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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
  1. Notes: *p < 0.05, **p < 0.01, ***p < 0.001