Table 14.

IR and crisis-period returns depending on country characteristics. This table shows the results from OLS regressions of the firm’s cumulative abnormal stock return over the period from February 3, 2020 to March 23, 2020 on High IR, firm controls, and country and industry-fixed effects for various subsamples. We split the entire sample based on the median score of the countries in our sample. The subsamples are based on the following characteristics: the Rule of Law index from the World Bank’s World Governance Indicators for the year 2019 (columns (1) and (2)), the Disclosure index provided by La Porta et al. (2006) (columns (3) and (4)), the Anti-Self-Dealing index (ASDI) provided by Djankov et al. (2008) (columns (5) and (6)), the level of societal trust from the World Values Survey’s latest wave (columns (7) and (8)), and Hofstede’s cultural dimensions Uncertainty Avoidance (columns (9) and (10)) and Long-Term Orientation (columns (11) and (12)). All variables are described in detail in Table A.1 in the appendix. We report robust standard errors that are clustered by country in parentheses, with ${}^{***}$, ${}^{**}$, ${}^{*}$ denoting statistical significance at the $1\%$, $5\%$, and $10\%$ level.

	Low Rule of Law	High Rule of Law	Low Disclosure	High Disclosure
Dependent Variable: Abn. returns	(1)	(2)	(3)	(4)
High IR	0.1260${}^{***}$	0.0291	0.0596${}^{***}$	0.1310${}^{***}$
	(0.0176)	(0.0283)	(0.0212)	(0.0489)
Observations	510	200	459	251
Firm Characteristics	yes	yes	yes	yes
Industry Fixed Effects	yes	yes	yes	yes
Country Fixed Effects	yes	yes	yes	yes
Adjusted R-Squared	0.26	0.37	0.28	0.32
	Low ASDI	High ASDI	Low Trust	High Trust
Dependent Variable: Abn. returns	(5)	(6)	(7)	(8)
High IR	0.0959${}^{***}$	0.0867${}^{***}$	0.1259${}^{***}$	0.0374
	(0.0300)	(0.0198)	(0.0161)	(0.0331)
Observations	403	307	475	235
Firm Characteristics	yes	yes	yes	yes
Industry Fixed Effects	yes	yes	yes	yes
Country Fixed Effects	yes	yes	yes	yes
Adjusted R-Squared	0.27	0.30	0.26	0.37
	Low Uncertainty Avoidance	High Uncertainty Avoidance	Low Long-Term Orientation	High Long-Term Orientation
Dependent Variable: Abn. returns	(9)	(10)	(11)	(12)
High IR	0.0825${}^{***}$	0.1410${}^{***}$	0.0855${}^{***}$	0.0898${}^{**}$
	(0.0287)	(0.0273)	(0.0222)	(0.0405)
Observations	453	257	316	394
Firm Characteristics	yes	yes	yes	yes
Industry Fixed Effects	yes	yes	yes	yes
Country Fixed Effects	yes	yes	yes	yes
Adjusted R-Squared	0.32	0.26	0.35	0.23