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 |