1. CAR(2;60)) on earnings surprise (SUE), interaction of SUE with the conglomerate dummy, (Conglo), and the interactions of SUE with a set of control variables, as well as the conglomerate dummy and the set of control variables themselves. The control variables include market-to-book (MB), size (Size), institutional ownership (IO), a quarterly loss dummy that takes on a value of one when the firm incurs losses (Loss), a measure of transaction costs (Amihud) and where appropriate we also control for time-varying earnings persistence (EP), textual complexity (FOG), analyst responsiveness (DRESP), earnings volatility (EarnVol) and earnings quality (VolDA). The regressions are performed every calendar quarter using the most recently computed SUE per firm;Note: This table presents the results for quarterly Fama-MacBeth regressions of size and market-to-book adjusted cumulative returns in the 60 trading days following earnings announcements
2. We got the (FOG) data from Feng Li's website, for which we are grateful. Following Zhang (2008) our measure of analyst responsiveness at the firm level is an indicator variable (DRESPj,t) which equals 1 if at least one analyst following firm j in quarter t is responsive to earnings announcements, and 0 otherwise;Earnings Persistence (EP) is the firm-specific time-varying autocorrelation between two adjacent quarterly seasonally differenced earnings (SDE), where the autocorrelation is estimated in a two-step procedure using 14 persistence-related firm characteristics each quarter following Chen,1977