Employee stock ownership plan and stock price crash risk

Frontiers of Business Research in China

Table 5 Stock price performance and investor trading behavior after negative information disclosure

Variable	ESOP Firms (1)		Matched Samples (2)		Difference (1)–(2)
Variable	Means	No. of obs.	Means	No. of obs.	Means	t-value
CAR (0,5)	−0.126	706	−0.153	715	0.027^a	(8.33)
Stto	0.477	706	0.781	715	−0.304^a	(15.98)

Notes. This table presents the difference in price performance and investor trading behavior between ESOP firms and their matched ones after the disclosure of negative information using a t-test method CAR (0,5) is the cumulative abnormal returns adjusted by market line in the 5 days after bad news is disclosed, which measures stock price performance. Stto is firms’ stock turnover ratio in the 30 trading days after negative information disclosure to measure investor trading behavior. Here ^aindicate statistical significance at the 1% levels