| (1) | (2) | (3) | (4) |
---|
DailySprd1 | DailySprd2 |
---|
HSSC | 0.0022*** | 0.0021*** | 0.0019*** | 0.0018*** |
| (6.69) | (7.21) | (6.34) | (7.03) |
Size | | 0.0028*** | | 0.0025*** |
| | (16.80) | | (16.44) |
Lev | | − 0.0077*** | | − 0.0069*** |
| | (− 10.44) | | (− 10.31) |
ROA | | 0.0009 | | 0.0001 |
| | (0.35) | | (0.03) |
Cash_vol | | − 0.0004*** | | − 0.0003*** |
| | (− 3.31) | | (− 3.07) |
Loss | | 0.0005 | | 0.0005 |
| | (1.21) | | (1.26) |
Age | | 0.0006*** | | 0.0005*** |
| | (3.50) | | (3.18) |
Opinion | | 0.0003 | | 0.0002 |
| | (0.46) | | (0.30) |
Analyst | | − 0.0010*** | | − 0.0010*** |
| | (− 8.64) | | (− 9.85) |
Turnover | | − 0.0009*** | | − 0.0008*** |
| | (− 31.73) | | (− 31.52) |
_cons | − 0.0511*** | − 0.0965*** | − 0.0465*** | − 0.0862*** |
| (− 45.69) | (− 32.46) | (− 46.66) | (− 32.06) |
Industry | Yes | Yes | Yes | Yes |
Year | Yes | Yes | Yes | Yes |
N | 5012 | 5012 | 5012 | 5012 |
adj. R2 | 0.682 | 0.785 | 0.687 | 0.787 |
- To mitigate the possible selection bias due to the selection of eligible firms, we adopt the methodology of propensity-score matching (PSM) to match data one to one by eligible firms and non-eligible firms and divide matching data into treatment group and control group. Specifically, we construct a control sample by nearest neighbour propensity score one-to-one matching strategy with a set of firm characteristics, including firm size (Size), book leverage (Lev), profitability (ROA and Loss), cash flows volatility(Cash_vol), listage, audit opinion, analyst following and share turnover. Finally, we obtain the sample comprising 5012 firm-year matching observations. Table 6 reports the results of DID analysis using PSM method
- ***, **, and * denote significance at the 1%, 5%, and 10% level, respectively