Δ D i t = α + β D E F i t + γ D E F i t 2 + ε i t

sample 1 (1)

sample 2 (2)

β

0.101091***

(0.0000)

0.226921***

(0.0003)

γ

−9.75E−12***

(0.0001)

−7.94E−11***

(0.0007)

N

99

99

R2

0.543225

0.37053

F-test

34.46177**

21.68204***