We are thankful to Michael Lundholm and Mahmood Arai for pointing us towards a coding error which invalidates the regressions in our paper. Correcting the code leads to a decrease in sample sizes, though much smaller than Arai et al. (2011) claim based on their "replication". An appropriate redefinition of the variables and of the model specification allows us to reproduce the substance of the empirical analysis in our original published paper. Although the results are now less clear-cut, our analysis remains essentially unchanged.
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)