Table 9 Variable descripition
Variable | Description |
|---|---|
Syn i,t | Syni,t is stock price synchronicity for firm i during year t, Syn = log (R2 / (1–R2)), where R2 is the coefficient of determination from the estimation of model (1) using daily return of the Shanghai and Shenzhen Exchange stocks with a minimum of 30 daily observations. |
Ad i,t | Advertising intensity, calculated by the advertising expenses scaled by the sales revenue in year t. |
Debt i,t | Firm financial leverage, calculated by the book value of total liabilities divided by the book value of total assets in year t. |
Size i,t | The natural logarithm of the book value of total assets in year t. |
Mb i,t | Market to book ratio, calculated by the sum of the market value of tradable shares and book value of non-tradable shares divided by the book value of total assets in year t. |
Turnover i,t | The total number of shares traded in a year divided by the total number of shares outstanding at the end of year t. |
Big4 i,t | A dummy variable that equals 1 if the firm hires an international Big4 accounting firm in year t and 0 otherwise. |
Age i,t | The number of years from IPO for firm i. |
Roa i,t | Return on assets, calculated by net profit divided by the book value of total assets in year t. |
Institution i,t | The percentage of shares held by institutional owners in year t. |
Top1 i,t | The percentage of shares owned by the largest shareholder in year t. |
Msh i,t | A dummy variable that equals 1 if top managers hold shares and 0 otherwise. |
Independent i,t | The percentage of independent directors on a board in year t. |
IV_Ad i,t | The mean of advertising intensity of firms in the same industry for firm i in year t, excluding the firm i. |
Ad_1 i,t | Advertising expenditure scaled by total assets in year t. |
Ad_2 i,t | The natural logarithm of one plus advertising expenditure in year t. |
RD i,t | R&D intensity, calculated by the R&D expenditure divided by net sales for firm i in year t. |
DISPEN i,t | The standard deviation of all earnings estimates across analysts covering firm i in year t. |
ILLIQ i,t | Stock illiquidity, calculated by the square root of the absolute value of stock return divided by trade volume for firm i in year t. |
CONSU i,t | A dummy variable that equals 1 if the industry of firm i is classified as “consumer discretionary” or “consumer staples” in WIND database and 0 otherwise. |
R i,t | Cumulative buy-and-hold return for firm i in year t. |
Earnings i,t | The income scaled by beginning market value of equity for firm i in year t. |
Bm i,t | Book-to-market ratio at the beginning of year t. |
Growth i,t | The growth rate in sales revenue from the beginning of the year to the end of year t. |
Coverage i,t | The natural logarithm of the sum of the number of analysts covering firm i plus 1 in year t. |
HHI i,t | The sum of squared market shares of all firms in an industry for firm i in year t. |
Indn i,t | The number of competitors in the same industry for firm i in year t. |