Table 6 (continued) The table includes results from the following OLS regression: NI_Assets = + + + + + β0Return β1NegRet β2Return*NegRet β3Post β4Post-Merger*Return β5Post-Merger*NegRet + + β6Post-Merger*Return*NegRet ε Variables are defined in table 2, and the regressions include firm fixed effects. The table also includes a comparison of the coefficient of interest, i.e. the coefficient on the interaction Post-Merger*Return*NegRet, between the samples of segment and non-segment firms (column 3), non-segment and low-compliance segment firms (column 6), and non-segment and high-compliance segment firms (column 9). Statistical tests on the differences in the coefficients on the triple interaction term are t-tests computed by running stacked regressions in which the first of each pair of models is run after adding an interaction between each term in the model and Segment (column 2), Low-Compliance Segment (column 5), or High-Compliance Segment (column 8) designations. *** 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 (continued) The table includes results from the following OLS regression: NI_Assets = β0Return + β1NegRet + β2Return*NegRet + β3Post + β4Post-Merger*Return + β5Post-Merger*NegRet + β6Post-Merger*Return*NegRet + ε Variables are defined in table 2, and the regressions include firm fixed effects. The table also includes a comparison of the coefficient of interest, i.e. the coefficient on the interaction Post-Merger*Return*NegRet, between the samples of segment and non-segment firms (column 3), non-segment and low-compliance segment firms (column 6), and non-segment and high-compliance segment firms (column 9). Statistical tests on the differences in the coefficients on the triple interaction term are t-tests computed by running stacked regressions in which the first of each pair of models is run after adding an interaction between each term in the model and Segment (column 2), Low-Compliance Segment (column 5), or High-Compliance Segment (column 8) designations. *** 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).
Euronext-I-March-2013.docx