Relationship between listing at the novo mercado level, risk and return (2010–2019)
| Variables | Model 1 | Model 2 | Model 3 | Model 4 | |
|---|---|---|---|---|---|
| Coefficients | Coefficients | Coefficients | Coefficients | Marginal effects | |
| Constant | −2.889 *** (−9.430) | −3.982 *** (−15.059) | −3.948 *** (−14.886) | −2.861 *** (−9.322) | − |
| Beta | 2.020 *** (19.278) | 2.007 *** (18.972) | 50.14% | ||
| Value at risk | −0.126 *** (−12.037) | −0.127 *** (−12.041) | −3.17% | ||
| Return | −0.001 (−0.854) | −0.001 (−0.747) | N/S | ||
| ROE | −0.273 * (−1.753) | −0.231 (−1.371) | N/S | ||
| Sharpe index | −0.240 *** (−3.949) | −0.044 (−0.669) | N/S | ||
| Size | 0.089 *** (−5.195) | 0.213 *** (−14.360) | 0.218 *** (−14.572) | 0.090 *** (−5,255) | 2.25% |
| Leverage | 0.025 (−0.344) | −0.042 (−0.615) | −0.063 (−0.914) | 0.0200 (−0.275) | N/S |
| Time dummies | Yes | Yes | Yes | Yes | − |
| McFadden R2: | 0.093 | 0.042 | 0.043 | 0.093 | |
| Sensitivity | 0.624 | 0.618 | 0.625 | 0.624 | |
| Specificity | 0.654 | 0.611 | 0.604 | 0.656 | |
| Accuracy | 0.639 | 0.614 | 0.615 | 0.640 | |
| Average VIF | 7.102 | 4.690 | 5.044 | 6.443 | |
| Log likelihood (LR) | −3,729.884 | −3,939.938 | −3,934.122 | −3,728.087 | |
| Akaike I. C. | 7,487.768 | 7,907.876 | 7,894.244 | 7,490.174 | |
| Observations: | 5,933 | 5,933 | 5,933 | 5,933 | |
| Variables | Model 1 | Model 2 | Model 3 | Model 4 | |
|---|---|---|---|---|---|
| Coefficients | Coefficients | Coefficients | Coefficients | Marginal effects | |
| Constant | −2.889 *** (−9.430) | −3.982 *** (−15.059) | −3.948 *** (−14.886) | −2.861 *** (−9.322) | − |
| Beta | 2.020 *** (19.278) | 2.007 *** (18.972) | 50.14% | ||
| Value at risk | −0.126 *** (−12.037) | −0.127 *** (−12.041) | −3.17% | ||
| Return | −0.001 (−0.854) | −0.001 (−0.747) | N/S | ||
| ROE | −0.273 * (−1.753) | −0.231 (−1.371) | N/S | ||
| Sharpe index | −0.240 *** (−3.949) | −0.044 (−0.669) | N/S | ||
| Size | 0.089 *** (−5.195) | 0.213 *** (−14.360) | 0.218 *** (−14.572) | 0.090 *** (−5,255) | 2.25% |
| Leverage | 0.025 (−0.344) | −0.042 (−0.615) | −0.063 (−0.914) | 0.0200 (−0.275) | N/S |
| Time dummies | Yes | Yes | Yes | Yes | − |
| McFadden | 0.093 | 0.042 | 0.043 | 0.093 | |
| Sensitivity | 0.624 | 0.618 | 0.625 | 0.624 | |
| Specificity | 0.654 | 0.611 | 0.604 | 0.656 | |
| Accuracy | 0.639 | 0.614 | 0.615 | 0.640 | |
| Average VIF | 7.102 | 4.690 | 5.044 | 6.443 | |
| Log likelihood (LR) | −3,729.884 | −3,939.938 | −3,934.122 | −3,728.087 | |
| Akaike I. C. | 7,487.768 | 7,907.876 | 7,894.244 | 7,490.174 | |
| Observations: | 5,933 | 5,933 | 5,933 | 5,933 | |
Note:
*** represents significance at the 10% level, ** at the 5% level, and *** at the 1% level
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