From: Does supplier concentration matter to investors during the COVID-19 crisis: evidence from China?
Variables | R[− 1, 1] All | R[− 2, 2] All | R[− 1, 1] Secondary | R[− 2, 2] Secondary | R[− 1, 1] All | R[− 2, 2] All | \({R}^{^{\prime}}\)[− 1, 1] All | \({R}^{^{\prime}}\)[− 2, 2] All |
---|---|---|---|---|---|---|---|---|
Panel A: cumulative raw return (R) with SI_adjusted as main variable | Panel B: cumulative raw return (R) and cumulative market-adjusted return (\({R}^{^{\prime}}\)) with SI_adjusted, RevDis_dummy, and SI_adjusted x RevDis_dummy as main variables | |||||||
SI_adjusted | − 0.014 ** (− 2.31) | − 0.019** (− 2.31) | − 0.018** (− 2.51) | − 0.023** (− 2.25) | − 0.020** (− 2.35) | − 0.025 (− 1.43) | − 0.024 (− 0.68) | − 0.032 (− 0.73) |
RevDis_dummy | 0.532 (1.32) | 0.412 (0.81) | 0.714* (1.89) | 0.431 (1.25) | ||||
SI_adjusted x RevDis_dummy | − 0.027 (− 1.44) | − 0.029 (− 1.12) | − 0.040 (− 1.17) | − 0.061 (− 1.27) | ||||
LnAsset | 1.524*** (3.76) | 1.897*** (3.22) | 1.679** (2.56) | 2.011** (2.35) | 1.865*** (3.79) | 2.124*** (3.03) | 1.898** (2.16) | 2.267 (1.65) |
BM | − 7.023*** (− 3.56) | − 6.573*** (− 3.46) | − 7.347*** (− 3.23) | − 4.259*** (− 3.25) | − 7.276*** (− 3.21) | − 6.031*** (− 3.28) | 7.986*** (− 3.56) | 5.147*** (− 3.33) |
Leverage | − 3.765 (0.62) | − 3.535 (0.04) | − 4.098 (0.06) | − 4.572 (− 0.67) | − 3.589 (0.61) | − 3.352 (0.05) | − 4.572 (0.09) | − 4.375 (− 0.75) |
Constant | − 3.654 (0.77) | − 2.478 (0.81) | − 2.179 (0.43) | − 2.017 (0.74) | − 3.089 (0.75) | − 2.243 (0.78) | − 2.135 (0.51) | − 1.986 (0.58) |
Location FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Observations | 1965 | 1965 | 1558 | 1558 | 1965 | 1965 | 1965 | 1965 |
R-squared | 0.154 | 0.134 | 0.124 | 0.137 | 0.176 | 0.145 | 0.165 | 0.147 |