A. Pooled Regression | B. Fama-MacBeth (1973) Regression Analysis | C. System GMM Regressions | ||||
Variable Name | Parameter Estimates | P-Value | Parameter Estimates | P-Value | Parameter Estimates | P-Value |
FD | −0.6485*** | <0.0001 | −0.6749*** | <0.0001 | −0.6705*** | <0.0001 |
CAGE | 0.0366*** | 0.0003 | 0.0130 | 0.08182 | 0.0321*** | <0.0001 |
FAGE | −0.08929*** | <0.0001 | −0.1280*** | <0.0001 | −0.1131*** | <0.0001 |
TNOVR | 1.4048*** | <0.0001 | 1.7981*** | 0.0001 | 1.2651*** | <0.0001 |
FEE1 | −14.1813*** | <0.0001 | −14.8354*** | <0.0001 | −12.1518*** | <0.0001 |
FEE2 | −8.2252*** | <0.0001 | −8.9844*** | <0.0001 | −6.3728*** | <0.0001 |
STARS1 | 0.1747** | 0.0160 | 0.1879** | 0.01479 | 0.1849** | 0.0116 |
STARB1 | 1.1919*** | <0.0001 | 1.1468*** | <0.0001 | 1.1785*** | <0.0001 |
CTMR2 | 1.5192*** | <0.0001 | 1.6887*** | <0.0001 | 1.0389*** | <0.0001 |
CTMR1 |
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| 0.3977*** | <0.0001 |
F Value | 2110.02 | <0.0001 |
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Adj. R2 | 0.7889 | 0.8373 | 0.6397 |