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 | 4.03** | 4.13* | − 3.55 | − 2.88 | − 5.64 | ||
(0.02) | (0.08) | (0.31) | (0.40) | (0.13) | |||
Firm stock return | 0.47*** | 0.55*** | 0.49** | 0.69*** | |||
(0.00) [3.74] | (0.00) [4.03] | (0.01) [4.28] | (0.00) [5.21] | ||||
Peer return (industry) | − 0.11 | − 0.30 | |||||
(0.56) [4.15] | (0.40) [5.07] | ||||||
Peer return (industry/size) | − 0.32** | − 0.66** | |||||
(0.05) [4.70] | (0.02) [5.30] | ||||||
Unsystematic firm perf | 0.69*** | ||||||
(0.00) [1.85] | |||||||
Systematic firm perf | 0.03 | ||||||
(0.89) [2.87] | |||||||
Firm size (sales) | 0.36*** | 0.36*** | 0.69*** | 0.67*** | 0.67*** | ||
(0.00) [4.05] | (0.00) [4.04] | (0.00) [5.07] | (0.00) [5.08] | (0.00) [5.08] | |||
Growth options | − 1.19 | − 1.27 | 0.56 | 0.22 | 0.22 | ||
(0.35) [4.53] | (0.32) [4.54] | (0.95) [13.43] | (0.94) [13.45] | (0.94) [13.45] | |||
Year dummies | Yes | Yes | Yes | Yes | Yes | ||
Industry dummies | Yes | Yes | Yes | Yes | Yes | ||
Country dummies | Yes | Yes | Yes | Yes | Yes | ||
Adjusted R 2 | 79.14% | 79.36% | 63.27% | 64.52% | 64.52% | ||
Number of observations | 335 | 335 | 162 | 162 | 162 |