Table 4 Linear panel regression with fixed effects

Stock return_(t-1)

–

–

–

–

 − 0.075***

–

–

–

–

(0.0248)

TS

0.717**

0.808***

0.671*

–

–

(0.274)

(0.198)

(0.369)

–

–

TS_{(t − 1)}

–

–

–

0.867**

0.999***

–

–

–

(0.330)

(0.306)

TS_{(t − 2)}

–

–

–

 − 0.387

 − 0.452

–

–

–

(0.379)

(0.375)

TS_{(t − 3)}

–

–

–

 − 0.063

 − 0.052

–

–

–

(0.421)

(0.413)

TS_{(t − 4)}

–

–

–

 − 0.649*

 − 0.670*

–

–

–

(0.356)

(0.371)

Beta

0.089***

0.060***

0.086***

0.068***

0.069***

(0.011)

(0.009)

(0.008)

(0.022)

(0.021)

Size

3.164***

1.341***

3.072***

0.798**

0.889**

(0.182)

(0.157)

(0.202)

(0.369)

(0.385)

GRI

0.023***

0.008***

0.0007

0.0003

(0.001)

(0.001)

(0.002)

(0.002)

Fed_Asset

–

–

3.239***

–

–

–

–

(0.275)

–

–

Fed_Announcement

–

–

 − 0.671***

–

–

–

–

(0.058)

–

–

Bank fixed effect

Yes

Yes

Yes

Yes

Yes

Time fixed effect

No

Yes

No

Yes

Yes

Num. of Obs

16,380

16,380

16,380

16,380

16,380