From: Preaching water but drinking wine? Relative performance evaluation in international banking
Panel A: weak-form RPE tests | Panel B: weak-form RPE tests | Panel C: strong-form RPE tests | |||||
---|---|---|---|---|---|---|---|
– Full sample | – Disclosure subsample | – Disclosure subsample | |||||
Independent variables | Industry peer group | Industry/size peer group | Industry peer group | Industry/size peer group | Industry/size peer group | ||
Intercept | 2.12 | 2.16 | − 0.53 | − 0.46 | − 2.57 | ||
(0.13) | (0.13) | (0.86) | (0.88) | (0.41) | |||
Firm stock return | 0.52*** | 0.54*** | 0.66*** | 0.69*** | |||
(0.00) [4.14] | (0.00) [4.14] | (0.00) [5.31] | (0.00) [5.42] | ||||
Peer return(industry) | − 0.23 | − 0.63* | |||||
(0.19) [5.05] | (0.07) [5.92] | ||||||
Peer return (industry/size) | − 0.28 | − 0.65** | |||||
(0.11) [5.14] | (0.05) [6.05] | ||||||
Unsystematic firm perf | 0.69*** | ||||||
(0.00) [1.71] | |||||||
Systematic firm perf | 0.06 | ||||||
(0.79) [3.15] | |||||||
Firm size (sales) | 0.36*** | 0.36*** | 0.68*** | 0.68*** | 0.68*** | ||
(0.00) [4.04] | (0.00) [4.04] | (0.00) [5.05] | (0.00) [5.05] | (0.00) [5.05] | |||
Growth options | − 1.25 | − 1.28 | 0.24 | 0.18 | 0.18 | ||
(0.33) [4.54] | (0.32) [4.54] | (0.93) [13.46] | (0.95) [13.47] | (0.95) [13.47] | |||
Year dummies | Yes | Yes | Yes | Yes | Yes | ||
Industry dummies | Yes | Yes | Yes | Yes | Yes | ||
Country dummies | Yes | Yes | Yes | Yes | Yes | ||
Adjusted R2 | 79.24% | 79.30% | 64.20% | 64.38% | 64.38% | ||
Number of observations | 335 | 335 | 162 | 162 | 162 |