143
1. Standard errors in parentheses 2. +p<0.10, *p<0.05, **p<0.01, ***p<0.001
Observations R2 Adjusted R2 F
Constant
Market risk premium
Risk-free rate
SMB
HML
Dividend/price
Price/earnings
2000-2002xAggregate dis
Aggregate disagreement
-0.448*** (0.103) 0.0992** (0.0320) 0.00230 (0.00853) 19.69 (19.93) -3.200* (1.286) -3.295*** (0.845) -175.4*** (29.05) -2.068* (0.899) 2.388** (0.865) 1875 0.068 0.059 16.90
(1) Ret. 20 mos.
(2) Ret. 21 mos. -0.512*** (0.102) 0.123*** (0.0318) -0.00213 (0.00855) 15.47 (19.95) -1.940 (1.280) -2.352** (0.842) -180.7*** (28.90) -0.836 (0.893) 2.818** (0.864) 1862 0.070 0.061 17.36
(3) Ret. 22 mos. -0.550*** (0.102) 0.135*** (0.0316) -0.00452 (0.00849) 0.776 (19.82) -2.245+ (1.273) -2.199** (0.837) -204.6*** (28.67) -0.664 (0.887) 3.336*** (0.859) 1855 0.069 0.060 17.05
(4) Ret. 23 mos. -0.580*** (0.111) 0.144*** (0.0345) -0.00347 (0.00926) -2.798 (21.64) -1.869 (1.382) -2.382** (0.911) -217.4*** (31.14) -0.323 (0.964) 3.553*** (0.936) 1834 0.063 0.055 15.37
(5) Ret. 24 mos. -0.495*** (0.101) 0.136*** (0.0316) -0.00221 (0.00846) 11.67 (19.77) -2.466+ (1.263) -2.901*** (0.832) -228.6*** (28.44) 0.198 (0.882) 2.900*** (0.857) 1819 0.075 0.066 18.31
Table 7: Effect of aggregate disagreement on post-IPO abnormal returns months 20-24