Table 4 Effect of investor protection...

Table 4

Effect of investor protection and firm transparency on stock return performance

Variable	STD			IVOL			RETURN
	BIG4	ANALYST	EM	BIG4	ANALYST	EM	BIG4	ANALYST	EM
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
ADRI	−0.061***	−0.058***	−0.047***	−0.052***	−0.047***	−0.038***	−0.147***	−0.146***	−0.157***
ADRI	(0.003)	(0.003)	(0.003)	(0.003)	(0.002)	(0.002)	(0.011)	(0.014)	(0.012)
FT	−0.115***	0.001	0.00001*	−0.108***	0.006**	0.00001*	0.110***	0.035***	0.000004
FT	(0.006)	(0.003)	(0.00001)	(0.006)	(0.003)	(0.00001)	(0.008)	(0.006)	(0.00001)
FT*ADRI	0.020***	0.010***	−0.00001*	0.019***	0.010***	−0.0001*	−0.014***	−0.005***	−0.000002
FT*ADRI	(0.001)	(0.001)	(0.00001)	(0.001)	(0.001)	(0.00004)	(0.002)	(0.001)	(0.00001)
MV	−0.160***	−0.207***	−0.176***	−0.157***	−0.203***	−0.174***	−0.023***	−0.003	−0.020***
MV	(0.004)	(0.010)	(0.005)	(0.004)	(0.010)	(0.005)	(0.002)	(0.003)	(0.002)
ROA	−0.036***	−0.054***	−0.040***	−0.034***	−0.050***	−0.037***	0.069***	0.129***	0.092***
ROA	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.001)	(0.004)	(0.012)	(0.005)
MB	0.002***	0.002***	0.003***	0.002***	0.002***	0.003***	−0.001***	−0.0001	−0.001***
MB	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0003)	(0.001)	(0.0004)
CH	−0.036***	−0.005	−0.034***	−0.030***	0.004	−0.028***	0.106***	0.032***	0.099***
CH	(0.005)	(0.004)	(0.005)	(0.005)	(0.004)	(0.005)	(0.008)	(0.009)	(0.008)
LIQUID	0.009***	−0.001*	0.007***	0.012***	0.003***	0.011***	−0.017***	−0.009***	−0.018***
LIQUID	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.002)	(0.001)
PRICE	−0.015***	−0.006***	−0.014***	−0.014***	−0.005***	−0.013***	−0.041***	−0.048***	−0.042***
PRICE	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)
GDP	0.001	0.0002	0.0003	0.001	0.002***	0.001	−0.026***	−0.034***	−0.026***
GDP	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.002)	(0.001)
MCAP	−0.0001***	0.0001***	−0.0001***	−0.0001***	0.0001***	−0.0001***	−0.001***	−0.002***	−0.001***
MCAP	(0.00002)	(0.00002)	(0.00002)	(0.00002)	(0.00002)	(0.00002)	(0.0001)	(0.0001)	(0.0001)
PCREDIT	−0.0003***	−0.0005***	−0.0002**	−0.0002***	−0.0003***	−0.0001*	−0.004***	−0.004***	−0.005***
PCREDIT	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0002)	(0.0002)	(0.0002)
Constant	1.642***	1.647***	1.588***	1.569***	1.5197***	1.509***	1.349***	1.119***	1.277***
Constant	(0.033)	(0.035)	(0.032)	(0.032)	(0.034)	(0.031)	(0.067)	(0.067)	(0.064)
Observations	156,982	84,785	148,363	156,993	84,785	148,367	156,523	84,287	147,840
R-squared	0.430	0.345	0.396	0.455	0.365	0.420	0.037	0.044	0.038
Fixed effects	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY
Robust and clustered S.E	YES	YES	YES	YES	YES	YES	YES	YES	YES

Variable	STD			IVOL			RETURN
	BIG4	ANALYST	EM	BIG4	ANALYST	EM	BIG4	ANALYST	EM
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
ADRI	−0.061***	−0.058***	−0.047***	−0.052***	−0.047***	−0.038***	−0.147***	−0.146***	−0.157***
ADRI	(0.003)	(0.003)	(0.003)	(0.003)	(0.002)	(0.002)	(0.011)	(0.014)	(0.012)
FT	−0.115***	0.001	0.00001*	−0.108***	0.006**	0.00001*	0.110***	0.035***	0.000004
FT	(0.006)	(0.003)	(0.00001)	(0.006)	(0.003)	(0.00001)	(0.008)	(0.006)	(0.00001)
FT*ADRI	0.020***	0.010***	−0.00001*	0.019***	0.010***	−0.0001*	−0.014***	−0.005***	−0.000002
FT*ADRI	(0.001)	(0.001)	(0.00001)	(0.001)	(0.001)	(0.00004)	(0.002)	(0.001)	(0.00001)
MV	−0.160***	−0.207***	−0.176***	−0.157***	−0.203***	−0.174***	−0.023***	−0.003	−0.020***
MV	(0.004)	(0.010)	(0.005)	(0.004)	(0.010)	(0.005)	(0.002)	(0.003)	(0.002)
ROA	−0.036***	−0.054***	−0.040***	−0.034***	−0.050***	−0.037***	0.069***	0.129***	0.092***
ROA	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.001)	(0.004)	(0.012)	(0.005)
MB	0.002***	0.002***	0.003***	0.002***	0.002***	0.003***	−0.001***	−0.0001	−0.001***
MB	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0003)	(0.001)	(0.0004)
CH	−0.036***	−0.005	−0.034***	−0.030***	0.004	−0.028***	0.106***	0.032***	0.099***
CH	(0.005)	(0.004)	(0.005)	(0.005)	(0.004)	(0.005)	(0.008)	(0.009)	(0.008)
LIQUID	0.009***	−0.001*	0.007***	0.012***	0.003***	0.011***	−0.017***	−0.009***	−0.018***
LIQUID	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.002)	(0.001)
PRICE	−0.015***	−0.006***	−0.014***	−0.014***	−0.005***	−0.013***	−0.041***	−0.048***	−0.042***
PRICE	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)	(0.002)
GDP	0.001	0.0002	0.0003	0.001	0.002***	0.001	−0.026***	−0.034***	−0.026***
GDP	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.002)	(0.001)
MCAP	−0.0001***	0.0001***	−0.0001***	−0.0001***	0.0001***	−0.0001***	−0.001***	−0.002***	−0.001***
MCAP	(0.00002)	(0.00002)	(0.00002)	(0.00002)	(0.00002)	(0.00002)	(0.0001)	(0.0001)	(0.0001)
PCREDIT	−0.0003***	−0.0005***	−0.0002**	−0.0002***	−0.0003***	−0.0001*	−0.004***	−0.004***	−0.005***
PCREDIT	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0002)	(0.0002)	(0.0002)
Constant	1.642***	1.647***	1.588***	1.569***	1.5197***	1.509***	1.349***	1.119***	1.277***
Constant	(0.033)	(0.035)	(0.032)	(0.032)	(0.034)	(0.031)	(0.067)	(0.067)	(0.064)
Observations	156,982	84,785	148,363	156,993	84,785	148,367	156,523	84,287	147,840
R-squared	0.430	0.345	0.396	0.455	0.365	0.420	0.037	0.044	0.038
Fixed effects	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY	CIY
Robust and clustered S.E	YES	YES	YES	YES	YES	YES	YES	YES	YES

Note(s): This table presents the effect of firm transparency on the relationship between investor protection (ADRI) and stock performance. Firm transparency (FT) variables include: BIG4, ANALYST and EM, respectively. The dependent variable is the standard deviation of stock return (STD) for columns (1)–(3), idiosyncratic risk (IVOL) for columns (4)–(6), and stock return (RETURN) for columns (7)–(9). Control variables enter the regressions with a one-year lag. All regressions control for country, year-, and industry-fixed effects. Robust standard errors are in parentheses. Superscripts *, ** and *** indicate significance at the 10%, 5% and 1%, respectively

Source(s): Authors' own work

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