Table 1.
Descriptive statistics of all variables.
| Variable | Mean | Std. Dev. | Max | Min |
|---|---|---|---|---|
| Panel A: All data (N = 1289) | ||||
| Rt | −6.004 | 4.102 | 9.988 | −10.000 |
| EPSC | 0.302 | 1.260 | 13.030 | −4.450 |
| SIZE | 15.650 | 1.687 | 22.999 | 10.148 |
| TURNOVER | 0.634 | 1.625 | 21.402 | 0.000 |
| Panel B: ESPC = 0 (N = 146) | ||||
| Rt | −4.910 | 4.728 | 9.979 | −10.000 |
| EPSC | 0.000 | 0.000 | 0.000 | 0.000 |
| SIZE | 15.760 | 2.242 | 22.077 | 10.148 |
| TURNOVER | 0.599 | 1.990 | 21.402 | 0.000 |
| Panel C: ESPC>0 (N = 646) | ||||
| Rt | −6.258 | 3.818 | 9.977 | −10.000 |
| EPSC | 0.820 | 1.566 | 13.030 | 0.010 |
| SIZE | 15.966 | 1.669 | 22.999 | 12.322 |
| TURNOVER | 0.668 | 1.520 | 18.961 | 0.000 |
| Panel D: ESPC<0 (N = 497) | ||||
| Rt | −5.996 | 4.216 | 9.988 | −10.000 |
| EPSC | −0.283 | 0.461 | −0.010 | −4.450 |
| SIZE | 15.206 | 1.403 | 21.816 | 11.179 |
| TURNOVER | 0.601 | 1.642 | 15.807 | 0.000 |
Note: Rt is the actual observed rate of return for the stock. EPSC is the firm's earnings per share, Size is the firm size, and TURNOVER is the ratio of total shares traded to the total shares outstanding.