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 | 2.08** | 2.25* | − 0.84 | − 0.60 | − 2.44 | ||
(0.02) | (0.08) | (0.78) | (0.84) | (0.42) | |||
Firm stock return | 0.47*** | 0.60*** | 0.55** | 0.85*** | |||
(0.00) [4.39] | (0.00) [4.68] | (0.02) [6.17] | (0.00) [7.22] | ||||
Peer return(industry) | − 0.09 | − 0.29 | |||||
(0.59) [4.58] | (0.37) [5.99] | ||||||
Peer return (industry/size) | − 0.31** | − 0.66** | |||||
(0.04) [5.46] | (0.02) [6.97] | ||||||
Unsystematic firm perf | 0.85*** | ||||||
(0.00) [1.69] | |||||||
Systematic firm perf | 0.09 | ||||||
(0.63) [2.72] | |||||||
Firm size (sales) | 0.36*** | 0.36*** | 0.70*** | 0.65*** | 0.65*** | ||
(0.00) [4.04] | (0.00) [4.05] | (0.00) [5.03] | (0.00) [5.17] | (0.00) [5.17] | |||
Growth options | − 1.12 | − 1.37 | 0.48 | 0.33 | 0.33 | ||
(0.34) [4.57] | (0.28) [4.56] | (0.87) [13.48] | (0.90) [13.42] | (0.90) [13.42] | |||
Year dummies | Yes | Yes | Yes | Yes | Yes | ||
Industry dummies | Yes | Yes | Yes | Yes | Yes | ||
Country dummies | Yes | Yes | Yes | Yes | Yes | ||
Adjusted R2 | 79.14% | 79.42% | 63.28% | 64.92% | 64.92% | ||
Number of observations | 335 | 335 | 162 | 162 | 162 |