Table 3. Mean Values of Year by Year Regression Estimates by Book to Market Decile Book/Market Intercept Bad News Return Bad News Decile Intercept Slope Dummy 1 Dummy times Return 2 1 0.018 -0.006 -0.020 0.156 2 0.036 0.002 0.004 0.138 3 0.050 0.009 0.009 0.180 4 0.053 0.009 0.021 0.185 5 0.056 0.013 0.021 0.247 6 0.065 -0.005 0.008 0.227 7 0.061 0.005 0.037 0.303 8 0.057 0.003 0.042 0.328 9 0.040 -0.004 0.063 0.356 10 -0.003 -0.014 0.057 0.429 Notes. The table shows the mean values of the year by year regression estimates from 1985 to 1999. Table 4 Year by Year Bad News Slope Parameters for Book to Market Deciles 1 and 10 Year Bad News Bad News Decile 10 Slope Slope Minus Decile 1 Decile 10 Decile 1 1985 0.136 0.397 0.261
Table 3. Mean Values of Year by Year Regression Estimates by Book to Market Decile Book/Market Decile Intercept Bad News Intercept Dummy Return 1 Bad News Slope Dummy times Return 2 1 0.018 -0.006 -0.020 0.156 2 0.036 0.002 0.004 0.138 3 0.050 0.009 0.009 0.180 4 0.053 0.009 0.021 0.185 5 0.056 0.013 0.021 0.247 6 0.065 -0.005 0.008 0.227 7 0.061 0.005 0.037 0.303 8 0.057 0.003 0.042 0.328 9 0.040 -0.004 0.063 0.356 10 -0.003 -0.014 0.057 0.429 Notes. The table shows the mean values of the year by year regression estimates from 1985 to 1999. Table 4 Year by Year Bad News Slope Parameters for Book to Market Deciles 1 and 10 Year Bad News Slope Decile 1 Bad News Slope Decile 10 Decile 10 Minus Decile 1 1985 0.136 0.397 0.261