Skip to main content
Financial Innovation

Table 4 Multivariate Regression: determinants of the CARs

From: Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition

Window

Panel A: All events

Panel B: Excluding divestment events

[0]

[− 1,1]

[− 2,2]

[− 5,5]

[0,1]

[0,3]

[0]

[− 1,1]

[− 2,2]

[− 5,5]

[0,1]

[0,3]

Tech Firms Dummy

5.4432**

7.3108

8.2274*

5.1743

5.4608

6.0838

5.4950*

7.8939

9.4356**

6.5195

6.2283

6.8269

 

(2.45)

(5.34)

(4.21)

(5.14)

(3.71)

(3.90)

(2.58)

(5.71)

(4.33)

(5.14)

(3.85)

(3.91)

Financial Firms Dummy

0.2661

− 1.2891

0.8367

− 2.2872

− 0.0670

− 0.4414

0.2961

− 0.6335

2.3205

− 0.6410

0.8325

0.4596

 

(1.84)

(4.98)

(4.56)

(5.76)

(2.53)

(2.90)

(2.12)

(4.75)

(4.14)

(5.34)

(2.47)

(2.60)

Type of Event: Investments

− 1.3314

1.5361

− 0.3135

5.4576

0.1950

0.2910

− 1.0262

2.5202

0.7611

6.6993

1.2095

1.0422

 

(1.36)

(3.41)

(3.01)

(3.67)

(2.11)

(1.93)

(1.64)

(4.41)

(3.83)

(4.61)

(2.42)

(2.13)

Ln(Market Capitalization)

0.1349

− 0.4383

− 0.4213

0.3496

− 0.2054

− 0.0785

0.1439

− 0.5100

− 0.6379

0.1116

− 0.3196

− 0.2054

 

(0.34)

(0.79)

(0.61)

(0.75)

(0.48)

(0.36)

(0.38)

(0.88)

(0.60)

(0.73)

(0.48)

(0.36)

Ln(Prior Return)

0.3818

9.5889

0.1468

8.9169

− 0.1071

0.8850

0.0576

9.0843

0.3388

9.0725

− 0.4109

0.8873

 

(4.54)

(16.27)

(13.85)

(16.59)

(9.84)

(7.32)

(4.81)

(16.64)

(13.95)

(16.54)

(9.74)

(6.94)

Ln(Past BTC Return)

9.8480

11.5291

14.5057

6.2154

9.5042

7.3177

11.3451

13.9614

13.8706

5.7748

11.0532

7.4580

 

(7.27)

(16.04)

(10.55)

(11.13)

(10.08)

(8.37)

(8.02)

(17.82)

(12.29)

(13.57)

(11.43)

(9.92)

Cash/Assets

7.9078

− 16.7218

− 14.9491

− 32.2203

− 1.0675

− 7.6145

7.5469

− 19.5978

− 20.4432

− 38.3591

− 4.7178

− 11.0376

 

(6.55)

(26.23)

(22.69)

(26.08)

(11.04)

(13.61)

(7.47)

(29.52)

(24.36)

(28.23)

(11.26)

(14.50)

Price/Book

0.0462

0.1554

0.0705

0.4398

0.1889

0.0520

0.0252

0.0780

− 0.0275

0.3279

0.1052

− 0.0140

 

(0.32)

(0.69)

(0.62)

(0.86)

(0.51)

(0.53)

(0.35)

(0.73)

(0.69)

(0.94)

(0.54)

(0.55)

Obs

35

35

35

35

35

35

33

33

33

33

33

33

Adj. R-Sq

0.467

0.503

0.429

0.23

0.513

0.432

0.438

0.478

0.426

0.219

0.514

0.421

  1. Sectoral dummies follow Yahoo Finance's sectoral classification – Tech Firms Dummy equals one for the MicroStrategy, Block, Inc. (former Square), Globant, Microsoft, Oracle, Phunware, Inc., and Xiaomi Corporation. Financial Firms Dummy equals one for Blackrock, Inc., FROM Corporation, JPMorgan Chase & Co., Mastercard Incorporated, Metromile, Inc., PayPal Holdings, Inc., Ruffer Investment Company Limited, The Brooker Group Public Company Limited, and Visa, Inc. All firm-level accounting and market information are collected at the date of the Financial Statements disclosed right before the crypto-related event – Market capitalization (Ln(Market Capitalization)), cumulative log-returns on 21 days preceding the event (Ln(Prior Return), the ratio between Cash and Assets (Cash/Assets), and a proxy for investment opportunities (Price/Book). To account for market-specific fluctuations that may impact the CARs, we include the 6-week cumulative log-return of bitcoin on the pre-event period (Ln(Past BTC Return)) as a regressor. Finally, we include country-fixed effects in the regression to account for potential systematic differences between stock market or jurisdictional levels that may affect abnormal returns. Robust standard errors are reported in parentheses. ***, **, and * represent statistical significance at the 10%, 5% and 1% levels, respectively
Back to article page