Table 5.
Intense media coverage effects on company securities.
The table reports the results of the following regression:
ri, t = γo + ∑j = 15γ1, jri, t − j + ∑k = 14γ2, kWDk, t + γ3Taxt + ∑l = 13γ4, lELl, t + εt,
where ri, t is the rate of return of stock i on day t with exposure of its operations towards the U.S., the WAC region, Europe, or All regions, γ0 is the regression intercept, ri, t − j is the lagged dependent variable—the jth previous day rate of return, WDk, t with k = 1, …, 4 are dummy variables for the day of the week (Monday, Tuesday, Wednesday, and Thursday), Taxt is a dummy variable for the first five days of the taxation year, and ELl, t with l = 1, 2, and 3, are dummy variables that denote the location where the event happened and equal 1 on the event day if the event happened in a specific region (either in the U.S., the WAC region, and Europe), and zero otherwise. The events occurred during the 2014–2016 Ebola outbreak period (3-year period) and include a total number of 103 event days of the disease outbreak. From the total number of events, 52 took place in the WAC region, 31 in the U.S., and 20 in Europe. Panel A depicts the regression results from the events and stocks without the intense media coverage (as in Panel A of Table 1) whereas Panel B depicts the regression results of the stocks with intense media coverage. The first line reports the regression coefficients whereas the second line reports the corresponding t-values (in brackets). One, two, and three asterisks indicate a significance level of 10%, 5%, and 1%, respectively.
| Panel A: regression results from events without intense media coverage | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exposure of the company to | γ0 | Rt − 5 | Rt − 4 | Rt − 3 | Rt − 2 | Rt − 1 | Mon. | Tue. | Wed. | Thu. | Tax | U.S. | WAC | Europe | R2 |
| U.S. only | − 0.0143 (− 3.002⁎⁎⁎) |
0.0129 (1.611) |
− 0.0132 (− 0.923) |
0.0283 (1.386) |
− 0.0111 (− 1.783⁎) |
0.0103 (3.448⁎⁎⁎) |
− 0.0231 (− 1.976⁎⁎) |
− 0.0133 (− 1.252) |
− 0.0160 (− 0.019) |
− 0.0211 (− 1.213) |
0.0285 (1.989⁎⁎) |
− 0.0259 (− 3.126⁎⁎⁎) |
− 0.0163 (− 1.645⁎) |
− 0.0155 (− 1.591) |
0.4253 |
| WAC region | − 0.0522 (− 2.752⁎⁎⁎) |
0.0134 (1.604) |
− 0.0148 (− 1.110) |
0.0264 (1.113) |
− 0.0127 (− 1.887⁎) |
0.0118 (3.293⁎⁎⁎) |
− 0.0382 (− 1.691⁎) |
− 0.0223 (− 0.767) |
− 0.0122 (− 0.238) |
− 0.0103 (− 1.327) |
0.0226 (1.663⁎) |
− 0.0257 (− 2.108⁎⁎) |
− 0.0261 (− 1.970⁎⁎) |
− 0.0204 (− 1.690⁎) |
0.5811 |
| Europe | − 0.0251 (− 1.969⁎⁎) |
0.0153 (0.441) |
− 0.0125 (− 1.019) |
0.0245 (1.250) |
− 0.0102 (− 1.665⁎) |
0.0101 (1.959⁎⁎) |
− 0.0201 (− 1.675⁎) |
− 0.0115 (− 1.116) |
0.0150 (0.988) |
− 0.0118 (− 1.235) |
0.0150 (1.717⁎) |
− 0.0183 (− 1.987⁎⁎) |
− 0.0121 (− 1.687⁎) |
− 0.0188 (− 1.966⁎⁎) |
0.3736 |
| All | − 0.0308 (− 1.977⁎⁎) |
0.0172 (0.071) |
− 0.0136 (− 0.420) |
0.0251 (0.532) |
− 0.0114 (− 1.816⁎) |
0.0099 (3.688⁎⁎⁎) |
− 0.0212 (− 2.001⁎⁎) |
− 0.0254 (− 1.221) |
0.0154 (0.350) |
− 0.0170 (− 1.166) |
0.0288 (1.842⁎) |
− 0.0232 (− 2.020⁎⁎) |
− 0.0229 (− 1.965⁎⁎) |
− 0.0157 (− 1.780⁎) |
0.2332 |
| Panel B: regression results from events with intense media coverage | |||||||||||||||
| U.S. only | − 0.0283 (− 3.132⁎⁎⁎) |
0.0236 (1.429) |
− 0.0217 (− 0.910) |
0.0238 (1.268) |
− 0.0213 (− 1.736⁎) |
0.0210 (3.136⁎⁎⁎) |
− 0.0263 (− 1.988⁎⁎) |
− 0.0126 (− 1.200) |
− 0.0282 (− 1.019) |
− 0.0341 (− 1.234) |
0.0332 (1.974⁎⁎) |
− 0.0302 (− 3.122⁎⁎⁎) |
− 0.0291 (− 1.992⁎⁎) |
− 0.0258 (− 1.647⁎) |
0.4146 |
| WAC region | − 0.0538 (− 2.334⁎⁎) |
0.0375 (1.436) |
− 0.0249 (− 1.519) |
0.0346 (1.131) |
− 0.0319 (− 1.935⁎) |
0.0315 (1.958⁎) |
− 0.0390 (− 1.661⁎) |
− 0.0205 (− 1.272) |
− 0.0211 (− 0.105) |
− 0.0321 (− 1.207) |
0.0271 (1.675⁎) |
− 0.0349 (− 3.011⁎⁎⁎) |
− 0.0352 (− 1.971⁎⁎) |
− 0.0216 (− 1.652⁎) |
0.3395 |
| Europe | − 0.0327 (− 1.962⁎⁎) |
0.0254 (0.430) |
− 0.0221 (− 0.013) |
0.0354 (1.223) |
− 0.0207 (− 1.726⁎) |
0.0202 (1.923⁎) |
− 0.0227 (− 1.773⁎) |
− 0.0121 (− 1.156) |
0.0217 (1.018) |
− 0.0436 (− 1.255) |
0.0235 (1.717⁎) |
− 0.0215 (− 2.738⁎⁎⁎) |
− 0.0223 (− 2.104⁎⁎) |
− 0.0239 (− 1.668⁎) |
0.3217 |
| All | − 0.0320 (− 1.976⁎⁎) |
0.0291 (1.301) |
− 0.0218 (− 1.146) |
0.0315 (1.138) |
− 0.0245 (− 3.128⁎⁎⁎) |
0.0105 (3.207⁎⁎⁎) |
− 0.0231 (− 2.120⁎⁎) |
− 0.0265 (− 0.134) |
0.0252 (1.058) |
− 0.0431 (− 1.186) |
0.0260 (1.826⁎) |
− 0.0341 (− 1.962⁎⁎) |
− 0.0337 (− 1.985⁎⁎) |
− 0.0264 (− 1.802⁎) |
0.2931 |