Price perspective: RIM model
| Dep. variable: STOCK PRICE | OLS | OLS | ROBUST |
|---|---|---|---|
| BV | 0.83 (17.1)*** | 0.77 (15.8)*** | 0.83 (11.4)*** |
| AR | 0.15 (9.4)*** | 0.17 (10.5)*** | 0.15 (7.4)*** |
| DUMSECTOR | NO | YES | NO |
| DUMYEAR | NO | YES | NO |
| CONST | 0.08 (0.87) | −0.16 (−1.02) | 0.08 (0.68) |
| R2 | 0.82 | 0.84 | 0.82 |
| P > F | 0.000 | 0.000 | 0.000 |
| RMSE | 0.77 | 0.74 | 0.77 |
| N | 279 | 279 | 279 |
| Dep. variable: | |||
|---|---|---|---|
| BV | 0.83 (17.1) | 0.77 (15.8) | 0.83 (11.4) |
| AR | 0.15 (9.4) | 0.17 (10.5) | 0.15 (7.4) |
| CONST | 0.08 (0.87) | −0.16 (−1.02) | 0.08 (0.68) |
| 0.82 | 0.84 | 0.82 | |
| 0.000 | 0.000 | 0.000 | |
| 0.77 | 0.74 | 0.77 | |
| 279 | 279 | 279 |
Notes:
RIM (price model), BV (book value), AR (PV of abnormal returns), DUMSECTOR and DUMYEAR are the dummy variables for sector and year. The model: P = α+b1BV +b2AR+ DUMSECTOR + DUMYEAR +ε
p < 0.1;
p < 0.05;
p < 0.01;
OLS is used based on the Breusch–Pagan test to choose between random effect and OLS
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