First stage

Heckman two stage estimation

Model 1

Model 2

Model 3

Model 4

(Probit)

(Probit)

(Probit)

(Probit)

Intercept

−1.1459***

−0.3610***

−0.2465**

−0.2560***

Size

0.1614***

0.1098***

0.1023***

0.1000***

RV

−0.0016

−0.0002

−0.0002

−0.0001

EV

−0.0038***

−0.0035***

−0.0034*

−0.0037**

TV

−0.0159***

−0.0159***

−0.0159***

−0.0119***

O

−0.0026***

−0.0027***

−0.0027***

−0.0028***

Second stage

Model 1

Model 2

Model 3

Model 4

(I/K)

(I/K)

(I/K)

(I/K)

Intercept

−0.9749***

−1.4087***

−1.2084***

−1.3052***

Return

0.0758***

0.1029***

0.0915***

0.0521***

Cash flow

0.0849***

0.0458***

0.0610***

Market-to-book

−0.0003

−0.0002

−0.0002

−0.0002

Size

0.2257***

0.2644***

0.2487***

0.2546***

log(1 + NA)

0.0082

0.0726**

0.0683**

0.0836***

log(1 + NA)*return

−0.0554***

−0.0689***

−0.0651***

−0.0693***

log(1 + NA)*

−0.0321**

Cash flow

Future return

0.0041

DRI*return

0.1257***

GDP*return

0.0003***

CL

−0.4840***

CL*return

0.0041

λ

0.8518***

−0.8103***

−1.1147***

−0.9973***

N

28,238

27,580

27,384

26,771