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

0.3977***

<0.0001

F Value

2110.02

<0.0001

Adj. R2

0.7889

0.8373

0.6397