Variables | (1) | (2) | (3) | (4) | (5) |
---|---|---|---|---|---|
Returnst+1 | Returnst+2 | Returnst+3 | Returnst+4 | Returnst+5 | |
Event*Volatility | 0.485*** | 0.0965 | 0.140** | − 0.125** | − 0.0566 |
(0.0824) | (0.0675) | (0.0641) | (0.0558) | (0.0517) | |
Event | 1.140*** | 0.377 | 1.572*** | − 1.892*** | 2.522*** |
(0.252) | (0.234) | (0.243) | (0.237) | (0.219) | |
Volatility | − 0.0477*** | 0.0493*** | 0.0188* | 0.00666 | 0.0187* |
(0.0109) | (0.00996) | (0.0101) | (0.0101) | (0.00962) | |
Past returns | − 0.0215*** | 0.0751*** | 0.0708*** | 0.0358*** | 0.0906*** |
(0.00750) | (0.00610) | (0.00589) | (0.00545) | (0.00600) | |
Age | 0.0465 | 0.0594* | 0.0583* | 0.0496 | 0.0448 |
(0.0358) | (0.0332) | (0.0343) | (0.0364) | (0.0359) | |
Size | − 0.122*** | 0.0749*** | 0.0881*** | 0.105*** | 0.112*** |
(0.0241) | (0.0268) | (0.0272) | (0.0295) | (0.0306) | |
Beta | 0.210*** | − 0.0268 | − 0.00912 | 0.0235 | − 0.00528 |
(0.0502) | (0.0462) | (0.0462) | (0.0483) | (0.0468) | |
P/E | − 0.000154 | − 0.000100 | − 0.000417 | − 0.000550 | − 0.000563 |
(0.000347) | (0.000322) | (0.000318) | (0.000357) | (0.000358) | |
P/B | 0.00732 | 0.0143*** | 0.0185*** | 0.0200*** | 0.0182*** |
(0.00456) | (0.00476) | (0.00532) | (0.00576) | (0.00561) | |
Turnover | 0.139*** | 0.00861 | − 0.0405 | 0.00163 | − 0.00104 |
(0.0287) | (0.0267) | (0.0271) | (0.0275) | (0.0276) | |
MarketCap | 0.0213 | − 0.102*** | − 0.106*** | − 0.149*** | − 0.151*** |
(0.0214) | (0.0234) | (0.0241) | (0.0263) | (0.0270) | |
ROA | 0.327 | 1.341*** | 1.442*** | 1.708*** | 1.576*** |
(0.349) | (0.362) | (0.373) | (0.394) | (0.386) | |
Age | − 0.0708 | − 0.239* | − 0.243* | − 0.275* | − 0.307* |
(0.102) | (0.138) | (0.141) | (0.153) | (0.165) | |
Constant | − 2.458*** | − 1.292*** | − 2.228*** | − 0.266 | − 0.627*** |
(0.187) | (0.173) | (0.178) | (0.188) | (0.183) | |
Observations | 49,234 | 46,322 | 44,932 | 43,597 | 42,272 |