The main dummy variable is LTO dummy which is equal to 1 if the LTO index is bigger than the U.S. LTO value and is zero otherwise. I use two more dummies as robustness check in table 4-c and table 4-d. The first one is based on the median value, those with index bigger than median have the dummy equal to 1. The second dummy is based on the ratio of the index over US index. If the ratio is bigger than 2 then dummy is equal to 1.
The coefficient on the interaction term between the ADR and performance is negative and significant when the LTO dummy is equal to 1. It suggests that cross-listed firms from countries with the higher LTO value become more sensitive to the poor performance compared with the non-cross-listed firms from the same country. For the firms in the countries with lower than US LTO index, the interaction term is positive, which means the firms become less sensitive to the poor performance.
In Table 4-b I run the same regression for the sample without Canadian firms and the results hold without any change. In table 4-c and 4-d I run robustness with different long term orientation measures and find the similar