Private firms’ investment and the informativeness of industry valuation.

Note: This table presents the heterogeneous responses with respect to informativeness of the industry valuation. Measures for informativeness include: (1) H_Nonsynchronisity, a dummy equals 1 (0) if the Non-synchronisity of a three-digit SIC industry is above (below) the 70th (30th) percentile; (2) $H_#Public$⁠, a dummy equals 1 (0) if the logarithm of 1 plus the number of public firms of the industry is above (below) the 70th (30th) percentile; and (3) $%Public$⁠, a dummy equals 1 (0) if the fraction of public firms in a three-digit SIC industry is above (below) the 70th (30th) percentile. In Panel A, I estimate equation (1) with informativeness at the beginning-of-period and its interaction with the industry valuation. In Panel B, I estimate equation (3) with informativeness and its interactions with the noise and the fundamental components. I control for the full set of firm and industry controls. In Panel B, I further require the firm not to have an institutional shareholder when the informativeness dummies are set to 1, and I also control for minor-segment industry characteristics. 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.