Variables | CAPEX | R&D | AQC | Investment | Equity issuance | Debt issuance | Total issuance | Dividend | Repurchase | Total payout | ΔCASH |
---|---|---|---|---|---|---|---|---|---|---|---|
Panel A: The bid-ask spread | |||||||||||
LOG (OV) | 0.002** (0.001) | 0.002** (0.001) | 0.001 (0.001) | 0.006** (0.003) | 0.009* (0.005) | 0.005* (0.003) | 0.014** (0.006) | 0.001 (0.001) | 0.003*** (0.001) | 0.003*** (0.001) | − 0.033*** (0.013) |
IAD*LOG (OV) | 0.003*** (0.001) | 0.002** (0.001) | 0.002** (0.001) | 0.005** (0.002) | 0.022*** (0.008) | 0.004 (0.004) | 0.018*** (0.007) | − 0.001* (0.001) | − 0.005*** (0.001) | − 0.006*** (0.001) | − 0.009 (0.007) |
Other controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Within R2 | 0.129 | 0.198 | 0.042 | 0.087 | 0.204 | 0.073 | 0.201 | 0.039 | 0.058 | 0.066 | 0.049 |
N | 8539 | 8539 | 8539 | 8539 | 8539 | 8539 | 8539 | 8539 | 8539 | 8539 | 8332 |
Panel B: The adverse selection component in the BID-ASK SPREAD | |||||||||||
LOG (OV) | 0.002 (0.001) | 0.001 (0.001) | 0.002* (0.001) | 0.005* (0.003) | 0.023*** (0.007) | 0.001 (0.002) | 0.025*** (0.007) | 0.000 (0.002) | 0.001 (0.001) | 0.001 (0.001) | 0.002 (0.011) |
IAD*LOG (OV) | 0.004*** (0.001) | 0.002** (0.001) | 0.002** (0.001) | 0.007*** (0.003) | 0.017*** (0.006) | 0.007*** (0.002) | 0.024*** (0.007) | − 0.004** (0.002) | − 0.002*** (0.001) | − 0.002*** (0.001) | − 0.018** (0.008) |
Other controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Within R2 | 0.105 | 0.160 | 0.057 | 0.064 | 0.091 | 0.080 | 0.130 | 0.046 | 0.062 | 0.079 | 0.054 |
N | 8807 | 8807 | 8807 | 8807 | 8807 | 8807 | 8807 | 8807 | 8807 | 8807 | 8643 |
Panel A: The Amihud’s (2002) illiquidity | |||||||||||
Variables | CAPEX | R&D | AQC | Investment | Equity issuance | Debt issuance | Total issuance | Dividend | Repurchase | Total payout | ΔCash |
LOG (OV) | 0.006*** (0.001) | 0.004*** (0.001) | 0.002* (0.001) | 0.012** (0.003) | 0.030* (0.008) | 0.005* (0.003) | 0.035*** (0.008) | 0.002*** (0.000) | 0.002 (0.008) | 0.002* (0.001) | − 0.005 (0.004) |
IAD*LOG (OV) | 0.005*** (0.002) | 0.003* (0.002) | 0.001* (0.001) | 0.007*** (0.003) | 0.009* (0.005) | 0.006* (0.003) | 0.015* (0.008) | − 0.008*** (0.002) | − 0.003*** (0.002) | − 0.007** (0.003) | − 0.042*** (0.014) |
Other controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Within R2 | 0.105 | 0.171 | 0.058 | 0.052 | 0.091 | 0.058 | 0.085 | 0.076 | 0.082 | 0.103 | 0.026 |
N | 8952 | 8952 | 8952 | 8952 | 8952 | 8952 | 8952 | 8952 | 8952 | 8952 | 8816 |
Panel D: The ratio of zero and missing returns days to total days | |||||||||||
LOG (OV) | 0.002*** (0.001) | 0.003*** (0.001) | 0.001** (0.000) | 0.002** (0.001) | 0.015** (0.007) | 0.004* (0.002) | 0.016*** (0.006) | 0.000 (0.001) | 0.001 (0.001) | 0.001 (0.001) | − 0.003 (0.003) |
IAD*LOG (OV) | 0.002*** (0.001) | 0.004*** (0.001) | 0.005*** (0.002) | 0.006*** (0.002) | 0.026*** (0.007) | 0.005* (0.003) | 0.031*** (0.007) | − 0.003** (0.002) | − 0.001* (0.001) | − 0.004** (0.002) | − 0.027*** (0.011) |
Other controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Within R2 | 0.151 | 0.219 | 0.021 | 0.087 | 0.108 | 0.087 | 0.122 | 0.048 | 0.053 | 0.067 | 0.021 |
N | 7901 | 7901 | 7901 | 7901 | 7901 | 7901 | 7901 | 7901 | 7901 | 7901 | 7752 |
Panel E: The absolute value of earnings surprises | |||||||||||
LOG (OV) | 0.001 (0.003) | 0.001 (0.001) | 0.001 (0.001) | 0.003* (0.002) | 0.006 (0.005) | 0.012*** (0.003) | 0.019*** (0.007) | 0.001 (0.001) | 0.001 (0.005) | 0.002 (0.002) | 0.010 (0.010) |
IAD*LOG (OV) | 0.004*** (0.001) | 0.006*** (0.002) | 0.003*** (0.001) | 0.008*** (0.003) | 0.015*** (0.005) | 0.013*** (0.003) | 0.027*** (0.007) | − 0.003*** (0.001) | − 0.002* (0.001) | − 0.005*** (0.001) | − 0.059*** (0.013) |
Other controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Within R2 | 0.126 | 0.386 | 0.034 | 0.104 | 0.313 | 0.131 | 0.319 | 0.060 | 0.075 | 0.093 | 0.031 |
N | 8917 | 8917 | 8917 | 8917 | 8917 | 8917 | 8917 | 8917 | 8917 | 8917 | 8772 |