Table 6 Khan–Watts' expanded regression...

Table 6

Khan–Watts' expanded regression panel model (first hypothesis)

	The estimated regression coefficients
Matched on	Unstandardized regression coefficients		Standardized coefficient	t-Statistic	Sig
Matched on	B	Std. Error	Beta	t-Statistic	Sig
(Constant)	0.003	11.026	–	0.000	1.000
NEG_t_1	116.467	20.487	7.527	5.685	0.000
RET_ t _1	0.000	0.106	0.003	0.003	0.998
SIZE_ t _1 × RET_ t _1	5^–4.160	0.008	−0.005	−0.005	0.996
MTB_t_1 × RET_ t _1	5^–5.502	0.002	−0.003	−0.023	0.982
LEV_t_1 × RET_t_1	0.001	0.037	0.004	0.014	0.989
LIT_t_1 × RET_t_1	0.001	0.466	0.000	0.002	0.998
NEG_t_1 × RET_t_1	2.988	0.668	6.014	4.471	0.000
SIZE_ t _1 × NEG_ t _1 × RET_ t _1	−0.237	0.057	−5.643	−4.137	0.000
MTB_ t _1 × NEG_t _1 × RET_t_1	−0.007	0.014	−0.059	−0.516	0.606
LEV_t_1 × NEG_t_1 × RET_t_1	−0.300	0.150	−0.501	−1.998	0.047
LIT_t_1 × NEG_t_1 × RET_t_1	−2.427	2.398	−0.189	−1.012	0.312
SIZE_t_1	0.024	0.883	0.002	0.028	0.978
MTB_t_1	0.023	0.308	0.008	0.075	0.940
LEV_t_1	−0.329	2.118	−0.014	−0.156	0.876
LIT_t_1	−0.214	37.735	−0.0001	−0.006	0.995
NEG_t_1 × SIZE_t_1	−8.923	1.731	−6.863	−5.154	0.000
NEG_t_1 × MTB_t_1	−0.101	0.495	−0.028	−0.205	0.838
NEG_t_1 × LEV_t_1	−17.041	4.256	−0.878	−4.005	0.000
NEG_t_1 × LIT_t_1	−78.068	83.330	−0.193	−0.937	0.350
TESTFIRM_t_1	−0.021	1.339	−0.001	−0.016	0.987
TESTFIRM_t_1 × NEG_t_1	12.881	2.448	0.589	5.262	0.000
TESTFIRM_t_1 × RET_t_1	0.000	0.015	−0.001	−0.012	0.990
TESTFIRM_t_1 × RET_t_1 × NEG_t_1	0.270	0.074	0.363	3.662	0.000
Summary of regression models
Correlation coefficient	0.532		F-statistic	5.003
R²	0.283		p-value	0.00
Regression coefficient	0.270		t-statistic	3.662
Durbin–Watson statistic	2.114		p-value	0.00

	The estimated regression coefficients
Matched on	Unstandardized regression coefficients		Standardized coefficient	t-Statistic	Sig
Matched on	B	Std. Error	Beta	t-Statistic	Sig
(Constant)	0.003	11.026	–	0.000	1.000
NEG_t_1	116.467	20.487	7.527	5.685	0.000
RET_ t _1	0.000	0.106	0.003	0.003	0.998
SIZE_ t _1 × RET_ t _1	5^–4.160	0.008	−0.005	−0.005	0.996
MTB_t_1 × RET_ t _1	5^–5.502	0.002	−0.003	−0.023	0.982
LEV_t_1 × RET_t_1	0.001	0.037	0.004	0.014	0.989
LIT_t_1 × RET_t_1	0.001	0.466	0.000	0.002	0.998
NEG_t_1 × RET_t_1	2.988	0.668	6.014	4.471	0.000
SIZE_ t _1 × NEG_ t _1 × RET_ t _1	−0.237	0.057	−5.643	−4.137	0.000
MTB_ t _1 × NEG_t _1 × RET_t_1	−0.007	0.014	−0.059	−0.516	0.606
LEV_t_1 × NEG_t_1 × RET_t_1	−0.300	0.150	−0.501	−1.998	0.047
LIT_t_1 × NEG_t_1 × RET_t_1	−2.427	2.398	−0.189	−1.012	0.312
SIZE_t_1	0.024	0.883	0.002	0.028	0.978
MTB_t_1	0.023	0.308	0.008	0.075	0.940
LEV_t_1	−0.329	2.118	−0.014	−0.156	0.876
LIT_t_1	−0.214	37.735	−0.0001	−0.006	0.995
NEG_t_1 × SIZE_t_1	−8.923	1.731	−6.863	−5.154	0.000
NEG_t_1 × MTB_t_1	−0.101	0.495	−0.028	−0.205	0.838
NEG_t_1 × LEV_t_1	−17.041	4.256	−0.878	−4.005	0.000
NEG_t_1 × LIT_t_1	−78.068	83.330	−0.193	−0.937	0.350
TESTFIRM_t_1	−0.021	1.339	−0.001	−0.016	0.987
TESTFIRM_t_1 × NEG_t_1	12.881	2.448	0.589	5.262	0.000
TESTFIRM_t_1 × RET_t_1	0.000	0.015	−0.001	−0.012	0.990
TESTFIRM_t_1 × RET_t_1 × NEG_t_1	0.270	0.074	0.363	3.662	0.000
Summary of regression models
Correlation coefficient	0.532		F-statistic	5.003
R²	0.283		p-value	0.00
Regression coefficient	0.270		t-statistic	3.662
Durbin–Watson statistic	2.114		p-value	0.00

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