ln(BE/ME) × 1 year | 0.0855 | 0.1750 | 0.49 |
ln(EDF)*HG | 0.0692 | 0.0239 | 2.9 |
ln(EDF)*LG | 0.0015 | 0.0095 | 0.15 |
ln(EDF)*stock return | 0.0139 | 0.0046 | 3.06 |
ln(EDF)*lag stock return | −0.0069 | 0.0024 | −2.88 |
ln(EDF)*rf | −0.0588 | 0.1959 | −0.3 |
ln(EDF)*VW CRSP | −0.0174 | 0.0056 | −3.13 |
ln(EDF) × 10 year | 0.0102 | 0.0182 | 0.56 |
ln(EDF) × 1 year | −0.0984 | 0.0835 | −1.18 |
Average of Firm Specific Models | |||
ln(ME) | −0.0076 | 0.1534 | −1.65 |
ln(BE/ME) | −0.0036 | 0.1280 | −0.94 |
ln(EDF) | −0.0021 | 0.0387 | −1.82 |
Stock Return | 0.0559 | 0.1199 | 15.6 |
Lag Stock Return | 0.0083 | 0.0631 | 4.38 |
Risk Free Rate | 0.1648 | 22.2947 | 0.25 |
High Grade Corporate Bond Return | 0.0961 | 2.6584 | 1.21 |
Low Grade Corporate Bond Return | 0.0950 | 0.6277 | 5.06 |
Value -Weighted CRSP Stock Return | 0.0062 | 0.3019 | 0.68 |
10 Year CRSP Government Bond Return | 0.1386 | 1.5933 | 2.91 |
1 Year CRSP Government Bond Return | −0.0100 | 6.2605 | −0.05 |