001***	−0.51	0.0880*
(0,20)	0.11	0.8684	−0.14	0.8837	−0.67	0.4139	−0.88	0.2422
(12,20)	0.78	0.0623*	0.48	0.4106	0.28	0.5781	0.39	0.4059
(−5,20)	−0.22	0.7679	0.02	0.9840	−1.06	0.2593	−1.07	0.2149
(−7,20)	−0.16	0.8412	−0.31	0.7786	−1.13	0.2527	−0.96	0.2842

Note(s): This table presents the event study results corresponding to the market reaction to the disclosure of TPC and IFRS financial statements based on different subsamples. CAR is average cumulative abnormal returns. ***, **, and * denote 1%, 5%, and 10% significance levels, respectively

Source(s): Authors’ own work

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