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 |