(1)

(2)

(3)

(4)

VARIABLES

bkl

mkl

d_bkl

d_mkl

Peer Firm Averages

Dependent Variable

1.901

0.872^**

1.013

0.473^***

(3.526)

(0.389)

(1.108)

(0.168)

l_pfa_size

0.104

−0.0515

−0.0636

−0.0193

(0.165)

(0.0406)

(0.0624)

(0.0231)

l_pfa_mtbr_a

0.0502

−0.0707^*

0.0541

0.0382

(0.0617)

(0.0390)

(0.0604)

(0.0672)

l_pfa_prof

−0.530

0.158

−0.817

0.0627

(0.948)

(0.130)

(0.961)

(0.0969)

l_pfa_tang

−0.579

−0.141

−0.158^*

−0.103

(0.934)

(0.136)

(0.0894)

(0.0762)

Firm-specific Factors

l_size

0.0303^***

0.0641^***

0.00291

0.0338^***

(0.00398)

(0.00339)

(0.00255)

(0.00273)

l_mtbr_a

−0.0409

0.146^***

0.0284^***

−0.264^***

(0.0300)

(0.0207)

(0.0104)

(0.0149)

l_prof

−0.726^***

−0.633^***

0.0191

−0.165^***

(0.165)

(0.0466)

(0.0588)

(0.0378)

l_tang

0.200^***

0.158^***

−0.0294^**

0.00561

(0.0338)

(0.0164)

(0.0127)

(0.0138)

equity_shock

−0.00371

−0.0448^***

−0.0196^***

−0.0644^***

(0.0149)

(0.00758)

(0.00686)

(0.00613)

First Stage Statistics

F statistics

0.0498

61.0902^***

0.0029

90.7750^***

Robust score chi2

0.7472

9.8141^***

1.1266

3.8978^**

Robust Reg. F-stat

0.7541

8.5747^***

1.1214

3.6095^**

Industry Fixed Effects

YES

YES

YES

YES

Year Fixed Effects

YES

YES

YES

YES

Observations

8432

8432

8432

8432

Adj. R-squared

0.450

0.452

0.400

0.403