Table 8. Return perspective: standard...

Table 8.

Return perspective: standard market model

Dep. variable: Ri	OLS	OLS	ROBUST	FE
RM	0.72 (2.92)***	1.58 (1.88)**	0.72 (2.90)***	0.72 (2.94)***
DUM_SECTOR	NO	YES	NO	NO
DUM_YEAR	NO	YES	NO	NO
CONST	0.044 (2.91)***	0.17 (3.08)***	0.044 (3.04)***	0.044 (2.75)***
R² P > F RMSE	0.03 0.003 0.25	0.098 0.003 0.247	0.03 0.004 0.25	0.003
N	279	279	279	279

Dep. variable: Ri	OLS	OLS	ROBUST	FE
RM	0.72 (2.92)***	1.58 (1.88)**	0.72 (2.90)***	0.72 (2.94)***
DUM_SECTOR	NO	YES	NO	NO
DUM_YEAR	NO	YES	NO	NO
CONST	0.044 (2.91)***	0.17 (3.08)***	0.044 (3.04)***	0.044 (2.75)***
R²P > FRMSE	0.030.0030.25	0.0980.0030.247	0.030.0040.25	0.003
N	279	279	279	279

Notes:

Standard market model (return model), Ri (equity return), RM (return on market index), DUM_SECTOR and DUM_YEAR are the dummy variables for sector and year. The model: Ri = α + b₁RM + DUM_SECTOR + DUM_YEAR + ε

p < 0.1;

p < 0.05;

***

p < 0.01;

It is used when the heteroskedasticity test rejects the null hypothesis that variances are homoscedastic

FE is used based on the Hausman test for choosing between fixed effect and random effect

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