Stages/Variables

D1

Rxh (ROA)

D2

Rxh (ROA)

D3

Rxh (ROA)

Rxh (−1)

t-statistic/prob

1.192802

(11.6941)

1.181909

(11.3730)

1.180452

(11.2860)

Rxh (−2)

t-statistic/prob

−0.498869

(−4.80181)

−0.508717

(−4.90596)

−0.505046

(−4.86550)

UFUND (−1)

t-statistic/prob

0.000375

(0.27367)**

0.000475

(0.34679)*

0.000496

(0.36222)*

UFUND (−2)

t-statistic/prob

7.28E−05

(0.05422)**

−0.000235

(−0.17055)*

−0.000266

(−0.19428)

LogCash (−1)

t-statistic/prob

0.044377

(1.02737)**

0.051160

(1.16521)**

0.051993

(1.18858)**

LogCash (−2)

t-statistic/prob

−0.062252

(−1.55781)**

−0.060663

(−1.62149)**

−0.065590

(−1.74167)**

MRR (−1)

t-statistic/prob

−0.465590

(−0.18775)

−0.742531

(−0.34552)

−0.265686

(−0.12412)

MRR (−2)

t-statistic/prob

1.203834

(0.48602)

1.562558

(0.86103)

1.705136

(0.78311)

D (−1)

−0.055736

(−0.19573)

0.023343

(0.12551)

−0.039853

(−0.15904)

D (−2)

0.041824

(0.15855)

−0.081528

(−0.45215)

0.117433

(−0.15904)

C

0.072092

(0.24384)

−0.025193

(−0.08612)

−0.087139

(−0.27549)

R-squared

0.688398

0.922416

0.955520

Adj R-squared

0.646851

0.912071

0.949589

Sum sq. residuals

0.608711

1.645504

0.930981

Akaike A/C

−1.857067

−0.862609

−1.432173

Schwarz SC

−1.543139

−0.548681

−1.118244