Light a lamp and look at the stock market

Financial Innovation

Table 5 Light a lamp, size and returns

Variables	(1)	(2)	(3)	(4)	(5)
Variables	Returns_t+1	Returns_t+2	Returns_t+3	Returns_t+4	Returns_t+5
Event*Size	0.463***	0.0575	0.239***	− 0.128**	0.0332
Event*Size	(0.0712)	(0.0621)	(0.0660)	(0.0631)	(0.0574)
Event	− 1.308**	0.238	− 0.0481	− 1.183**	2.041***
Event	(0.648)	(0.583)	(0.636)	(0.600)	(0.550)
Size	− 0.129***	0.0674***	0.0793***	0.108***	0.109***
Size	(0.0243)	(0.0256)	(0.0269)	(0.0296)	(0.0302)
Past returns	− 0.0196***	0.0739***	0.0704***	0.0356***	0.0900***
Past returns	(0.00753)	(0.00611)	(0.00589)	(0.00548)	(0.00601)
Beta	− 7.51e−05	− 0.000215	− 0.000468	− 0.000554	− 0.000601*
Beta	(0.000347)	(0.000317)	(0.000318)	(0.000357)	(0.000358)
P/E	0.00867*	0.0131***	0.0181***	0.0198***	0.0177***
P/E	(0.00461)	(0.00446)	(0.00517)	(0.00571)	(0.00549)
P/B	0.131***	0.0255	− 0.0324	0.00185	0.00415
P/B	(0.0293)	(0.0264)	(0.0270)	(0.0277)	(0.0277)
Turnover	0.0217	− 0.108***	− 0.109***	− 0.149***	− 0.153***
Turnover	(0.0213)	(0.0225)	(0.0237)	(0.0262)	(0.0268)
MarketCap	0.250	1.426***	1.481***	1.717***	1.608***
MarketCap	(0.352)	(0.352)	(0.370)	(0.394)	(0.384)
ROA	0.0458	0.0634*	0.0604*	0.0494	0.0459
ROA	(0.0356)	(0.0333)	(0.0344)	(0.0364)	(0.0360)
Age	− 0.0786	− 0.228*	− 0.239*	− 0.274*	− 0.304*
Age	(0.102)	(0.126)	(0.136)	(0.153)	(0.161)
Debt	− 2.561***	− 1.015***	− 2.067***	− 0.268	− 0.520***
Debt	(0.179)	(0.165)	(0.168)	(0.179)	(0.176)
Constant	− 7.51e−05	− 0.000215	− 0.000468	− 0.000554	− 0.000601*
Constant	(0.000347)	(0.000317)	(0.000318)	(0.000357)	(0.000358)
Observations	49,234	46,322	44,932	43,597	42,272

This table shows the estimation result of \(r_{i,t + k} = \alpha + \beta Event_{t} + \gamma {\text{Size}}_{i,t} + \delta Event_{t} *{\text{Size}}_{i,t} + Controls + \varepsilon_{i,t + k}\) to explore the differential effect of light a lamp event on the stocks with different size. Event is a dummy variable that takes value 1 for the post-event trading day; zero otherwise. Size is log of total assets. 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), 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.