|
| (1) | (2) | (3) | (4) |
| Inform | 0.120*** (37.66) | 0.123*** (37.23) | 0.124*** (36.73) | 1.676*** (37.77) |
| Inform × ILLIQ |
|
|
| 0.086*** (34.89) |
| RD | 2.158*** (23.10) | 1.964*** (20.65) | 2.154*** (21.96) | 2.534*** (27.26) |
| Tobin | 0.004 (1.48) | −0.026*** (−10.07) | −0.013*** (−5.24) | −0.070*** (−26.03) |
| Cash | −0.838*** (−38.78) | −0.943*** (−42.17) | −1.061*** (−46.34) | −0.619*** (−28.39) |
| Lev | −0.034** (−2.29) | 0.003 (0.21) | −0.030* (−1.92) | 0.154*** (10.33) |
| Capital | 1.765*** (45.31) | 1.849*** (46.30) | 1.749*** (43.51) | 1.485*** (37.52) |
| Size | 0.932*** (401.18) | 0.878*** (323.30) | 0.923*** (367.59) | 0.705*** (190.71) |
| ROE | 1.589*** (59.86) | 1.194*** (40.80) | 1.649*** (57.87) | 1.087*** (40.89) |
| Age | 0.026*** (50.44) | 0.031*** (57.30) | 0.034*** (61.05) | 0.025*** (47.89) |
| Nature | −0.294*** (−60.01) | −0.223*** (−42.95) | −0.288*** (−55.63) | −0.256*** (−52.08) |
| Inst | 0.840*** (76.97) | 0.776*** (67.89) | 0.867*** (74.08) | 1.020*** (89.03) |
| Analyst |
| 0.167*** (41.45) |
|
|
| DSP |
|
| 0.004*** (3.26) |
|
| ILLIQ |
|
|
| −0.336*** (−84.29) |
| Industry effect | Control | Control | Control | Control |
| Annual effect | Control | Control | Control | Control |
| N | 8786 | 7053 | 5869 | 8786 |
| Voung | 15.912 | 14.492 | 13.801 | 15.773 |
| p | 0.000 | 0.000 | 0.000 | 0.000 |