Variables

Model 1

Model 2

Model 3

Model 4

Model 5

Model 6

Model 7

Model 8

Intercept

−1.6605^***

−0.4106^***

−0.4064^***

−0.7831

−2.8920^***

−0.6568^***

−0.6761^***

−0.8315^***

Return

0.0005^*

0.0008

0.0001

0.0001

0.05921^***

0.0159^***

0.0182^***

0.0116

Cash flow

0.2780^***

0.4683^***

0.4579^***

0.3900^***

0.5126^***

0.5116^***

Market-to-book

0.0002

0

0

0

−0.0003

−0.0001

−0.0001

0

Size

0.1380^***

0.0458^***

0.0410^***

0.0429^***

0.2159^***

0.0625^***

0.0607^***

0.0616^***

log(1 + NA)

0.0496^***

−0.0376^***

0.0096^**

0.0150^***

0.0575^***

−0.0226^***

0.0027

0.0031

log(1 + NA)^*return

−0.0063^***

−0.0019^***

−0.0025^***

−0.0061^***

−0.0428^***

−0.0120^***

−0.0137^***

−0.0129^***

log(1 + NA)^*cash flow

0.1244^***

0.0576^***

Future return

0.0003

−0.0013

DRI^*return

−0.0042

0.009

GDP^*return

0.0001^***

0.0001

CL

−0.0597^***

−0.0596^**

CL^*return

−0.0083

−0.0086

Country dummies

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Industry dummies

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Year dummies

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

R²

0.2969

0.5635

0.5424

0.5381

0.3597

0.5924

0.5901

0.5917

N

71,236

69,344

68,077

65,879

39,470

38,228

37,976

36,634