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Table 2 Light a lamp, beta and returns

From: Light a lamp and look at the stock market

Variables

(1)

(2)

(3)

(4)

(5)

Returnst+1

Returnst+2

Returnst+3

Returnst+4

Returnst+5

Event*Beta

2.610***

1.432***

2.569***

0.0378

0.452*

(0.282)

(0.269)

(0.263)

(0.290)

(0.260)

Past returns

− 0.0205***

0.0735***

0.0697***

0.0357***

0.0899***

(0.00753)

(0.00611)

(0.00589)

(0.00548)

(0.00601)

Event

− 0.250

− 0.934***

− 0.939***

− 2.365***

1.803***

(0.341)

(0.327)

(0.324)

(0.359)

(0.333)

Beta

0.117**

− 0.0295

− 0.0602

0.0252

− 0.00654

(0.0503)

(0.0461)

(0.0464)

(0.0487)

(0.0474)

Age

0.0473

0.0645*

0.0624*

0.0497

0.0463

(0.0358)

(0.0334)

(0.0346)

(0.0364)

(0.0360)

Size

− 0.119***

0.0693***

0.0871***

0.104***

0.110***

(0.0243)

(0.0257)

(0.0269)

(0.0294)

(0.0302)

P/E

− 7.84e−05

− 0.000219

− 0.000471

− 0.000556

− 0.000603*

(0.000348)

(0.000317)

(0.000318)

(0.000357)

(0.000358)

P/B

0.00878*

0.0132***

0.0183***

0.0198***

0.0178***

(0.00464)

(0.00448)

(0.00522)

(0.00571)

(0.00550)

Turnover

0.132***

0.0252

− 0.0338

0.00207

0.00394

(0.0295)

(0.0265)

(0.0273)

(0.0277)

(0.0278)

MarketCap

0.0224

− 0.108***

− 0.110***

− 0.149***

− 0.153***

(0.0215)

(0.0226)

(0.0238)

(0.0262)

(0.0268)

ROA

0.223

1.419***

1.470***

1.716***

1.605***

(0.353)

(0.353)

(0.371)

(0.393)

(0.385)

Debt

− 0.0803

− 0.230*

− 0.243*

− 0.274*

− 0.305*

(0.102)

(0.126)

(0.136)

(0.153)

(0.161)

Constant

− 2.594***

− 0.990***

− 2.057***

− 0.234

− 0.516***

(0.180)

(0.166)

(0.170)

(0.180)

(0.178)

Observations

49,234

46,322

44,932

43,597

42,272

  1. This table shows the estimation result of \(r_{i,t + k} = \alpha + \beta Event_{t} + \gamma Beta_{i,t} + \delta Event_{t} *Beta_{i,t} + Controls + \varepsilon_{i,t + k}\) to explore the differential effect of light a lamp event on the stocks with different beta. Event is a dummy variable that takes value 1 for the post-event trading day; zero otherwise. Beta is the CAPM risk factor. Controls include past returns, price-to-earnings ratio (P/E), price-to-book value ratio (P/B), log of turnover (Turnover) and log of market capitalization (MarketCap), log of total assets (Size), age of the firm measured by the log of number of years since incorporated (Age), return on asset measured by the ratio of profit after tax to total assets ROA, and debt of the firm measured by the ratio of total debt to total asset (Debt). Robust standard errors in parentheses ***p < 0.01, **p < 0.05, *p < 0.1.