Table 8 Validation tests.

From: Consequences of firm-specific stock price crashes on analyst forecasts: Evidence from China

 

(1)

(2)

(3)

(4)

 

Visit

Non-visit

Local

Non-local

 

FERROR

FERROR

FERROR

FERROR

CRASH

−0.167

−0.560

1.486

−0.738

 

(3.168)

(0.968)

(1.499)

(1.136)

POST

0.109

0.069**

−0.121*

0.083**

 

(0.085)

(0.031)

(0.069)

(0.033)

CRASH*POST

−0.179

−0.188***

−0.117

−0.188***

 

(0.109)

(0.042)

(0.089)

(0.042)

SIZE

0.166

−0.544*

0.001

−0.478

 

(0.815)

(0.305)

(0.460)

(0.342)

LEV

−3.009

−0.330

0.240

−0.734

 

(2.272)

(0.580)

(1.065)

(0.733)

ROA

−23.739***

−15.310***

−13.461***

−16.299***

 

(5.862)

(2.184)

(3.267)

(2.446)

INBOARD

2.159*

0.227

0.029

0.439

 

(1.271)

(0.367)

(0.775)

(0.419)

INDENP

2.066

0.512

0.459

0.720

 

(4.220)

(1.195)

(2.341)

(1.478)

SHRCR

0.060

0.006

−0.018

0.010

 

(0.037)

(0.012)

(0.012)

(0.013)

INST

−0.167

−0.622**

−0.587

−0.609**

 

(0.718)

(0.283)

(0.461)

(0.301)

AUDITFEE

−0.378

0.129

−0.260

0.097

 

(0.242)

(0.115)

(0.202)

(0.115)

SOE

−2.067

−0.275

−0.407

−0.309

 

(2.805)

(0.412)

(0.468)

(0.610)

COMMITTEE

0.538

0.163

−0.179

0.287

 

(0.492)

(0.287)

(0.470)

(0.277)

BIG4

0.149

−0.075

−0.167

−0.044

 

(0.587)

(0.249)

(0.331)

(0.261)

EXP

−0.018

0.000

0.009

−0.001

 

(0.011)

(0.001)

(0.008)

(0.001)

HORIZON

0.071***

0.058***

0.038***

0.062***

 

(0.014)

(0.005)

(0.011)

(0.005)

SPECIFIC

0.018

−0.001

0.018

−0.000

 

(0.016)

(0.002)

(0.024)

(0.002)

TFOLLOWING

−0.001

−0.000

−0.001

−0.000

 

(0.002)

(0.000)

(0.001)

(0.000)

BSIZE

−0.014

−0.011**

−0.015

−0.011**

 

(0.011)

(0.005)

(0.011)

(0.005)

TEAM

−0.108**

−0.020**

0.094*

−0.027***

 

(0.044)

(0.010)

(0.054)

(0.009)

_cons

−11.350

12.444*

2.970

10.627

 

(19.042)

(7.433)

(11.090)

(8.149)

N

5574

51263

4412

52425

R2

0.727

0.654

0.705

0.654

Year

Yes

Yes

Yes

Yes

Match

Yes

Yes

Yes

Yes

  1. Table 8 shows the results of the validation analysis. Columns 1 and 2 are grouped according to analyst site visits. Columns 3 and 4 columns are grouped according to geographical proximity. The regression includes year and matched-pair fixed effects. The sample covers the company-month-analyst data of non-missing values of all variables during the period 2001–2020. Robust t-statistics corrected for firm clustering are reported in parentheses. *, ** and *** indicate statistical significance at the 10%, 5% and 1% levels, respectively. All variables are defined in Appendix A.
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