Table 1
Descriptive statistics and correlation matrix
| Panel A | ||||||
| N | MEAN | P50 | SD | MIN | MAX | |
| P | 2,329 | 13.11 | 3.510 | 29.55 | 0.290 | 190 |
| BVPS | 2,329 | 4.700 | 2.192 | 7.774 | 0.237 | 53.63 |
| EPS | 2,329 | 0.554 | 0.164 | 1.551 | −2.464 | 9.404 |
| CUR_R | 2,329 | 2.330 | 1.481 | 2.797 | 0.185 | 19.51 |
| OCF_R | 2,329 | 0.255 | 0.124 | 0.897 | −3.053 | 4.914 |
| Panel B | ||||||
| P | BVPS | EPS | CUR_R | OCF_R | ||
| P | 1 | |||||
| BVPS | 0.7932* | 1 | ||||
| EPS | 0.6687* | 0.6237* | 1 | |||
| CUR_R | 0.0373 | 0.0534* | 0.1166* | 1 | ||
| OCF_R | 0.1124* | 0.0987* | 0.1918* | 0.2691* | ||
Note: Panels A and B present descriptive statistics and correlation matrix. P, BVPS, EPS, CUR_R, and OCF_R stand for stock price measured after 3 months from the fiscal year-end, book value of equity, earnings, current ratio, and operating cash flow ratio. All variables except for ratios are deflated by the number of shares outstanding. N, MEAN, P50, SD, MIN, and MAX refer to the total number of observations, mean, median, standard deviation, minimum, and maximum.
Table 2
Regression analyses I
| Panel A | Panel B | Panel C | Panel D | |||||
|---|---|---|---|---|---|---|---|---|
| CUR_R | OCF_R | CUR_R | OCF_R | CUR_R | OCF_R | CUR_R | OCF_R | |
| BVPS | 2.5069*** (0.0000) | 2.3294*** (0.0000) | 2.5195*** (0.0000) | 2.3970*** (0.0000) | 2.4865*** (0.0000) | 2.3853*** (0.0000) | 2.4885*** (0.0000) | 2.4222*** (0.0000) |
| EPS | 2.9678*** (0.0014) | 4.0545*** (0.0001) | 3.0946*** (0.0033) | 3.5681*** (0.0002) | 3.2280*** (0.0021) | 3.4692*** (0.0001) | 3.1020*** (0.0019) | 3.3031*** (0.0002) |
| D | 1.0518 (0.3236) | 0.1486 (0.7970) | 1.7871* (0.0958) | −0.0329 (0.9422) | 1.6955 (0.1337) | −0.4293 (0.2819) | 2.0250* (0.0895) | −0.2485 (0.7575) |
| BVPS × D | −0.0385 (0.8604) | 0.3960** (0.0498) | −0.2142 (0.4678) | 0.2972* (0.0800) | −0.1057 (0.6990) | 0.4277** (0.0480) | −0.0340 (0.9048) | 0.3595 (0.1993) |
| EPS × D | −0.2768 (0.7428) | −2.8686** (0.0107) | −1.1641 (0.3549) | −2.6974** (0.0148) | −1.6146 (0.2226) | −2.8390** (0.0196) | −1.0609 (0.3757) | −2.9793** (0.0142) |
| Constant | −0.7287 (0.5751) | −0.5818 (0.6490) | −0.7098 (0.5680) | −0.3334 (0.7921) | −0.6434 (0.6181) | −0.1795 (0.8851) | −0.6743 (0.6099) | −0.2034 (0.8670) |
| Observations | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 |
| R-squared | 0.911 | 0.913 | 0.911 | 0.913 | 0.911 | 0.913 | 0.911 | 0.912 |
| Firm FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Year FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Notes: The dependent variable of each regression is stock price measured after 3 months from the fiscal year-end. Panels A, B, C, and D present outcomes obtained for dividing the entire sample into 2, 3, 4, and 5 equal subsamples based on the current ratio and the OCF ratio. The first (second) column of each panel documents outcomes for the interaction term between accounting items and the low-liquidity dummy obtained for the current (OCF) ratio. BVPS, EPS, CUR_R, and OCF_R, respectively, refer to book value of equity, earnings, current ratio, and operating cash flow ratio. All variables, except for dummies, are deflated by the number of shares outstanding. Firm-fixed and year-fixed effects are controlled. P-values are in parentheses.
Table 3
Regression analyses II
| Panel A | Panel B | Panel C | Panel D | |||||
|---|---|---|---|---|---|---|---|---|
| CUR_R | OCF_R | CUR_R | OCF_R | CUR_R | OCF_R | CUR_R | OCF_R | |
| BVPS | 2.4948*** (0.0000) | 2.3223*** (0.0000) | 2.5098*** (0.0000) | 2.3889*** (0.0000) | 2.4760*** (0.0000) | 2.3742*** (0.0000) | 2.4772*** (0.0000) | 2.4103*** (0.0000) |
| EPS | 3.0578*** (0.0013) | 4.1315*** (0.0001) | 3.1723*** (0.0039) | 3.6572*** (0.0002) | 3.3147*** (0.0026) | 3.5815*** (0.0002) | 3.1992*** (0.0023) | 3.4253*** (0.0002) |
| D | 0.8783 (0.4079) | 0.1167 (0.8346) | 1.6475 (0.1328) | −0.0558 (0.9000) | 1.5299 (0.1894) | −0.4621 (0.2417) | 1.8670 (0.1254) | −0.2721 (0.7361) |
| BVPS × D | −0.0397 (0.8560) | 0.3906* (0.0554) | −0.2125 (0.4748) | 0.2901* (0.0891) | −0.1032 (0.7094) | 0.4240* (0.0502) | −0.0304 (0.9164) | 0.3575 (0.2076) |
| EPS × D | −0.1643 (0.8494) | −2.8299** (0.0121) | −1.0795 (0.3741) | −2.6454** (0.0173) | −1.5548 (0.2265) | −2.7938** (0.0217) | −1.0024 (0.3898) | −2.9309** (0.0183) |
| L | 1.0247 (0.1965) | 0.6951 (0.3205) | 0.7749 (0.1872) | 0.7673 (0.2845) | 0.7863 (0.1916) | 0.9012 (0.2026) | 0.8297 (0.1847) | 0.9526 (0.2145) |
| Constant | −0.9547 (0.4455) | −0.7775 (0.5319) | −0.8993 (0.4624) | −0.5610 (0.6474) | −0.8398 (0.5044) | −0.4498 (0.7056) | −0.8948 (0.4843) | −0.4960 (0.6714) |
| Observations | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 |
| R-squared | 0.911 | 0.913 | 0.911 | 0.913 | 0.912 | 0.913 | 0.911 | 0.912 |
| Firm FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Year FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Notes: The dependent variable of each regression is stock price measured after 3 months from the fiscal year-end. Panels A, B, C, and D present outcomes obtained for dividing the entire sample into 2, 3, 4, and 5 equal subsamples based on the current ratio and the OCF ratio. The first (second) column of each panel documents outcomes for the interaction term between accounting items and the low-liquidity dummy obtained for the current (OCF) ratio. BVPS, EPS, L, CUR_R, and OCF_R, respectively, refer to book value of equity, earnings, loss dummy, current ratio, and operating cash flow ratio. Loss is a dummy variable which is equal to 1 if EPS is negative. All variables, except for dummies, are deflated by the number of shares outstanding. Firm-fixed and year-fixed effects are controlled. P-values are in parentheses.
Table 4
Regression analyses III
| Panel A | Panel B | Panel C | Panel D | |||||
|---|---|---|---|---|---|---|---|---|
| CUR_R | OCF_R | CUR_R | OCF_R | CUR_R | OCF_R | CUR_R | OCF_R | |
| BVPS | 0.7063** (0.0452) | 0.5120* (0.0979) | 0.7182** (0.0358) | 0.5646* (0.0688) | 0.6997** (0.0320) | 0.5896* (0.0543) | 0.7273** (0.0179) | 0.5656* (0.0568) |
| EPS | 1.7381*** (0.0011) | 2.2798*** (0.0003) | 1.8239*** (0.0006) | 2.1087*** (0.0002) | 1.7248*** (0.0007) | 1.9182*** (0.0008) | 1.6644*** (0.0007) | 1.9560*** (0.0005) |
| D | −0.0345 (0.7583) | −0.1657* (0.0581) | −0.0365 (0.7405) | −0.1748* (0.0590) | −0.0803 (0.4969) | −0.1787** (0.0373) | −0.0431 (0.6003) | −0.2196** (0.0283) |
| BVPS × D | 0.0862 (0.7825) | 0.4261** (0.0382) | 0.1313 (0.7154) | 0.4250* (0.0677) | 0.3509 (0.3484) | 0.4060** (0.0373) | 0.2020 (0.4525) | 0.5514** (0.0156) |
| EPS × D | −0.1932 (0.8158) | −1.2309*** (0.0083) | −0.4271 (0.6481) | −1.0899** (0.0173) | 0.0257 (0.9809) | −0.7738 (0.1279) | 0.1417 (0.9071) | −0.9872* (0.0536) |
| Constant | 0.6404*** (0.0017) | 0.7001*** (0.0003) | 0.6251*** (0.0014) | 0.6821*** (0.0003) | 0.6314*** (0.0010) | 0.6801*** (0.0003) | 0.6267*** (0.0005) | 0.6828*** (0.0002) |
| Observations | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 | 2,329 |
| R-squared | 0.755 | 0.758 | 0.755 | 0.757 | 0.755 | 0.756 | 0.755 | 0.757 |
| Firm FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Year FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Notes: The dependent variable of each regression is stock price measured after 3 months from the fiscal year-end. Panels A, B, C, and D present outcomes obtained for dividing the entire sample into 2, 3, 4, and 5 equal subsamples based on the current ratio and the OCF ratio. The first (second) column of each panel documents outcomes for the interaction term between accounting items and the low-liquidity dummy obtained for the current (OCF) ratio. BVPS, EPS, CUR_R, and OCF_R, respectively, refer to book value of equity, earnings, current ratio, and operating cash flow ratio. All variables, except for dummies, are deflated by total assets. Firm-fixed and year-fixed effects are controlled. P-values in parentheses.