Table 11 Heckman two-stage treatment...

Table 11

Heckman two-stage treatment effect model

Panel A: Return on assets
	First stage model	Second stage model
Dependent variable	NMC_i,t	ROA_i,t+1	ROA_i,t+2	ROA_i,t+3
NMC_i,t		−0.007^***	−0.007^***	−0.002
NMC_i,t		(−7.22)	(−4.87)	(−1.24)
ROA_i,t	−5.604^***	0.510^***	0.451^***	0.394^***
ROA_i,t	(−10.38)	(14.72)	(9.09)	(7.09)
Size_i,t	0.319^***	0.010^***	0.007^**	0.005^*
Size_i,t	(11.18)	(5.43)	(2.56)	(1.70)
Lev_i,t	−0.333^**	−0.036^***	−0.036^***	−0.027^***
Lev_i,t	(−1.99)	(−10.34)	(−6.94)	(−4.36)
MB_i,t	0.169^***	0.014^***	0.009^***	0.005^*
MB_i,t	(4.22)	(10.12)	(4.25)	(1.93)
Growth_i,t	0.231^***	0.010^***	−0.006	−0.018^***
Growth_i,t	(2.59)	(3.82)	(−1.53)	(−4.27)
RDint_i,t	18.032^***	0.674^***	0.622^***	−0.066
RDint_i,t	(10.73)	(6.58)	(4.18)	(−0.39)
Ratio_other_i,t	1.762^***
Ratio_other_i,t	(9.14)
IMR		0.014^*	0.004	0.002
IMR		(1.87)	(0.34)	(0.15)
Constant	−8.301^***	−0.199^***	−0.086	−0.081
Constant	(−13.28)	(−3.88)	(−1.13)	(−0.95)
Fixed Effects
Industry		YES	YES	YES
Year		YES	YES	YES
# of Obs.	10,372	10,372	7,596	5,586
Pseudo R²	0.103
Adj. R²		0.519	0.354	0.202

Panel A: Return on assets
	First stage model	Second stage model
Dependent variable	NMC_i,t	ROA_i,t+1	ROA_i,t+2	ROA_i,t+3
NMC_i,t		−0.007^***	−0.007^***	−0.002
NMC_i,t		(−7.22)	(−4.87)	(−1.24)
ROA_i,t	−5.604^***	0.510^***	0.451^***	0.394^***
ROA_i,t	(−10.38)	(14.72)	(9.09)	(7.09)
Size_i,t	0.319^***	0.010^***	0.007^**	0.005^*
Size_i,t	(11.18)	(5.43)	(2.56)	(1.70)
Lev_i,t	−0.333^**	−0.036^***	−0.036^***	−0.027^***
Lev_i,t	(−1.99)	(−10.34)	(−6.94)	(−4.36)
MB_i,t	0.169^***	0.014^***	0.009^***	0.005^*
MB_i,t	(4.22)	(10.12)	(4.25)	(1.93)
Growth_i,t	0.231^***	0.010^***	−0.006	−0.018^***
Growth_i,t	(2.59)	(3.82)	(−1.53)	(−4.27)
RDint_i,t	18.032^***	0.674^***	0.622^***	−0.066
RDint_i,t	(10.73)	(6.58)	(4.18)	(−0.39)
Ratio_other_i,t	1.762^***
Ratio_other_i,t	(9.14)
IMR		0.014^*	0.004	0.002
IMR		(1.87)	(0.34)	(0.15)
Constant	−8.301^***	−0.199^***	−0.086	−0.081
Constant	(−13.28)	(−3.88)	(−1.13)	(−0.95)
Fixed Effects
Industry		YES	YES	YES
Year		YES	YES	YES
# of Obs.	10,372	10,372	7,596	5,586
Pseudo R²	0.103
Adj. R²		0.519	0.354	0.202

Panel B: Return on equity
	First stage model	Second stage model
Dependent variable	NMC_i,t	ROE_i,t+1	ROE_i,t+2	ROE_i,t+3
NMC_i,t		−0.014^***	−0.011^***	−0.007^**
NMC_i,t		(−7.43)	(−4.21)	(−2.32)
ROE_i,t	−3.083^***	0.407^***	0.283^***	0.245^***
ROE_i,t	(−10.43)	(10.93)	(6.03)	(4.27)
Size_i,t	0.316^***	0.023^***	0.021^***	0.017^***
Size_i,t	(11.04)	(6.65)	(5.02)	(3.21)
Lev_i,t	0.229	−0.001	−0.047^***	−0.028^***
Lev_i,t	(1.45)	(−0.17)	(−5.77)	(−2.79)
MB_i,t	0.161^***	0.027^***	0.023^***	0.013^***
MB_i,t	(4.00)	(10.55)	(6.23)	(2.81)
Growth_i,t	0.243^***	0.028^***	−0.002	−0.013^*
Growth_i,t	(2.73)	(5.66)	(−0.30)	(−1.66)
RDint_i,t	18.047^***	1.619^***	0.415^*	0.370
RDint_i,t	(10.82)	(8.03)	(1.68)	(1.21)
Ratio_other_i,t	1.745^***
Ratio_other_i,t	(9.07)
IMR		0.044^***	0.034^**	0.025
IMR		(3.15)	(1.98)	(1.19)
Constant	−8.484^***	−0.552^***	−0.442^***	−0.362^**
Constant	(−13.40)	(−5.38)	(−3.54)	(−2.30)
Fixed Effects
Industry		YES	YES	YES
Year		YES	YES	YES
# of Obs.	10,372	10,372	7,756	5,553
Pseudo R²	0.102
Adj. R²		0.425	0.186	0.127

Panel B: Return on equity
	First stage model	Second stage model
Dependent variable	NMC_i,t	ROE_i,t+1	ROE_i,t+2	ROE_i,t+3
NMC_i,t		−0.014^***	−0.011^***	−0.007^**
NMC_i,t		(−7.43)	(−4.21)	(−2.32)
ROE_i,t	−3.083^***	0.407^***	0.283^***	0.245^***
ROE_i,t	(−10.43)	(10.93)	(6.03)	(4.27)
Size_i,t	0.316^***	0.023^***	0.021^***	0.017^***
Size_i,t	(11.04)	(6.65)	(5.02)	(3.21)
Lev_i,t	0.229	−0.001	−0.047^***	−0.028^***
Lev_i,t	(1.45)	(−0.17)	(−5.77)	(−2.79)
MB_i,t	0.161^***	0.027^***	0.023^***	0.013^***
MB_i,t	(4.00)	(10.55)	(6.23)	(2.81)
Growth_i,t	0.243^***	0.028^***	−0.002	−0.013^*
Growth_i,t	(2.73)	(5.66)	(−0.30)	(−1.66)
RDint_i,t	18.047^***	1.619^***	0.415^*	0.370
RDint_i,t	(10.82)	(8.03)	(1.68)	(1.21)
Ratio_other_i,t	1.745^***
Ratio_other_i,t	(9.07)
IMR		0.044^***	0.034^**	0.025
IMR		(3.15)	(1.98)	(1.19)
Constant	−8.484^***	−0.552^***	−0.442^***	−0.362^**
Constant	(−13.40)	(−5.38)	(−3.54)	(−2.30)
Fixed Effects
Industry		YES	YES	YES
Year		YES	YES	YES
# of Obs.	10,372	10,372	7,756	5,553
Pseudo R²	0.102
Adj. R²		0.425	0.186	0.127

Note(s): All variables are defined in Appendix and the robust t statistics shown in parentheses are based on the firm-clustered standard errors. *, ** and ***represent the statistical significance level of 10%, 5% and 1%, respectively

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