1 Introduction
2 Data
3 Tests and results
3.1 Standard event study
Panel A: Negative warnings | Panel B: Positive warnings | |||
---|---|---|---|---|
Value (%) | t-statistic | Value (%) | t-statistic | |
\(\overline{AR}_{0}\)
| −3.46*** | −16.73 | 4.16*** | 12.46 |
\(\overline{AR}_{1}\)
| −0.01 | 0.04 | −0.90*** | −5.00 |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| 0.41* | 1.76 | −1.27*** | −4.68 |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| 0.49* | 1.89 | −1.30*** | −4.31 |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| 0.55* | 1.87 | −1.43*** | −4.30 |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| 0.74** | 2.22 | −1.73*** | −4.89 |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| 0.90** | 2.45 | −1.98*** | −5.04 |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| 1.02*** | 2.58 | −2.15*** | −5.10 |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| 1.09*** | 2.66 | −2.40*** | −5.51 |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| 1.28*** | 2.97 | −2.71*** | −5.99 |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| 1.25*** | 2.73 | −2.82*** | −5.87 |
N | 1238 | 485 |
3.2 Time-varying betas
Mean | t-statistic | Median | t-statistic | |
---|---|---|---|---|
Panel A: Conditional betas around negative warnings
| ||||
\(\beta_{{\left[ { - 201, - 1} \right]}}\)
| 0.609 | 0.579 | ||
\(\beta_{{\left[ {0, + 1} \right]}}\)
| 0.655*** | 4.14 | 0.625*** | 4.30 |
\(\beta_{{\left[ {0, + 2} \right]}}\)
| 0.654*** | 3.98 | 0.623*** | 4.14 |
\(\beta_{{\left[ {0, + 3} \right]}}\)
| 0.653*** | 3.88 | 0.623*** | 4.17 |
\(\beta_{{\left[ {0, + 4} \right]}}\)
| 0.652*** | 3.61 | 0.622*** | 4.12 |
\(\beta_{{\left[ {0, + 5} \right]}}\)
| 0.652*** | 3.69 | 0.622*** | 4.12 |
\(\beta_{{\left[ {0, + 6} \right]}}\)
| 0.652*** | 3.74 | 0.619*** | 4.08 |
\(\beta_{{\left[ {0, + 7} \right]}}\)
| 0.652*** | 3.78 | 0.619*** | 4.08 |
\(\beta_{{\left[ {0, + 8} \right]}}\)
| 0.653*** | 3.82 | 0.619*** | 4.08 |
\(\beta_{{\left[ {0, + 9} \right]}}\)
| 0.653*** | 3.89 | 0.619*** | 4.10 |
\(\beta_{{\left[ {0, + 10} \right]}}\)
| 0.654*** | 3.93 | 0.617*** | 4.11 |
N | 1238 | |||
Panel B: Conditional betas around positive warnings
| ||||
\(\beta_{{\left[ { - 201, - 1} \right]}}\)
| 0.679 | 0.685 | ||
\(\beta_{{\left[ {0, + 1} \right]}}\)
| 0.729*** | 2.93 | 0.707*** | 2.96 |
\(\beta_{{\left[ {0, + 2} \right]}}\)
| 0.726*** | 2.76 | 0.707*** | 2.86 |
\(\beta_{{\left[ {0, + 3} \right]}}\)
| 0.727*** | 2.78 | 0.709*** | 2.86 |
\(\beta_{{\left[ {0, + 4} \right]}}\)
| 0.728*** | 2.88 | 0.709*** | 2.93 |
\(\beta_{{\left[ {0, + 5} \right]}}\)
| 0.728*** | 2.89 | 0.709*** | 2.90 |
\(\beta_{{\left[ {0, + 6} \right]}}\)
| 0.728*** | 2.88 | 0.711*** | 2.88 |
\(\beta_{{\left[ {0, + 7} \right]}}\)
| 0.728*** | 2.90 | 0.711*** | 2.90 |
\(\beta_{{\left[ {0, + 8} \right]}}\)
| 0.728*** | 2.89 | 0.711*** | 2.89 |
\(\beta_{{\left[ {0, + 9} \right]}}\)
| 0.728*** | 2.90 | 0.711*** | 2.91 |
\(\beta_{{\left[ {0, + 10} \right]}}\)
| 0.729*** | 2.93 | 0.711*** | 2.94 |
N | 485 |
Conditional versus unconditional | ||||
---|---|---|---|---|
Value (%) | t-statistic | t-statistic | Z-score | |
Panel A: Negative warnings
| ||||
\(\overline{AR}_{0}\)
| −3.54 | −16.14*** | −4.97*** | −5.49*** |
\(\overline{AR}_{1}\)
| −0.16 | −0.92 | −4.73*** | −4.82*** |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| 0.04 | 0.18 | −6.52*** | −5.80*** |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.02 | −0.07 | −8.27*** | −7.15*** |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| −0.03 | −0.10 | −8.14*** | −7.25*** |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| −0.01 | −0.04 | −8.68*** | −7.76*** |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| 0.01 | 0.03 | −8.60*** | −7.81*** |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| −0.06 | −0.18 | −8.74*** | −7.92*** |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| −0.16 | −0.44 | −8.97*** | −8.18*** |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| −0.17 | −0.44 | −9.27*** | −8.39*** |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| −0.32 | −0.79 | −9.05*** | −8.08*** |
N | 1238 | |||
Panel B: Positive warnings
| ||||
\(\overline{AR}_{0}\)
| 4.11 | 12.87*** | 4.43*** | 5.73*** |
\(\overline{AR}_{1}\)
| −0.67 | −3.96*** | 5.59*** | 5.68*** |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| −0.75 | −3.10*** | 7.20*** | 7.21*** |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.67 | −2.37*** | 7.76*** | 8.15*** |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| −0.67 | −2.23*** | 7.79*** | 7.89*** |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| −0.85 | −2.60*** | 7.41*** | 8.29*** |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| −0.97 | −2.70*** | 8.12*** | 8.24*** |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| −1.05 | −2.73*** | 8.44*** | 8.51*** |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| −1.12 | −2.80*** | 8.31*** | 8.43*** |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| −1.27 | −3.06*** | 8.14*** | 8.35*** |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| −1.19 | −2.73*** | 8.11*** | 8.38*** |
N | 485 |
3.3 Conditional heteroskedasticity and event-induced variance
Conditional versus unconditional | ||||
---|---|---|---|---|
Value (%) | t-statistic | t-statistic | Z-score | |
Panel A: Negative warnings
| ||||
\(\overline{AR}_{0}\)
| −3.48 | −7.66*** | 0.18 | 4.93*** |
\(\overline{AR}_{1}\)
| 0.00 | −0.50 | 0.01 | 2.19** |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| 0.03 | −1.16 | 1.89* | 0.94 |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.04 | −1.30 | 2.49** | 1.30 |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| −0.10 | −0.28 | 2.55** | 0.75 |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| 0.02 | −0.78 | 2.61*** | 1.32 |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| 0.12 | 0.87 | 2.48** | 0.88 |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| 0.22 | 0.11 | 2.25** | 1.31 |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| 0.10 | 0.33 | 2.64*** | 1.04 |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| 0.04 | 0.10 | 3.21*** | 1.97** |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| 0.14 | 0.95 | 2.62*** | 1.52 |
N | 1238 |
Conditional versus unconditional | ||||
---|---|---|---|---|
Mean (%) | t-statistic | t-statistic | Z-score | |
Panel B: Positive warnings
| ||||
\(\overline{AR}_{0}\)
| 3.92 | 4.26*** | −0.06 | −4.05*** |
\(\overline{AR}_{1}\)
| −0.85 | −1.27 | 0.14 | −4.76*** |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| −0.39 | −1.33 | −5.13*** | −6.13*** |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.27 | −2.31** | −4.76*** | −6.05*** |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| −0.19 | −2.96*** | −4.67*** | −5.06*** |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| −0.15 | −2.33** | −5.34*** | −5.73*** |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| −0.25 | −4.04*** | −5.20*** | −6.28*** |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| −0.14 | −3.71*** | −5.39*** | −6.39*** |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| −0.17 | −3.74*** | −5.78*** | −6.54*** |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| −0.18 | −3.26*** | −6.22*** | −6.86*** |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| −0.17 | −3.72*** | −6.01*** | −6.72*** |
N | 485 |
3.4 Conditional heteroskedasticity, event-induced variance and time-varying betas
Conditional versus unconditional | ||||
---|---|---|---|---|
Value (%) | t-statistic | t-statistic | Z-score | |
Panel A: Negative warnings
| ||||
\(\overline{AR}_{0}\)
| −3.46 | −5.95 | 0.25 | 1.89* |
\(\overline{AR}_{1}\)
| 0.44 | 1.11 | −1.11 | 1.22 |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| 0.28 | −0.63 | 0.72 | −0.12 |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.04 | −1.64 | 2.57** | 1.32 |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| 0.32 | 1.09 | 0.76 | 0.09 |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| 0.00 | −0.53 | 2.63*** | 1.38 |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| 0.23 | 2.14** | 2.07** | 0.82 |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| 0.12 | 1.16 | 2.59*** | 1.35 |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| 0.16 | 0.10 | 2.53** | 1.00 |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| 0.10 | 1.16 | 3.00*** | 1.72* |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| 0.05 | 0.30 | 2.89*** | 1.75* |
N | 1238 | |||
Panel B: Positive warnings
| ||||
\(\overline{AR}_{0}\)
| 3.88 | 4.19 | 0.14 | −3.47*** |
\(\overline{AR}_{1}\)
| −0.92 | −1.79* | 0.54 | −4.00*** |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| −0.57 | −2.23** | −2.71*** | −5.43*** |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.34 | −3.04*** | −4.26*** | −5.50*** |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| −0.15 | −3.47*** | −4.59*** | −4.71*** |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| −0.09 | −2.40** | −5.36*** | −5.74*** |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| −0.19 | −3.77*** | −5.30*** | −6.27*** |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| −0.25 | −4.96*** | −5.17*** | −6.12*** |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| −0.16 | −3.73*** | −5.74*** | −6.56*** |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| −0.12 | −3.14*** | −6.29*** | −6.93*** |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| −0.16 | −4.35*** | −6.07*** | −6.76*** |
N | 485 |
3.5 Multivariate analysis
\(AR_{1}\)
|
\(CAR_{{\left[ {1,2} \right]}}\)
|
\(CAR_{{\left[ {1,3} \right]}}\)
|
\(CAR_{{\left[ {1,4} \right]}}\)
|
\(CAR_{{\left[ {1,5} \right]}}\)
|
\(CAR_{{\left[ {1,6} \right]}}\)
|
\(CAR_{{\left[ {1,7} \right]}}\)
|
\(CAR_{{\left[ {1,8} \right]}}\)
|
\(CAR_{{\left[ {1,9} \right]}}\)
|
\(CAR_{{\left[ {1,10} \right]}}\)
| |
---|---|---|---|---|---|---|---|---|---|---|
Constant | −4.57** | −4.61** | −1.05 | −0.74 | −0.93 | −0.67 | −0.9 | −0.6 | −0.96* | −0.51 |
(−2.32) | (−2.01) | (−1.05) | (−0.56) | (−0.89) | (−0.92) | (−1.30) | (−1.13) | (−1.82) | (−1.04) | |
\(AR_{0}\)
| −1.94 | −5.99 | −4.65** | −3.59 | −3.25 | 0.1 | −0.94 | −0.77 | −0.7 | −0.76 |
(−0.48) | (−1.64) | (−2.46) | (−1.49) | (−1.37) | (0.08) | (−0.75) | (−0.83) | (−0.74) | (−0.91) | |
\(lnMV\)
| 0.54** | 0.322 | 0.07 | −0.05 | 0.05 | 0.08 | 0.03 | 0.03 | 0.06 | 0.04 |
(2.33) | (1.46) | (0.74) | (−0.43) | (0.49) | (1.09) | (0.55) | (0.57) | (1.12) | (0.85) | |
\(BTMV\)
| −0.015 | 0.023 | −0.00 | −0.01** | −0.02 | −0.00 | 0.01 | −0.01 | −0.01 | −0.01 |
(−0.51) | −0.74 | (−1.33) | (−2.50) | (−1.33) | (−0.12) | (0.56) | (−1.21) | (−1.36) | (−0.55) | |
\(AvgTO\)
| −1.77 | −0.243 | −0.442 | −0.35 | −0.14 | 0.241 | −0.457 | 0.157 | −0.182 | −0.22 |
(−1.05) | (−0.16) | (−0.58) | (−0.48) | (−0.25) | −0.42 | (−1.00) | (0.33) | (−0.46) | (−0.49) | |
Year dummies | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry dummies | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
N | 484 | 484 | 484 | 484 | 484 | 484 | 484 | 484 | 484 | 484 |
Adjusted R2
| 0.008 | 0.019 | 0.016 | 0.004 | 0.005 | 0.007 | 0.012 | 0.011 | 0.012 | 0.001 |
4 Robustness checks
4.1 Alternative estimations of time-varying betas
GARCH | TGARCH | EGARCH | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Negative warn | Positive warn | Negative warn | Positive warn | Negative warn | Positive warn | |||||||
Mean (%) | t-stat | Mean (%) | t-stat | Mean (%) | t-stat | Mean (%) | t-stat | Mean (%) | t-stat | Mean (%) | t-stat | |
Panel A: Time-varying betas
| ||||||||||||
\(\beta_{{\left[ { - 201, - 1} \right]}}\)
| 0.64 | 0.73 | 0.64 | 0.73 | 0.63 | 0.66 | ||||||
\(\beta_{{\left[ {0, + 1} \right]}}\)
| 0.67** | 2.44 | 0.89*** | 7.96 | 0.66 | 1.53 | 0.88*** | 7.59 | 0.62 | −0.19 | 0.71** | 2.03 |
\(\beta_{{\left[ {0, + 2} \right]}}\)
| 0.67** | 2.43 | 0.88*** | 8.27 | 0.66 | 1.33 | 0.87*** | 7.81 | 0.63 | 0.15 | 0.70* | 1.81 |
\(\beta_{{\left[ {0, + 3} \right]}}\)
| 0.66** | 2.19 | 0.87*** | 8.22 | 0.65 | 0.98 | 0.87*** | 7.82 | 0.62 | −0.29 | 0.69 | 1.51 |
\(\beta_{{\left[ {0, + 4} \right]}}\)
| 0.66* | 1.82 | 0.87*** | 8.08 | 0.65 | 0.66 | 0.86*** | 7.75 | 0.62 | −0.48 | 0.69 | 1.25 |
\(\beta_{{\left[ {0, + 5} \right]}}\)
| 0.66 | 1.58 | 0.86*** | 7.90 | 0.65 | 0.40 | 0.86*** | 7.63 | 0.62 | −0.63 | 0.68 | 1.06 |
\(\beta_{{\left[ {0, + 6} \right]}}\)
| 0.65 | 1.36 | 0.85*** | 7.69 | 0.64 | 0.21 | 0.85*** | 7.49 | 0.62 | −0.76 | 0.68 | 0.92 |
\(\beta_{{\left[ {0, + 7} \right]}}\)
| 0.65 | 1.18 | 0.85*** | 7.42 | 0.64 | 0.09 | 0.85*** | 7.23 | 0.62 | −0.81 | 0.68 | 0.80 |
\(\beta_{{\left[ {0, + 8} \right]}}\)
| 0.65 | 1.02 | 0.84*** | 7.18 | 0.64 | 0.00 | 0.84*** | 6.98 | 0.62 | −0.81 | 0.67 | 0.69 |
\(\beta_{{\left[ {0, + 9} \right]}}\)
| 0.65 | 0.88 | 0.84*** | 7.02 | 0.64 | 0.18 | 0.84*** | 6.82 | 0.61 | −0.97 | 0.67 | 0.59 |
\(\beta_{{\left[ {0, + 10} \right]}}\)
| 0.65 | 0.81 | 0.84*** | 6.90 | 0.64 | 0.32 | 0.84*** | 6.70 | 0.61 | −1.11 | 0.67 | 0.52 |
MSE | 12.54 × 10−4
| 23.92 × 10−4
| 12.53 × 10−4
| 23.94 × 10−4
| 50.10 × 10−4
| 50.47 × 10−4
|
GARCH | TGARCH | EGARCH | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Negative warn | Positive warn | Negative warn | Positive warn | Negative warn | Positive warn | |||||||
Value (%) | t-stat | Value (%) | t-stat | Value (%) | t-stat | Value (%) | t-stat | Value (%) | t-stat | Value (%) | t-stat | |
Panel B: Time-varying beta-adjusted ARs and CARs
| ||||||||||||
\(\overline{AR}_{0}\)
| −3.45*** | −16.76 | 3.93*** | 12.47 | −3.45*** | −16.76 | 3.93*** | 12.47 | −3.46*** | −16.21 | 3.98*** | 12.04 |
\(\overline{AR}_{1}\)
| 0.01 | 0.04 | −0.83*** | −5.00 | 0.01 | 0.04 | −0.83*** | −5.00 | −0.03 | −0.16 | −0.85*** | −5.06 |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| 0.40* | 1.74 | −1.14*** | −4.68 | 0.40* | 1.74 | −1.14*** | −4.68 | 0.35 | 1.51 | −1.12*** | −4.79 |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| 0.49* | 1.89 | −1.22*** | −4.31 | 0.49* | 1.89 | −1.22*** | −4.31 | 0.45* | 1.71 | −1.15*** | −4.08 |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| 0.54* | 1.86 | −1.32*** | −4.30 | 0.54* | 1.86 | −1.32*** | −4.30 | 0.55* | 1.89 | −1.27*** | −4.12 |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| 0.72** | 2.21 | −1.63*** | −4.89 | 0.72** | 2.21 | −1.63*** | −4.89 | 0.71** | 2.14 | −1.58*** | −4.73 |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| 0.87** | 2.45 | −1.89*** | −5.04 | 0.87** | 2.45 | −1.89*** | −5.04 | 0.90** | 2.48 | −1.80*** | −4.73 |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| 0.98*** | 2.58 | −2.05*** | −5.10 | 0.98** | 2.58 | −2.05*** | −5.10 | 0.96** | 2.46 | −1.98*** | −4.83 |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| 1.04*** | 2.66 | −2.33*** | −5.51 | 1.04*** | 2.66 | −2.33*** | −5.51 | 1.04*** | 2.59 | −2.26*** | −5.22 |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| 1.24*** | 2.97 | −2.61*** | −5.99 | 1.24*** | 2.97 | −2.61*** | −5.99 | 1.20*** | 2.82 | −2.57*** | −5.75 |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| 1.18*** | 2.73 | −2.68*** | −5.87 | 1.18*** | 2.73 | −2.68*** | −5.87 | 1.13*** | 2.54 | −2.54*** | −5.46 |
4.2 Subperiod analysis
Market model | Time-varying beta adjustment (BEKK) | Savickas (2003) model | Savickas (2003) with time-varying betas | |||||
---|---|---|---|---|---|---|---|---|
Negative warning | Positive warning | Negative warning | Positive warning | Negative warning | Positive warning | Negative warning | Positive warning | |
Panel A: Price reaction to profit warnings: July 2007 to July 2009
| ||||||||
\(\overline{AR}_{0}\)
| −3.31*** | 6.04*** | −3.47*** | 6.08*** | −2.94*** | 6.79*** | −3.44*** | 6.01*** |
\(\overline{AR}_{1}\)
| 0.14 | −1.40*** | 0.02 | −1.19*** | 0.39 | −1.34 | −0.01 | −1.05** |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| 0.85** | −2.28*** | 0.60* | −1.95*** | 0.07 | −0.87 | −0.03** | −0.76 |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| 1.06*** | −2.40*** | 0.60 | −1.91*** | 0.06 | −0.80** | −0.06 | −0.78** |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| 1.16*** | −2.63*** | 0.54 | −2.10** | −0.13 | −0.68** | 0.15 | −0.81*** |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| 1.49*** | −2.37*** | 0.69 | −1.84** | 0.01 | −0.18 | −0.17 | −0.27 |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| 1.79*** | −2.99*** | 0.87* | −2.31** | 0.19 | −0.32** | 0.10 | −0.27** |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| 2.00*** | −3.14*** | 0.92* | −2.34** | 0.31 | −0.26** | 0.07 | −0.30** |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| 2.21*** | −3.99*** | 1.03* | −3.04*** | 0.13 | −0.34** | 0.12 | −0.35** |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| 2.45*** | −4.14*** | 1.10* | −3.27*** | 0.12 | −0.39** | 0.00 | −0.27* |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| 2.37*** | −4.09*** | 0.86 | −3.17*** | 0.20 | −0.30** | 0.08 | −0.23* |
N | 718 | 98 | 718 | 98 | 718 | 98 | 718 | 98 |
Panel B: Price reaction to profit warnings: August 2009 to July 2012
| ||||||||
\(\overline{AR}_{0}\)
| −3.61*** | 3.39*** | −3.53*** | 3.44*** | −4.27*** | 3.20*** | −3.44*** | 3.36*** |
\(\overline{AR}_{1}\)
| −0.18 | −0.68*** | −0.03 | −0.56*** | −0.53 | −0.72 | −0.01 | −0.91 |
\(\overline{CAR}_{{\left[ {1,2} \right]}}\)
| −0.24 | −0.83*** | −0.06 | −0.72*** | −0.02 | −0.27** | −0.03** | −0.52* |
\(\overline{CAR}_{{\left[ {1,3} \right]}}\)
| −0.32 | −0.91*** | −0.13 | −0.74** | −0.19 | −0.14 | −0.06 | −0.23** |
\(\overline{CAR}_{{\left[ {1,4} \right]}}\)
| −0.37 | −0.98*** | −0.07 | −0.75** | −0.07 | −0.06** | 0.15 | 0.01** |
\(\overline{CAR}_{{\left[ {1,5} \right]}}\)
| −0.38 | −1.42*** | −0.09 | −1.14*** | 0.01 | −0.14** | −0.17* | −0.04** |
\(\overline{CAR}_{{\left[ {1,6} \right]}}\)
| −0.43 | −1.60*** | −0.06 | −1.25*** | 0.01 | −0.23*** | 0.10 | −0.18*** |
\(\overline{CAR}_{{\left[ {1,7} \right]}}\)
| −0.49 | −1.77*** | −0.08 | −1.32*** | 0.08 | −0.11*** | 0.07 | −0.23*** |
\(\overline{CAR}_{{\left[ {1,8} \right]}}\)
| −0.61 | −1.90*** | −0.15 | −1.37*** | 0.07 | −0.13*** | 0.12 | −0.11*** |
\(\overline{CAR}_{{\left[ {1,9} \right]}}\)
| −0.49 | −2.21*** | 0.00 | −1.62*** | −0.08 | −0.13*** | 0.00 | −0.09*** |
\(\overline{CAR}_{{\left[ {1,10} \right]}}\)
| −0.53 | −2.32*** | 0.02 | −1.67*** | 0.06 | −0.14*** | 0.08 | −0.14*** |
N | 522 | 387 | 522 | 387 | 522 | 387 | 522 | 387 |