Table 4 Regressions of price impact
From: Major government customer and management earnings forecasts
Whole sample | Subsamples | ||||
|---|---|---|---|---|---|
Model 1 | Model 2 | Negative surprise | Match | Positive surprise | |
Intercept | 0.012 | 0.052* | −0.041 | 0.038 | 0.065* |
(0.50) | (1.92) | (−1.24) | (1.15) | (1.65) | |
GOV | 0.007 | 0.009 | 0.001 | 0.020* | −0.009 |
(0.95) | (1.39) | (0.06) | (1.76) | (−0.58) | |
Surprise | 0.366*** | 0.376*** | 0.198*** | 1.130 | 0.044 |
(6.46) | (7.00) | (3.76) | (0.92) | (0.30) | |
GOV×Surprise | 0.303** | 0.290** | 0.235* | 0.616 | 0.324 |
(2.44) | (2.41) | (1.82) | (0.32) | (1.32) | |
BMR | 0.033*** | 0.023** | 0.054*** | 0.005 | 0.021 |
(2.99) | (2.06) | (3.93) | (0.24) | (1.16) | |
ROA | −0.050 | −0.063* | −0.089* | 0.093** | −0.074 |
(−1.39) | (−1.75) | (−1.88) | (2.09) | (−1.25) | |
SIZE | −0.000 | −0.000 | 0.004 | −0.007** | − 0.005 |
(−0.06) | (− 0.05) | (1.29) | (−2.18) | (−1.22) | |
RETVOL | −0.538* | −0.872*** | −1.540*** | 0.029 | 0.388 |
(−1.95) | (−2.66) | (−4.27) | (0.06) | (0.85) | |
LOSS | −0.035*** | −0.031*** | − 0.020* | −0.024** | − 0.050*** |
(−4.08) | (−3.71) | (−1.84) | (−1.99) | (−2.82) | |
GROWTH | −0.014 | −0.023* | − 0.023 | −0.044* | 0.042 |
(−1.10) | (−1.84) | (−0.99) | (− 1.93) | (1.59) | |
LEV | 0.020 | 0.009 | 0.049** | 0.019 | −0.037* |
(1.28) | (0.64) | (2.08) | (0.72) | (−1.69) | |
AGE | −0.002 | −0.005 | − 0.001 | 0.005 | 0.002 |
(−0.30) | (−0.96) | (− 0.09) | (0.72) | (0.36) | |
Industry FE | No | Yes | No | No | No |
Year FE | No | Yes | No | No | No |
Clustered error | Yes | Yes | Yes | Yes | Yes |
No. of obs. | 1149 | 1149 | 578 | 282 | 289 |
Adj. R2 | 0.051 | 0.067 | 0.084 | 0.031 | 0.036 |