Table 8.

Public vs. private IR and abnormal returns surrounding the crisis-period. This table presents the results from difference-in-differences regressions. The dependent variable is a firm’s daily abnormal return for the period from January 1, 2020 to October 6, 2020. The main independent variables of interest are Public IR and Private IR. To construct the public and private components of IR, we run a regression of the natural logarithm of the IR score on three variables related to a firm’s public IR functions, namely Guidance, Conferences, and US Listing. We employ the fitted values as firms’ Public IR Score and the residuals as firms’ Private IR Score and construct the dummy variables Public IR and Private IR, which equal one if the respective score is larger than the sample median, and zero otherwise. We then use Public IR and Private IR as our treatment variables and we interact them with the variables crisis and post crisis. The variable crisis is a dummy variable equalling one for all dates between February 24, 2020 and March 23, 2020, and zero otherwise. The variable post crisis is a dummy variable equalling one for all dates after March 24, 2020, and zero otherwise. In column (1) we do not include any fixed effects, while in column (2) we include firm and day-fixed effects. Thus, we omit the individual terms. All variables are described in detail in Table A.1 in the appendix. We report robust standard errors clustered by firm and day in parentheses, with ${}^{***}$, ${}^{**}$, ${}^{*}$ denoting statistical significance at the $1\%$, $5\%$, and $10\%$ level.

Dependent Variable: Abnormal returns
	(1)	(2)
Public IR $\times$ crisis	0.0015	0.0015
	(0.0013)	(0.0013)
Private IR $\times$ crisis	0.0032${}^{***}$	0.0032${}^{***}$
	(0.0009)	(0.0009)
Public IR $\times$ post crisis	−0.0005	−0.0005
	(0.0003)	(0.0003)
Private IR $\times$ post crisis	−0.0005	−0.0005
	(0.0003)	(0.0003)
Public IR	0.0001
	(0.0003)
Private IR	0.0007${}^{***}$
	(0.0003)
crisis	$-0.{0078}^{***}$
	(0.0023)
post crisis	0.0010
	(0.0006)
Observations	189,400	189,400
Firm Fixed Effects	no	yes
Day Fixed Effects	no	yes
Adjusted R-Squared	0.01	0.03