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

From: Employee stock ownership plan and stock price crash risk

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