Diagnostic tests
| Variable | VIF |
|---|---|
| Panel A: Multicollinearity | |
| Top 10 holdings | 2.03 |
| Firm size | 1.98 |
| Book-to-market ratio | 1.94 |
| Family control | 1.93 |
| Leverage | 1.67 |
| Institutional ownership | 1.35 |
| Family control × institutional ownership (centered) | 1.28 |
| Management fee | 1.22 |
| Return on equity | 1.2 |
| Firm age | 1.09 |
| Audit opinion | 1.07 |
| Mean VIF | 1.52 |
| Variable | |
|---|---|
| Top 10 holdings | 2.03 |
| Firm size | 1.98 |
| Book-to-market ratio | 1.94 |
| Family control | 1.93 |
| Leverage | 1.67 |
| Institutional ownership | 1.35 |
| Family control × institutional ownership (centered) | 1.28 |
| Management fee | 1.22 |
| Return on equity | 1.2 |
| Firm age | 1.09 |
| Audit opinion | 1.07 |
| Panel B: Heteroscedasticity and serial correlation | ||
| Test | Statistic | p-value |
| Breusch–Pagan | χ² = 47.05 | < 0.001 |
| White | χ² = 189.66 | < 0.001 |
| Wooldridge autocorrelation | F = 378.66 | < 0.001 |
| Test | Statistic | |
| Breusch–Pagan | χ² = 47.05 | < 0.001 |
| White | χ² = 189.66 | < 0.001 |
| Wooldridge autocorrelation | < 0.001 | |
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