Table 3 Open in new tab Cross-sectional...

CAR [- 2, 0]

CAR [- 1, 0]

| CAR[0,1]|

| CAR[0,3] |

| CAR[0,5] |

| CAR[0,10]|

ζ

0.035

−0.013

0.662^***

0.292^***

1.101^***

0.363^***

1.345^***

0.4^**

2.741^***

0.845^***

(1.03)

(−0.15)

(7.89)

(3.76)

(7.72)

(2.8)

(7.44)

(2.46)

(8.92)

(3.16)

ρ^{cross}

0.019

0.024

0.593^***

0.103^*

1.065^***

0.163^*

1.402^***

0.159

2.272^***

0.075

(0.24)

(0.4)

(9.99)

(1.81)

(10.55)

(1.71)

(10.97)

(1.33)

(10.45)

(0.38)

−0.083

−0.013

−0.703^***

0.041

−0.559^*

−0.035

−0.668^**

−0.086

−0.576^*

−0.032

(−1.59)

(−0.33)

(−3.02)

(1.11)

(−1.87)

(−0.56)

(−2.01)

(−1.11)

(−1.7)

(−0.25)

0.034^*

0.022

0.319^***

0.001

0.476^***

0.01

0.575^***

−0.02

0.743^***

−0.035

(1.82)

(1.59)

(3.72)

(0.05)

(4.33)

(0.43)

(4.71)

(−0.72)

(5.24)

(−0.76)

β_{mkt}

0.065^***

0.04^***

0.024^**

−0.005

−0.032

−0.137^***

(4.72)

(3.9)

(2.49)

(−0.33)

(−1.54)

(−4.05)

ivol

0.064^***

0.051^***

0.059^***

0.112^***

0.146^***

0.288^***

(17.47)

(18.62)

(22.49)

(25.53)

(26.44)

(31.81)

mkt cap

−0.013^***

−0.007^**

0.001

0.005

0.033^***

(−3.75)

(−2.55)

(0.21)

(1.2)

(−0.03)

(3.72)

b/m

−0.009

−0.006

−0.017^**

−0.008

−0.004

(−1.27)

(−0.07)

(−1.11)

(−2.01)

(−0.74)

(−0.2)

illiquidity

−0.912^***

−0.465^***

0.05

−1.049^***

−2.731^***

−6.417^***

(−3.94)

(−2.69)

(0.31)

(−3.82)

(−7.92)

(−11.32)

Constant

0.052

0.021

0.146^***

−0.042^*

0.25^***

−0.08^**

0.339^***

−0.028

0.525^***

−0.37^***

(1.62)

(0.87)

(16.7)

(−1.87)

(16.79)

(−2.11)

(17.98)

(−0.6)

(16.37)

(−4.75)

R^{2}

(%)

20.6

21.2

9.6

28.6

8.6

29.9

7.8

30.4

8.7

35.6

Table 3

Open in new tab

Cross-sectional CAR regressions

	\| $CAR [- 2, 0]$ \|	\| $CAR [- 1, 0]$ \|	\| CAR[0,1]\|		\| CAR[0,3] \|		\| CAR[0,5] \|		\| CAR[0,10]\|
$ζ$	0.035	−0.013	0.662^***	0.292^***	1.101^***	0.363^***	1.345^***	0.4^**	2.741^***	0.845^***
$ζ$	(1.03)	(−0.15)	(7.89)	(3.76)	(7.72)	(2.8)	(7.44)	(2.46)	(8.92)	(3.16)
$ρ^{cross}$	0.019	0.024	0.593^***	0.103^*	1.065^***	0.163^*	1.402^***	0.159	2.272^***	0.075
$ρ^{cross}$	(0.24)	(0.4)	(9.99)	(1.81)	(10.55)	(1.71)	(10.97)	(1.33)	(10.45)	(0.38)
D2	−0.083	−0.013	−0.703^***	0.041	−0.559^*	−0.035	−0.668^**	−0.086	−0.576^*	−0.032
D2	(−1.59)	(−0.33)	(−3.02)	(1.11)	(−1.87)	(−0.56)	(−2.01)	(−1.11)	(−1.7)	(−0.25)
D1	0.034^*	0.022	0.319^***	0.001	0.476^***	0.01	0.575^***	−0.02	0.743^***	−0.035
D1	(1.82)	(1.59)	(3.72)	(0.05)	(4.33)	(0.43)	(4.71)	(−0.72)	(5.24)	(−0.76)
$β_{mkt}$	0.065^***	0.04^***		0.024^**		−0.005		−0.032		−0.137^***
$β_{mkt}$	(4.72)	(3.9)		(2.49)		(−0.33)		(−1.54)		(−4.05)
ivol	0.064^***	0.051^***		0.059^***		0.112^***		0.146^***		0.288^***
ivol	(17.47)	(18.62)		(22.49)		(25.53)		(26.44)		(31.81)
mkt cap	−0.013^***	−0.007^**		0.001		0.005		0		0.033^***
mkt cap	(−3.75)	(−2.55)		(0.21)		(1.2)		(−0.03)		(3.72)
b/m	−0.009	0		−0.006		−0.017^**		−0.008		−0.004
b/m	(−1.27)	(−0.07)		(−1.11)		(−2.01)		(−0.74)		(−0.2)
illiquidity	−0.912^***	−0.465^***		0.05		−1.049^***		−2.731^***		−6.417^***
illiquidity	(−3.94)	(−2.69)		(0.31)		(−3.82)		(−7.92)		(−11.32)
Constant	0.052	0.021	0.146^***	−0.042^*	0.25^***	−0.08^**	0.339^***	−0.028	0.525^***	−0.37^***
Constant	(1.62)	(0.87)	(16.7)	(−1.87)	(16.79)	(−2.11)	(17.98)	(−0.6)	(16.37)	(−4.75)
$R^{2}$ (%)	20.6	21.2	9.6	28.6	8.6	29.9	7.8	30.4	8.7	35.6

	\| $CAR [- 2, 0]$ \|	\| $CAR [- 1, 0]$ \|	\| CAR[0,1]\|		\| CAR[0,3] \|		\| CAR[0,5] \|		\| CAR[0,10]\|
$ζ$	0.035	−0.013	0.662^***	0.292^***	1.101^***	0.363^***	1.345^***	0.4^**	2.741^***	0.845^***
$ζ$	(1.03)	(−0.15)	(7.89)	(3.76)	(7.72)	(2.8)	(7.44)	(2.46)	(8.92)	(3.16)
$ρ^{cross}$	0.019	0.024	0.593^***	0.103^*	1.065^***	0.163^*	1.402^***	0.159	2.272^***	0.075
$ρ^{cross}$	(0.24)	(0.4)	(9.99)	(1.81)	(10.55)	(1.71)	(10.97)	(1.33)	(10.45)	(0.38)
D2	−0.083	−0.013	−0.703^***	0.041	−0.559^*	−0.035	−0.668^**	−0.086	−0.576^*	−0.032
D2	(−1.59)	(−0.33)	(−3.02)	(1.11)	(−1.87)	(−0.56)	(−2.01)	(−1.11)	(−1.7)	(−0.25)
D1	0.034^*	0.022	0.319^***	0.001	0.476^***	0.01	0.575^***	−0.02	0.743^***	−0.035
D1	(1.82)	(1.59)	(3.72)	(0.05)	(4.33)	(0.43)	(4.71)	(−0.72)	(5.24)	(−0.76)
$β_{mkt}$	0.065^***	0.04^***		0.024^**		−0.005		−0.032		−0.137^***
$β_{mkt}$	(4.72)	(3.9)		(2.49)		(−0.33)		(−1.54)		(−4.05)
ivol	0.064^***	0.051^***		0.059^***		0.112^***		0.146^***		0.288^***
ivol	(17.47)	(18.62)		(22.49)		(25.53)		(26.44)		(31.81)
mkt cap	−0.013^***	−0.007^**		0.001		0.005		0		0.033^***
mkt cap	(−3.75)	(−2.55)		(0.21)		(1.2)		(−0.03)		(3.72)
b/m	−0.009	0		−0.006		−0.017^**		−0.008		−0.004
b/m	(−1.27)	(−0.07)		(−1.11)		(−2.01)		(−0.74)		(−0.2)
illiquidity	−0.912^***	−0.465^***		0.05		−1.049^***		−2.731^***		−6.417^***
illiquidity	(−3.94)	(−2.69)		(0.31)		(−3.82)		(−7.92)		(−11.32)
Constant	0.052	0.021	0.146^***	−0.042^*	0.25^***	−0.08^**	0.339^***	−0.028	0.525^***	−0.37^***
Constant	(1.62)	(0.87)	(16.7)	(−1.87)	(16.79)	(−2.11)	(17.98)	(−0.6)	(16.37)	(−4.75)
$R^{2}$ (%)	20.6	21.2	9.6	28.6	8.6	29.9	7.8	30.4	8.7	35.6

Notes: This table presents the results of regression Equation (18). $| C A R_{i} [t_{1}, t_{2}] |$ denotes the absolute value of stock i’s CAR from $t_{1} t o t_{2}$ ⁠. Note the i is compressed for brevity. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.

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