| |
Stock returns 1 quarters
|
Stock returns 2 quarters
|
|---|
|
Entire sample
|
Voluntary turnovers
|
Forced turnovers
|
Entire sample
|
Voluntary turnovers
|
Forced turnovers
|
|---|
|
Interim CEO succession
|
3.113
|
4.055
|
5.613
|
3.300
|
11.266**
|
−1.056
|
|
(2.519)
|
(3.264)
|
(3.865)
|
(2.756)
|
(5.127)
|
(3.425)
|
|
Log market cap
|
−0.171
|
−0.149
|
−0.862
|
−0.437
|
−0.482
|
0.205
|
|
(0.443)
|
(0.493)
|
(0.960)
|
(0.484)
|
(0.527)
|
(1.023)
|
|
Log book to market
|
3.26**
|
3.903***
|
−0.777
|
0.817
|
0.508
|
3.952
|
|
(1.265)
|
(1.316)
|
(3.562)
|
(1.359)
|
(1.366)
|
(3.852)
|
|
Momentum
|
−0.799
|
−3.186
|
3.976
|
−0.367
|
1.444
|
−5.438
|
|
(1.929)
|
(1.993)
|
(5.266)
|
(2.215)
|
(2.519)
|
(5.004)
|
|
Number of observations
|
1603
|
1264
|
339
|
1602
|
1264
|
338
|
|
R2
|
0.01
|
0.023
|
0.014
|
0.004
|
0.011
|
0.011
|
| |
Stock returns 3 quarters
|
Stock returns 4 quarters
|
|---|
|
Interim CEO succession
|
2.517
|
4.095
|
0.234
|
−0.228
|
−4.349
|
2.067
|
|
(2.316)
|
(4.559)
|
(2.857)
|
(2.036)
|
(3.100)
|
(3.192)
|
|
Log market cap
|
−1.297***
|
−1.378***
|
−1.316
|
−0.107
|
−0.030
|
−0.395
|
|
(0.437)
|
(0.483)
|
(0.901)
|
(0.418)
|
(0.390)
|
(1.085)
|
|
Log book to market
|
−1.447
|
−0.177
|
−7.886*
|
2.700**
|
1.989
|
5.462*
|
|
(1.366)
|
(1.367)
|
(4.219)
|
(1.212)
|
(1.301)
|
(2.920)
|
|
Momentum
|
3.359
|
2.129
|
10.357**
|
−1.679
|
−2.009
|
−1.612
|
|
(2.053)
|
(2.238)
|
(4.437)
|
(1.807)
|
(1.911)
|
(4.040)
|
|
Number of observations
|
1599
|
1262
|
337
|
1590
|
1259
|
331
|
|
R2
|
0.012
|
0.014
|
0.037
|
0.006
|
0.007
|
0.012
|
- This table reports results from a standard market model regression (see Fama and French 1992, 1993, 2008) that regresses 3-month buy-and-hold returns on our interim dummy and common asset pricing controls, which include log of market cap, log of book-to-market ratio, and the 11-month buy-hold return before the prior to the announcement date month (momentum). Buy-and-hold returns are accumulated from the first month immediately after the announcement date month to avoid the compounding effect from turnover announcement period returns for quarter 1 and the regressions are repeated to cover each of the four quarters following the interim appointment. Definitions for forced and voluntary turnover are provided in Table 1. Definitions for all other variables are provided in Appendix 1. Coefficient estimates are provided with robust standard errors shown in parentheses. Intercepts are not reported for brevity
- * p < 0.10, ** p < 0.05, *** p < 0.01