| Variable |
Model 3 |
Model 4 |
Model 5 |
| Spread |
Spread |
Spread |
|
| Credit |
|
−0.616*** |
|
|
|
|
(−7.41) |
|
| Rating |
|
|
−0.623*** |
|
|
|
|
(−6.97) |
| DisSz |
−0.180** |
−0.164* |
−0.150* |
|
|
(−1.99) |
(−1.97) |
(−1.65) |
| Big4 |
−0.349** |
−0.333** |
−0.285* |
|
|
(−2.12) |
(−2.19) |
(−1.82) |
| Conserv |
0.298 |
0.245 |
0.400 |
|
|
(1.18) |
(1.05) |
(1.58) |
| VarRoe |
24.44** |
29.23*** |
32.15*** |
|
|
(2.15) |
(2.77) |
(2.86) |
| Roe |
−1.581** |
−0.868 |
−0.706 |
|
|
(−2.20) |
(−1.29) |
(−1.00) |
| Size |
−0.351*** |
0.126 |
−0.0426 |
|
|
(−5.89) |
(1.48) |
(−0.55) |
| Lev |
0.778 |
−0.625 |
−0.319 |
|
|
(1.47) |
(−1.19) |
(−0.56) |
| CFO |
−0.217 |
−0.0721 |
−0.0629 |
|
|
(−0.26) |
(−0.09) |
(−0.08) |
| CR |
−0.0811 |
−0.0952 |
−0.0859 |
|
|
(−1.17) |
(−1.49) |
(−1.29) |
| LLR |
−0.00103 |
0.000980 |
0.00230 |
|
|
(−0.32) |
(0.33) |
(0.75) |
| GDPgrow |
0.186*** |
0.130** |
0.154** |
|
|
(2.72) |
(2.04) |
(2.58) |
| State |
−0.461*** |
−0.323*** |
−0.274** |
|
|
(−3.81) |
(−2.85) |
(−2.21) |
| Duration |
−0.0652 |
−0.0644 |
−0.0615 |
|
|
(−1.46) |
(−1.55) |
(−1.56) |
| Guarantee |
−0.147 |
−0.261** |
0.165 |
|
|
(−1.13) |
(−2.16) |
(1.37) |
| Type S |
1.181* |
1.453** |
|
|
|
(1.87) |
(2.48) |
|
| Type C |
1.708*** |
2.499*** |
0.325** |
|
|
(3.12) |
(4.83) |
(2.30) |
| Type E |
|
|
−0.699 |
|
|
|
|
(−1.37) |
| Type M |
1.601*** |
2.057*** |
|
|
|
(2.82) |
(3.89) |
|
| Inds |
Control |
Control |
Control |
| N |
351 |
351 |
255 |
| R2 |
0.427 |
0.510 |
0.583 |