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Table 7 Information asymmetry effect

From: The effect of option trading

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

  1. The values of the standard error are in parentheses
  2. * denotes significance at the 10% level
  3. ** denotes significance at the 5% level
  4. *** denotes significance at the 1% level