Appendix A: Definitions Variable Definition AI ...

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items 34 and 9) and preferred stock (Compustat item 130) divided by book value of equity (Compustat item 60). Data source: COMPUSTAT. M&A. Percentage of ...
Appendix A: Definitions Variable AI

CAPEX

CF Future Asset Turnover Future ROA Future Sales Increase LEV

M&A Q

Size ψ

Definition Asymmetric information measured as the average of absolute abnormal return (-1, +1) around the previous four quarterly earnings announcements. Data source: COMPUSTAT, CRSP Percentage of capital expenditure, capital expenditure (Compustat item 128) scaled by previous-year book assets (Compustat item 6). Data source: COMPUSTAT Cash flow, defined as EBITDA (Compustat item 13) scaled by sales (Compustat item 12). Data source: COMPUSTAT Percentage of the average future 3-year asset turnover (total sales / total assets). Data source: COMPUSTAT Percentage of the average future 3-year return-on-asset. Data source: COMPUSTAT Percentage of the average future 3-year growth rate of sales. Data source: COMPUSTAT Book leverage, calculated as the sum of short- and long-term debt (Compustat items 34 and 9) and preferred stock (Compustat item 130) divided by book value of equity (Compustat item 60). Data source: COMPUSTAT Percentage of M&A investment (Compustat item 129) scaled by previousyear book assets (Compustat item 6). Data source: COMPUSTAT Tobin’s Q, market value of equity (Compustat item 199 times item 25) plus book value of preferred stock (Compustat item 130) and short- and long-term debt (Compustat items 34 and 9), scaled by the sum of book value of equity (Compustat item 60), book value of preferred stock (Compustat item 130), and short- and long-term debt (Compustat items 34 and 9). Data source: COMPUSTAT Log transformed asset value ($ billions). Data source: COMPUSTAT Stock return non-synchronicity, log [(1- R2)/ R2], where R2 is from the market model regression controlling for 3-digit industry and market value-weighted returns. We require at least 100 return observations. Data source: CRSP

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