Light a lamp and look at the stock market

Financial Innovation

Table 1 Light a lamp and stock market returns

Variables	(1)	(2)	(3)	(4)	(5)
Variables	Returns_t+1	Returns_t+1	Returns_t+1	Returns_t+1	Returns_t+1
Panel A: Market reaction to the event
Event	9.317***	8.930***	7.403***	8.336***	9.153***
Event	(0.648)	(0.589)	(1.528)	(1.683)	(2.207)
Past returns		− 0.180	− 0.168	− 0.260*	− 0.265*
Past returns		(0.157)	(0.169)	(0.150)	(0.153)
P/E				− 14.96***	− 13.09**
P/E				(4.010)	(4.849)
P/B				129.3***	114.6***
P/B				(33.51)	(39.82)
Volume				2.242	1.394
Volume				(3.034)	(3.589)
Time					0.0852
Time					(0.114)
Constant	− 0.557	− 0.541	− 9.309*	− 50.87	− 38.19
Constant	(0.648)	(0.684)	(5.340)	(40.46)	(48.38)
Day of the week dummies	No	Yes	Yes	Yes	Yes
Month dummies	No	Yes	Yes	Yes	Yes
Observations	39	39	39	39	39
R-squared	0.122	0.154	0.338	0.569	0.574

Variables	Returns_t+2	Returns_t+3	Returns_t+4	Returns_t+5
Panel B: Reversal
Event	− 2.583	4.506	− 7.790**	3.200
Event	(2.606)	(2.853)	(3.723)	(3.264)
Controls	Yes	Yes	Yes	Yes
Observations	38	37	36	35
R-squared	0.279	0.460	0.462	0.392

This table shows the estimation result of \(r_{t + k} = \alpha + \beta Event_{t} + Controls + \varepsilon_{t + k}\) to explore the impact of light a lamp event on the stock market. Panel A uses returns at time t + 1 (k = 1) and Panel B uses returns at time t + 2 to t + 5 (k = 2 to 5). Event is a dummy variable that take value 1 for the post-event trading day; zero otherwise. Controls includes past returns, day of the week and month fixed effects; trading related variables such as price-to-earnings ratio (P/E), price-to-book value ratio (P/B) and volume and trend (Time). Robust standard errors in parentheses ***p < 0.01, **p < 0.05, *p < 0.1.