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 |