臺大管理論叢 NTU Management Review VOL.30 NO.2

199 NTU Management Review Vol. 30 No. 2 Aug. 2020 Table 8 Additional Analysis 2 E ff ects of Merger & Acquisition Control M&A at stage I Exclusion of M&A samples Coef. Std. Err. t p > t # Coef. Std. Err. t p > t # ICW 0.012 0.005 2.370 0.018 0.013 0.005 2.450 0.015 BV 0.543 0.088 6.140 0.000 0.547 0.089 6.130 0.000 NI 0.690 0.414 1.670 0.061 0.709 0.419 1.690 0.058 SIZE 0.005 0.002 1.940 0.038 0.005 0.002 2.060 0.031 DIV_ASSET 0.052 0.020 2.630 0.011 0.052 0.020 2.630 0.011 DIV_REV -0 .007 0.013 -0.520 0.306 -0.009 0.013 -0.730 0.241 ZSCORE -0 .007 0.003 -2.680 0.010 -0 .007 0.003 -2.590 0.012 IMR 0.005 0.002 2.810 0.008 0.006 0.002 2.740 0.009 _cons -0.049 0.040 -1.220 0.124 -0.052 0.040 -1.300 0.110 Number of obs 141 135 F (8, 12) 30.13 31.28 Prob > F 0.000 0.000 R-squared 0.599 0.601 Root MSE 0.026 0.026 Note: See Appendix for variable definitions. # P -values are presented in one-tailed. 4.4.3 Short-Term Market Reactions As a robustness test, this study conducts the approach suggested by Hammersley, Myers, and Shakespeare (2008) to capture investors’ perception of ICW disclosures. Specifically, we calculate the three-day cumulative abnormal returns (CARs) around the financial statement disclosure. Then, we regress three-day CARs on change in earnings and ICW. The untabulated result indicates that the coefficient of ICW is not significant in this specification ( p = 0.2), and this study suggests that it may be due to the following reasons: (i) banks do not change frequently regarding reporting zero or non-zero ICW, and hence the change in ICW is less suitable in the change-design such as the CAR analysis, or (ii) the sample size is relatively small, hence limiting the identification of a significant association.