Firm heterogeneity in the ability to filter out the noise.

Note: This table presents the results from estimating equation (3) for private firms, adding an interaction term of the noise with a dummy variable that indicates whether the private firm has one or more institutional shareholders at any point in time. Minor-segment screenings follow that in Table 4. All regressions control for the component of the industry valuation that relates to the major-segment industry, $Major_q¯$⁠, its interaction with the institutional shareholder dummy, as well as the full set of firm and industry controls. In columns 2 and 4, I control for minor-segment industry characteristics by operating a similar decomposition for the industry characteristics. All variable constructions are described in  Appendix A. All regression models are estimated with firm-fixed effects and year-fixed effects. t-statistics in parentheses are adjusted allowing within industry clusters. Coefficients significant at the 10 percent, 5 percent, and 1 percent levels are marked with *, **, and ***, respectively.