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

Financial Innovation

Table 7 CARs and the heterogeneity among high and low cryptocurrency-exposure events

Window	High exposure to cryptocurrency						Low exposure to cryptocurrency
Window	[0]	[− 1,1]	[− 2,2]	[− 5,5]	[0,1]	[0,3]	[0]	[− 1,1]	[− 2,2]	[− 5,5]	[0,1]	[0,3]
High Exposure Dum	3.94***	4.80	3.25	2.47	3.79*	3.81*
	(1.14)	(3.61)	(3.16)	(4.01)	(1.94)	(2.10)
Low Exposure Dum							− 2.77*	− 9.02**	− 5.90*	− 6.28	− 5.10**	− 3.87
							(1.48)	(3.57)	(3.29)	(4.20)	(2.01)	(2.34)
Control variables	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Obs	35	35	35	35	35	35	35	35	35	35	35	35
Adj. R-Sq	0.686	0.569	0.489	0.225	0.62	0.546	0.563	0.651	0.541	0.296	0.661	0.534

This table shows the results of OLS regressions considering the Abnormal Returns (A.R.s) on the day of the event [0] and Cumulative Abnormal Returns (CARs) estimated at different event windows ([− 1,1], [− 2,2], [− 5,5], [0,1], [0,3]) as dependent variables. High Exposure Dum (Low Exposure Dum) is a dummy that equals one if the event is classified as High Exposure (Low Exposure) to Cryptocurrency and zero otherwise. All regressions include country-fixed effects and firm, industry, and market-level controls as reported in Table 4. Robust standard errors are reported in parentheses. ***, **, and * represent statistical significance at the 10%, 5% and 1% levels, respectively