| |
Lagged government control
|
PSM
|
Change of ownership
|
|---|
|
(1)
|
(2)
|
(3)
|
|---|
|
ΔCASH
|
1.892***
(17.18)
|
1.770***
(10.04)
|
1.291***
(4.67)
|
|
ΔCASH × GOV
|
− 0.285***
(− 3.37)
|
− 0.403***
(− 3.51)
| |
|
ΔCASH × Transfer
| | |
0.639***
(3.24)
|
|
ΔEBIT
|
1.451***
(17.00)
|
1.348***
(10.72)
|
1.074***
(5.63)
|
|
ΔNA
|
0.471***
(17.98)
|
0.430***
(9.86)
|
0.498***
(6.92)
|
|
ΔINT
|
0.983*
(1.72)
|
0.324
(0.31)
|
− 0.647
(− 0.38)
|
|
ΔDIV
|
2.867***
(7.98)
|
2.426***
(3.85)
|
2.275**
(2.30)
|
|
CASH
|
0.181***
(6.39)
|
0.059
(1.30)
|
0.135
(1.57)
|
|
MLEV
|
− 0.616***
(− 20.05)
|
− 0.555***
(− 11.59)
|
− 0.683***
(− 7.69)
|
|
NF
|
− 0.024
(− 0.59)
|
0.041
(0.64)
|
0.010
(0.08)
|
|
ΔCASH × CASH
|
− 1.436***
(− 6.47)
|
− 1.292***
(− 3.99)
|
− 2.029***
(− 4.40)
|
|
ΔCASH × MLEV
|
− 2.450***
(− 8.52)
|
− 1.856***
(− 3.81)
|
− 2.582***
(− 3.48)
|
|
GOV
|
− 0.016**
(− 1.98)
|
− 0.042***
(− 3.88)
| |
|
Transfer
| | |
0.048**
(2.03)
|
|
Constant
|
− 0.021
(− 0.81)
|
− 0.078**
(− 2.44)
|
− 0.045*
(− 1.66)
|
|
Year effect
|
Yes
|
Yes
|
Yes
|
|
Industry effect
|
Yes
|
Yes
|
Yes
|
|
R-squared
|
0.22
|
0.27
|
0.25
|
|
Observations
|
18,285
|
19,594
|
2208
|
- The table reports the results of addressing endogeneity concerns. The dependent variable is excess stock returns (r − RB). Δ indicates the change from the previous year. All variables except GOV, Transfer, and MLEV are deflated by the lagged market value of equity (MVE). The definitions of all variables are in Table 1. For all regressions, t-statistics (in parentheses) are based on robust standard errors clustered at the firm level
- ***, ** and * denote significance at the 1%, 5%, and 10% levels, respectively