Hedging | Hedging and Trading | |||||
Model 1 | Model 2 | Model 3 | Model 1 | Model 2 | Model 3 | |
Constant | −0.165*** | −0.245*** | −0.236*** | −1.585*** | −2.754*** | −2.774*** |
−(5.020) | −(5.571) | −(5.596) | −(3.137) | −(4.201) | −(4.213) | |
2008_DUM | 0.013** | 0.016*** | 0.016*** | 0.357*** | 0.404*** | 0.409*** |
(2.282) | (2.709) | (2.832) | (3.800) | (4.288) | (4.357) | |
2009_DUM | 0.014** | 0.019*** | 0.019*** | 0.398*** | 0.468*** | 0.471*** |
(2.317) | (2.887) | (3.020) | (3.864) | (4.486) | (4.524) | |
SIZE | 0.014*** | 0.022*** | 0.023*** | 0.165*** | 0.291*** | 0.301*** |
(6.137) | (5.632) | (5.821) | (4.289) | (4.703) | (4.772) | |
LIQUID | 0.069 | 0.070 | 0.050 | −5.892*** | −6.189*** | −6.268*** |
(0.610) | (0.601) | (0.441) | −(2.972) | −(3.142) | −(3.180) | |
CREDIT_RISK | −0.079 | 0.077 | 0.072 | −15.682* | −13.160* | −12.842 |
−(0.165) | (0.158) | (0.150) | −(1.955) | −(1.663) | −(1.606) | |
CAR | 0.000 | 0.000 | 0.000 | 0.026 | 0.023 | 0.020 |
(0.140) | (0.116) | −(0.191) | (1.317) | (1.170) | (1.027) | |
PROFITABILITY | −0.889 | −1.445* | −1.223 | −34.131** | −40.514*** | −38.874*** |
−(1.057) | −(1.656) | −(1.456) | −(2.544) | −(3.049) | −(2.899) | |
ASSET_STRUCT_1 | 0.001 | 0.001 | 0.001 | −0.020 | −0.025 | −0.026 |
(0.618) | (0.440) | (0.397) | −(0.678) | −(0.875) | −(0.916) | |
ASSET_STRUCT_2 | −0.001 | −0.001 | −0.001 | 0.010 | 0.011 | 0.011 |
−(0.771) | −(0.752) | −(0.723) | (0.552) | (0.579) | (0.624) | |
MARKET_CAP | 0.075*** | 0.074*** | 0.076*** | 4.182*** | 4.149*** | 4.163*** |
(3.137) | (3.045) | (3.210) | (10.506) | (10.678) | (10.704) | |
INT_RISK_1 | −0.001*** | − | −0.001*** | −0.008 | − | −0.010* |
−(2.667) | − | −(2.988) | −(1.452) | − | −(1.777) | |
INT_RISK_2 | − | 3.63 × 10−5** | 3.97 × 10−5*** | − | 0.001** | 0.001*** |
− | (2.494) | (2.827) | − | (2.661) | (2.854) | |
Chi-Square statistics | 69.720*** | 66.113*** | 75.822*** | 222.106*** | 234.231*** | 238.915*** |
Observation | 117 | 117 | 117 | 117 | 117 | 117 |