Table 4 (continued)
The table shows the results from OLS regressions:
perc_zeroret (log_mn_bidask) = β0 + β1*Segment + β2*Post + β3*Post-Merger*Segment
(for models 1 and 4);
perc_zeroret (log_mn_bidask) = β0 + β1*Segment + β2*Post + β3*Post-Merger*Segment
+ Σβi*Control Variables (for model 2 and 5);
perc_zeroret (log_mn_bidask) = β0 +β1*Segment + β2*Post + β3*Post*Segment
+ β4* afterdrop_beforeadd + Σβi*Control Variables (for model 3 and 6); and
All variables are as defined in table 2 of the paper. The regressions include both country and industry fixed effects, and standard errors are clustered by firm.
*** indicates statistical significance at the 0.01 level, ** indicates statistical significance at the 0.05 level, and * indicates statistical significance at the 0.10 level (two-tailed test).
Table 5: Liquidity changes and compliance with segment requirements
|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
(6)
|
|
Perc
_zeroret
|
Perc
_zeroret
|
Perc
_zeroret
|
log_mn
_bidask
|
log_mn
_bidask
|
log_mn
_bidask
|
Post-Merger
|
-0.047*
|
-0.033
|
-0.020
|
-0.114
|
-0.027
|
0.100
|
|
(1.84)
|
(1.26)
|
(0.79)
|
(1.35)
|
(0.32)
|
(1.22)
|
Compl5
|
-0.015**
|
|
|
-0.019
|
|
|
|
(2.55)
|
|
|
(0.94)
|
|
|
Post-Merger*Compl5
|
-0.002
|
|
|
-0.055**
|
|
|
|
(0.28)
|
|
|
(2.27)
|
|
|
Compl4
|
|
0.000
|
|
|
0.080***
|
|
|
|
(0.06)
|
|
|
(3.43)
|
|
Post-Merger*Compl4
|
|
-0.010
|
|
|
-0.094***
|
|
|
|
(1.35)
|
|
|
(3.45)
|
|
Qtrly
|
|
-0.068***
|
-0.060***
|
|
-0.358***
|
-0.342***
|
|
|
(4.75)
|
(4.02)
|
|
(7.00)
|
(6.40)
|
Post-Merger*Qtrly
|
|
0.029*
|
0.030*
|
|
0.081
|
0.112*
|
|
|
(1.86)
|
(1.81)
|
|
(1.29)
|
(1.74)
|
IFRS_USGAAP
|
|
|
0.038
|
|
|
-0.023
|
|
|
|
(1.64)
|
|
|
(0.15)
|
Post-Merger*IFRS_USGAAP
|
|
|
-0.098***
|
|
|
-0.392**
|
|
|
|
(3.84)
|
|
|
(2.47)
|
Auditor
|
|
|
-0.017
|
|
|
-0.039
|
|
|
|
(0.93)
|
|
|
(0.74)
|
Post-Merger*Auditor
|
|
|
0.030
|
|
|
0.089
|
|
|
|
(1.51)
|
|
|
(1.45)
|
English
|
|
|
0.002
|
|
|
0.094
|
|
|
|
(0.09)
|
|
|
(1.40)
|
Post-Merger*English
|
|
|
-0.033
|
|
|
-0.175**
|
|
|
|
(1.43)
|
|
|
(2.23)
|
Website
|
|
|
-0.010
|
|
|
0.172***
|
|
|
|
(0.63)
|
|
|
(3.25)
|
Post-Merger*Website
|
|
|
-0.014
|
|
|
-0.239***
|
|
|
|
(0.77)
|
|
|
(3.83)
|
Leverage
|
0.074***
|
0.079***
|
0.065***
|
0.390***
|
0.431***
|
0.366***
|
|
(3.15)
|
(3.36)
|
(2.81)
|
(4.00)
|
(4.43)
|
(3.95)
|
NI_Assets
|
-0.260***
|
-0.253***
|
-0.236***
|
-0.991***
|
-0.955***
|
-0.815***
|
|
(4.78)
|
(4.68)
|
(4.60)
|
(4.17)
|
(4.01)
|
(3.88)
|
#FExchanges
|
0.005
|
0.006
|
0.005
|
0.012
|
0.019
|
0.019
|
|
(0.84)
|
(1.00)
|
(0.92)
|
(0.41)
|
(0.63)
|
(0.67)
|
Sales Growth
|
-0.000
|
0.005
|
0.001
|
-0.105*
|
-0.069
|
-0.094
|
|
(0.03)
|
(0.46)
|
(0.11)
|
(1.82)
|
(1.19)
|
(1.62)
|
Size
|
-0.047***
|
-0.052***
|
-0.049***
|
-0.315***
|
-0.353***
|
-0.340***
|
|
(14.20)
|
(14.77)
|
(13.48)
|
(19.96)
|
(21.13)
|
(21.07)
|
USCROSSLISTED
|
-0.058*
|
-0.059*
|
-0.035
|
-0.498*
|
-0.494*
|
-0.275
|
|
(1.80)
|
(1.77)
|
(1.18)
|
(1.73)
|
(1.72)
|
(0.96)
|
ret_std
|
-4.822***
|
-4.503***
|
-5.010***
|
7.240***
|
9.421***
|
6.365***
|
|
(7.92)
|
(7.49)
|
(7.66)
|
(3.76)
|
(4.85)
|
(3.31)
|
Constant
|
0.592***
|
0.589***
|
0.603***
|
-2.626***
|
-2.629***
|
-2.515***
|
|
(15.15)
|
(15.08)
|
(15.34)
|
(19.45)
|
(19.38)
|
(18.89)
|
|
|
|
|
|
|
|
Observations
|
1,317
|
1,317
|
1,317
|
1,317
|
1,317
|
1,317
|
Adjusted R-squared
|
0.26
|
0.27
|
0.29
|
0.52
|
0.55
|
0.59
|
(continues on next page)
Table 5 (continued)
The table shows the results from OLS regressions, run on the segment firms only:
perc_zeroret (log_mn_bidask) = β0 + β1*Post-Merger + β2*Compl5 + β3*Post-Merger*Compl5 + Σβi*Control Variables (for models 1 and 4);
perc_zeroret (log_mn_bidask) = β0 + β1*Post-Merger + β2*Compl4 + β3*Post-Merger*Compl4 +β4*Qtrly_dum + β5*Post-Merger*Qtrly_dum + Σβi*Control Variables (for models 2 and
5); and
perc_zeroret (log_mn_bidask) = β0 + β1*Post-Merger + Σβi*Individual_Compliance_Var
+ Σβj*Post-Merger*Individual_Compliance_Var + Σβk*Control Variables (for models 3 and 6).
The variables in these models are as defined in table 2.
*** indicates statistical significance at the 0.01 level, ** indicates statistical significance at the 0.05 level, and * indicates statistical significance at the 0.10 level (two-tailed test).
Table 6: Timely loss recognition results by pre-/post- merger and segment/non-segment partitions
|
(1)
|
(2)
|
(3)
|
|
(4)
|
(5)
|
(6)
|
|
(7)
|
(8)
|
(9)
|
|
NonSeg Firms
|
Segment Firms
|
Diff.
Seg/
NonSeg
|
|
NonSeg Firms
|
LowCompl Segment Firms
|
Diff.
NonSeg/
LowCompl
|
|
NonSeg Firms
|
HighCompl Segment Firms
|
Diff.
NonSeg/
HighCompl
|
Return
|
0.001
|
0.001
|
|
|
0.001
|
-0.002
|
|
|
0.001
|
0.002
|
|
|
(1.21)
|
(0.26)
|
|
|
(1.21)
|
(0.41)
|
|
|
(1.21)
|
(0.71)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NegRet
|
0.005
|
0.010
|
|
|
0.005
|
0.028
|
|
|
0.005
|
0.001
|
|
|
(1.25)
|
(1.10)
|
|
|
(1.25)
|
(1.31)
|
|
|
(1.25)
|
(0.15)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NegRet*Return
|
0.096***
|
0.127***
|
|
|
0.096***
|
0.189***
|
|
|
0.096***
|
0.084***
|
|
|
(7.73)
|
(6.12)
|
|
|
(7.73)
|
(4.83)
|
|
|
(7.73)
|
(3.33)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Post-Merger
|
-0.003
|
-0.008
|
|
|
-0.003
|
-0.011
|
|
|
-0.003
|
-0.006
|
|
|
(0.88)
|
(1.28)
|
|
|
(0.88)
|
(0.81)
|
|
|
(0.88)
|
(0.95)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Post-Merger*Return
|
0.001
|
0.006*
|
|
|
0.001
|
0.006
|
|
|
0.001
|
0.005
|
|
|
(0.47)
|
(1.85)
|
|
|
(0.47)
|
(0.82)
|
|
|
(0.47)
|
(1.61)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Post-Merger*NegRet
|
-0.011*
|
0.002
|
|
|
-0.011*
|
-0.018
|
|
|
-0.011*
|
0.009
|
|
|
(1.70)
|
(0.13)
|
|
|
(1.70)
|
(0.68)
|
|
|
(1.70)
|
(0.67)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Post-Merger*NegRet
|
0.032*
|
0.075***
|
0.044
|
|
0.032*
|
0.031
|
-0.001
|
|
0.032*
|
0.100***
|
0.069*
|
*Return
|
(1.71)
|
(2.64)
|
(1.35)
|
|
(1.71)
|
(0.59)
|
(0.02)
|
|
(1.71)
|
(2.80)
|
(1.74)
|
|
|
|
|
|
|
|
|
|
|
|
|
Constant
|
0.036***
|
0.044***
|
|
|
0.036***
|
0.054***
|
|
|
0.036***
|
0.039***
|
|
|
(15.23)
|
(8.60)
|
|
|
(15.23)
|
(4.59)
|
|
|
(15.23)
|
(7.31)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Observations
|
3,539
|
1,317
|
|
|
3,539
|
429
|
|
|
3,539
|
888
|
|
Adjusted R2
|
0.48
|
0.47
|
|
|
0.48
|
0.36
|
|
|
0.48
|
0.53
|
|
(continues on next page)
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