Peer Firm Average Equity Shock

Contemporaneous

1-Period-Lead

Independent Vars.

Independent Vars.

Firm-specific Factors

size

0.00849*

0.0119

(0.00485)

(0.0160)

mtbr_a

0.0108

−0.00681

(0.00844)

(0.0222)

prof

−0.0440

−0.156

(0.0292)

(0.110)

tang

0.0246

0.0773

(0.0167)

(0.0626)

PFA Characteristics

YES

YES

Firm i Equity Return Shock

YES

YES

Industry Fixed Effects

YES

YES

Year Fixed Effects

YES

YES

Observations

8432

8432

R-squared

0.856

0.933