Variables

Model 1

Model 2

Model 3

Model 4

Model 5

Model 6

Model 7

Model 8

Intercept

−0.3085^***

−0.0983

−0.6358^***

−0.4426^***

−0.6255^***

−0.2410^***

−0.9611^***

−0.5631^***

Return

0.0001

0.0001

0.0051

0.0044

0.0001

0.0002

0.0034

0.0036

Dummy

−0.1208^***

−0.1245^***

−0.1576^***

−0.1613^***

−0.1342^***

0.1328^***

−0.1720^***

−0.1774^***

Dummy*return

0.1207^***

0.1284^***

0.1352^***

0.1353^***

0.1294^***

0.1403^***

0.1522^***

0.1515^***

Log(1+NA)

−0.0290^***

−0.0211^***

−0.0178

−0.0090

−0.0025

0.0054

−0.0109

0.0028

log(1 + NA)*return

0.0035

0.0034

0.0023

0.0016

0.0004

−0.0001

−0.0007

−0.0012

Dummy *log(1 + NA) *return

−0.0352^***

−0.0368^***

−0.0216^*

−0.0193

−0.0293^***

−0.0334^***

−0.0181

−0.0128

Size

0.0591^***

0.0661^***

0.0971^***

0.1069^***

0.0858^***

0.0968^***

0.1267^***

0.1357^***

M/B

0.0004

0.0006

0.0007

0.0008

0.0002

0.0003

0.0003

0.0005

Sales Growth

−0.0001^*

−0.0001^*

0.0003

0.0001

−0.0001^*

−0.0001^*

−0.0002

−0.0001

GDP

−0.0005

−0.0007

−0.002^***

−0.0001^*

−0.0001^*

−0.0001^*

−0.004^***

−0.002^***

Press Freedom

0.003^***

0.0022

0.0026^***

0.0012

Political rights

−0.0965^***

−0.0775^***

−0.1109^***

−0.0846^***

Corruption

−0.0029^***

−0.0039^***

−0.0057^***

−0.0069^***

R2

0.0392

0.0621

0.0508

0.0729

0.0488

0.0740

0.0526

0.0794

N

72,902

68,598

42,444

40,610

72,902

68,598

42,444

40,610