From: Foreign institutional investors and stock return comovement
 | (1) | (2) | (3) |
---|---|---|---|
IO_DOM_HIGH t-1 | −0.2191*** | − 0.2132*** | − 0.2121*** |
(−3.32) | (−3.25) | (− 3.22) | |
IO_DOM_LOW t-1 | 1.6762*** | 1.5321*** | 1.5472*** |
(9.17) | (8.48) | (8.57) | |
IO_FOR_HIGH t-1 | −0.3521*** |  |  |
(−4.64) |  |  | |
IO_FOR_LOW t-1 | 0.7960*** | Â | Â |
(6.26) | Â | Â | |
IO_FOR_COMMON_HIGH t-1 |  | −0.3331*** |  |
 | (−4.08) |  | |
IO_ FOR_COMMON_LOW t-1 |  | −0.2512 |  |
 | (−1.28) |  | |
IO_ FOR_CIVIL_HIGH t-1 |  | −0.2241 |  |
 | (− 1.20) |  | |
IO_ FOR_CIVIL_LOW t-1 | Â | 2.7762*** | Â |
 | (9.10) |  | |
IO_FOR_HASD_HIGH t-1 |  |  | −0.3291*** |
 |  | (−4.06) | |
IO_ FOR_HASD_LOW t-1 |  |  | −0.1310 |
 |  | (−0.72) | |
IO_ FOR_LASD_HIGH t-1 |  |  | −0.2330 |
 |  | (−1.21) | |
IO_ FOR_LASD_LOW t-1 | Â | Â | 3.1621*** |
 |  | (8.83) | |
SIZE t-1 | 0.0989*** | 0.1002*** | 0.0993*** |
(27.02) | (27.39) | (27.17) | |
Comovement t-1 | 0.2221*** | 0.2212*** | 0.2201*** |
(46.54) | (46.42) | (46.37) | |
MB t-1 | 0.0018 | 0.0017 | 0.0017 |
(1.33) | (1.24) | (1.269) | |
LEV t-1 | 0.1181*** | 0.1172*** | 0.1161*** |
(4.10) | (4.06) | (4.05) | |
ACCR t | −0.0001 | − 0.0000 | − 0.0000 |
(0.05) | (−0.02) | (− 0.02) | |
ROA t | −0.2282*** | − 0.2251*** | − 0.2252*** |
(−7.02) | (−6.94) | (−6.94) | |
DIVERS t | 0.0167*** | 0.0166*** | 0.0165*** |
(8.45) | (8.42) | (8.41) | |
HERF t | −0.0024 | −0.0012 | − 0.0019 |
(−0.11) | (− 0.06) | (− 0.09) | |
NIND t | − 0.1212*** | − 0.1151*** | −0.1150*** |
(−5.77) | (−5.49) | (−5.49) | |
NAF t | 0.0424*** | 0.0434*** | 0.0440*** |
(8.14) | (8.34) | (8.45) | |
TURN t | 0.3370*** | 0.3341*** | 0.3332*** |
(12.00) | (11.94) | (11.91) | |
Intercept | −1.2191*** | −1.2782*** | − 1.2723*** |
(−6.02) | (−6.29) | (−6.26) | |
No. of obs. | 54,730 | 54,730 | 54,730 |
Adjusted R 2 | 0.342 | 0.342 | 0.343 |