Table 10 Khan–Watts' expanded regression...

Table 10

Khan–Watts' expanded regression panel model (third 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)	−0.148	0.271	–	−0.547	0.585
NEG_t	0.099	0.277	0.226	0.357	0.721
RET_ t	−0.001	0.003	−0.276	−0.294	0.769
SIZE_ t × RET_ t	6^–4.405	0.000	−0.020	−0.022	0.982
MTB_ t × RET_	−5^4.037	0.000	0.050	0.450	0.653
LEV_ t × RET_ t	0.001	0.001	0.233	1.182	0.238
LIT_ t × RET_ t	0.002	0.010	0.013	0.179	0.858
NEG_ t × RET_ t	0.001	0.008	0.063	0.114	0.910
SIZE_ t × NEG_t × RET_t	0.000	0.001	−0.108	-0.196	0.845
MTB_t × NEG_t × RET_t	0.000	0.000	−0.060	−1.363	0.174
LEV_t × NEG_t × RET_t	0.003	0.002	0.187	1.645	0.101
LIT_t × NEG_t × RET_t	−0.118	0.105	−0.050	−1.125	0.262
SIZE_t	0.044	0.022	0.330	1.985	0.048
MTB_t	0.018	0.007	0.510	2.561	0.011
LEV_t	−0.475	0.064	−2.212	−7.379	0.000
LIT_t	0.775	1.448	0.034	0.535	0.5930
NEG_t × SIZE_t	−0.029	0.022	−0.786	−1.278	0.202
NEG_t × MTB_t	−0.018	0.007	−0.503	−2.557	0.011
NEG_t × LEV_t	0.344	0.065	1.753	5.304	0.000
NEG_t × LIT_t	2.973	2.668	0.057	1.114	0.266
POST_t	0.009	0.030	0.020	0.293	0.770
POST_t × NEG_t	−0.030	0.038	−0.063	−0.791	0.430
POST_t × RET_t	5^–9.963	0.000	−0.027	−0.396	0.692
POST_t × RET_t × NEG_t	1.893	0.721	−0.013	2.626	0.009
Summary of regression models
Correlation coefficient	0.798		F-statistic	23.966
R²	0.673		p-value	0.000
Regression coefficient	1.893		t-statistic	2.626
Durbin–Watson statistic	1.840		p-value	0.009

	The estimated regression coefficients
Matched on	Unstandardized regression coefficients		Standardized coefficient	t- Statistic	Sig
Matched on	B	Std. Error	Beta	t- Statistic	Sig
(Constant)	−0.148	0.271	–	−0.547	0.585
NEG_t	0.099	0.277	0.226	0.357	0.721
RET_ t	−0.001	0.003	−0.276	−0.294	0.769
SIZE_ t × RET_ t	6^–4.405	0.000	−0.020	−0.022	0.982
MTB_ t × RET_	−5^4.037	0.000	0.050	0.450	0.653
LEV_ t × RET_ t	0.001	0.001	0.233	1.182	0.238
LIT_ t × RET_ t	0.002	0.010	0.013	0.179	0.858
NEG_ t × RET_ t	0.001	0.008	0.063	0.114	0.910
SIZE_ t × NEG_t × RET_t	0.000	0.001	−0.108	-0.196	0.845
MTB_t × NEG_t × RET_t	0.000	0.000	−0.060	−1.363	0.174
LEV_t × NEG_t × RET_t	0.003	0.002	0.187	1.645	0.101
LIT_t × NEG_t × RET_t	−0.118	0.105	−0.050	−1.125	0.262
SIZE_t	0.044	0.022	0.330	1.985	0.048
MTB_t	0.018	0.007	0.510	2.561	0.011
LEV_t	−0.475	0.064	−2.212	−7.379	0.000
LIT_t	0.775	1.448	0.034	0.535	0.5930
NEG_t × SIZE_t	−0.029	0.022	−0.786	−1.278	0.202
NEG_t × MTB_t	−0.018	0.007	−0.503	−2.557	0.011
NEG_t × LEV_t	0.344	0.065	1.753	5.304	0.000
NEG_t × LIT_t	2.973	2.668	0.057	1.114	0.266
POST_t	0.009	0.030	0.020	0.293	0.770
POST_t × NEG_t	−0.030	0.038	−0.063	−0.791	0.430
POST_t × RET_t	5^–9.963	0.000	−0.027	−0.396	0.692
POST_t × RET_t × NEG_t	1.893	0.721	−0.013	2.626	0.009
Summary of regression models
Correlation coefficient	0.798		F-statistic	23.966
R²	0.673		p-value	0.000
Regression coefficient	1.893		t-statistic	2.626
Durbin–Watson statistic	1.840		p-value	0.009

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