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Our data says that the document:
Lei, Zhang ; Massimo, Massa. (2015) Fire Sales and Information Advantage: When Informed Investor Helps.
In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10536.
Full description at Econpapers
cites:
Column (2) uses the Fama-French 3-factor (the domestic market, SMB and HML factor) adjusted abnormal returns. Column (3) uses the Fama-French 4-factor (the domestic market, SMB, HML and momentum factors) adjusted abnormal returns. We use 2003-2007 as the training period to estimate factor loadings. All the independent variables are taken at the end of year 2007. In column (1) and (4), the variable of interest is the foreign bank-affiliated ownership. In column (2)-(3) and column (5)-(6), we decompose foreign bank-affiliated ownership into high lending relationship ownership and low lending relationship ownership. Industry fixed-effects at two-digit SIC level and country fixed effects are included in all specifications. The standard errors are always clustered at the firm level. ***, ** and * represent significance levels at 1%, 5% and 10% respectively using robust standard errors with t-statistics given in parentheses.
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