Table 4.

The result of cumulative abnormal returns (one day to seven days).

	Group(1)	Group(2)	Group(1)	Group(2)
	${\text{C}\text{A}\text{R}}^1$	${\text{C}\text{A}\text{R}}^1$	${\text{C}\text{A}\text{R}}^3$	${\text{C}\text{A}\text{R}}^3$
EPSC	−0.111	−0.331**	0.0732	−0.680**
	(-0.90)	(-2.29)	(0.30)	(-2.58)
SIZE	−0.549*	−0.0396	−0.809	0.383
	(-1.88)	(-0.26)	(-1.51)	(1.21)
TURNOVER	−0.325**	−0.611***	−0.117	−0.439
	(-2.31)	(-3.21)	(-0.30)	(-0.96)
Constant	2.522	−5.511**	7.802	−13.93**
	(0.47)	(-2.02)	(0.79)	(-2.54)
Ind fixed	Yes	Yes	Yes	Yes
TSE fixed	Yes	Yes	Yes	Yes
R2	0.299	0.318	0.226	0.185
Adjusted R2	0.246	0.208	0.167	0.0537
N	258	152	258	152
	Group(1)	Group(2)	Group(1)	Group(2)
	${\text{C}\text{A}\text{R}}^5$	${\text{C}\text{A}\text{R}}^5$	${\text{C}\text{A}\text{R}}^7$	${\text{C}\text{A}\text{R}}^7$
EPSC	0.0601	−0.798***	0.118	−1.000***
	(0.24)	(-2.72)	(0.41)	(-3.80)
SIZE	−0.722	0.387	−0.542	0.458
	(-1.09)	(1.35)	(-1.07)	(1.50)
TURNOVER	0.284	−0.467	0.729	0.932
	(0.58)	(-1.56)	(1.46)	(0.96)
Constant	7.305	−10.97**	5.050	−11.65**
	(0.59)	(-2.22)	(0.54)	(-2.21)
Ind fixed	Yes	Yes	Yes	Yes
TSE fixed	Yes	Yes	Yes	Yes
R2	0.116	0.139	0.162	0.172
Adjusted R2	0.0498	0.0554	0.0993	0.0380
N	258	152	258	152

Note:

1. ${\text{C}\text{A}\text{R}}^i$ is the firm's stock rate of returns and accumulative abnormal returns on day i. EPSC, SIZE and TURNOVER are the firm's earnings per share, the firm's size and the ratio of total shares traded to the total shares outstanding. The dummy variables of "Ind fixed" have been fixed to avoid any effects from a difference in the industry. The t-statistics are adjusted for serial correlation using the Newey–West procedure.

2. *, **, and *** denote significance at the 10 %, 5 %, and 1 % levels, respectively; t values are in parentheses.