Dynamic GMM regression results
| RISK = RISK1 | RISK = RISK2 | |||
|---|---|---|---|---|
| RISKt-1 | 0.252*** (3.89) | 0.241*** (3.89) | 0.232*** (4.12) | 0.219*** (4.04) |
| NON_EX | 0.00566* (1.79) | 0.00916** (2.46) | 0.00669** (2.06) | 0.00952*** (2.75) |
| FSIZE | −0.00271*** (−3.94) | −0.00261*** (−3.79) | −0.00281*** (−3.76) | −0.00263*** (−3.47) |
| PB | 0.000305 (0.25) | −0.000234 (−0.17) | 0.000483 (0.44) | −0.000108 (−0.09) |
| STDEBT | −0.00964*** (−2.67) | −0.00996*** (−3.06) | −0.00820** (−2.13) | −0.00893** (−2.54) |
| CAPEX | 0.00679** (2.33) | 0.0320** (2.04) | 0.00548* (1.85) | 0.0328** (2.33) |
| CASH | −0.00676 (−1.05) | −0.00580 (−0.87) | −0.00842 (−1.17) | −0.00835 (−1.33) |
| DIV | −0.0425** (−2.46) | −0.0481*** (−2.78) | −0.0424** (−2.47) | −0.0444*** (−2.71) |
| NON_EX*CAPEX | −0.0401* (−1.67) | −0.0443* (−1.95) | ||
| Constant | 0.0595*** (5.02) | |||
| Year Dummies | Yes | Yes | Yes | Yes |
| Observations | 1,219 | 1,219 | 1,219 | 1,219 |
| Wald X2-statistics | 648.49*** | 641.62*** | 7.62*** | 457.62*** |
| AR(1) | 0.000 | 0.000 | 0.000 | 0.000 |
| AR(2) | 0.258 | 0.200 | 0.269 | 0.196 |
| Hansen Test | 0.162 | 0.174 | 0.182 | 0.226 |
| No. of instruments | 127 | 127 | 127 | 127 |
| RISK = RISK1 | RISK = RISK2 | |||
|---|---|---|---|---|
| RISK | 0.252*** (3.89) | 0.241*** (3.89) | 0.232*** (4.12) | 0.219*** (4.04) |
| NON_EX | 0.00566* (1.79) | 0.00916** (2.46) | 0.00669** (2.06) | 0.00952*** (2.75) |
| FSIZE | −0.00271*** (−3.94) | −0.00261*** (−3.79) | −0.00281*** (−3.76) | −0.00263*** (−3.47) |
| PB | 0.000305 (0.25) | −0.000234 (−0.17) | 0.000483 (0.44) | −0.000108 (−0.09) |
| STDEBT | −0.00964*** (−2.67) | −0.00996*** (−3.06) | −0.00820** (−2.13) | −0.00893** (−2.54) |
| CAPEX | 0.00679** (2.33) | 0.0320** (2.04) | 0.00548* (1.85) | 0.0328** (2.33) |
| CASH | −0.00676 (−1.05) | −0.00580 (−0.87) | −0.00842 (−1.17) | −0.00835 (−1.33) |
| DIV | −0.0425** (−2.46) | −0.0481*** (−2.78) | −0.0424** (−2.47) | −0.0444*** (−2.71) |
| NON_EX*CAPEX | −0.0401* (−1.67) | −0.0443* (−1.95) | ||
| Constant | 0.0595*** (5.02) | |||
| Year Dummies | Yes | Yes | Yes | Yes |
| Observations | 1,219 | 1,219 | 1,219 | 1,219 |
| Wald | 648.49*** | 641.62*** | 7.62*** | 457.62*** |
| AR(1) | 0.000 | 0.000 | 0.000 | 0.000 |
| AR(2) | 0.258 | 0.200 | 0.269 | 0.196 |
| Hansen Test | 0.162 | 0.174 | 0.182 | 0.226 |
| No. of instruments | 127 | 127 | 127 | 127 |
Note(s): This table reports the two-step GMM system estimators with robust adjustment for a small sample. Variables are defined the same as in Table 2. AR(1) and AR(2) are tests for first-order and second-order serial correlation in the first-differenced residuals, under the null of no serial correlation. Hansen test of overidentification is under the null that all instruments are valid. The instruments are the lags of the explanatory variables and year dummies are treated as strictly exogenous variables. Statistically significant at 1% (***), 5%(**) and 10%(*), respectively
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