RETURN

MODEL1

MODEL2

UR_DIRECT

−3.8649

(−1.44)

−6.2134

(−1.4600)

UR_RP

−2.2025**

(−2.2000)

OCF

1.0304

(1.0500)

PG

−6.3203***

(−2.6700)

LEV

−5.2067

(−0.6400)

SIZE

−3.2237**

(−2.2700)

SOE

−7.1965

(−0.9900)

VC_PE

4.9172**

(2.0700)

INDEX_YEAR

−118.6383**

(−1.80)

IND2

2.7848

(0.3100)

IND3

13.4809

(1.4800)

Ajusted R-squared

0.0011

0.1225

F-statistic

2.0800

5.5300