Table 9. Return perspective: RIM version...

Table 9.

Return perspective: RIM version

Dep. variable: Ri	OLS	OLS	RE-GLS
BV/P	0.094 (4.63)***	0.087 (4.2)***	0.12 (5.76)***
AR/P	0.012 (2.4)**	0.009 (1.86)*	0.011 (2.06)**
DUM_SECTOR	NO	YES	NO
DUM_YEAR	NO	YES	NO
CONST	−0.07 (−2.4)**	−0.002 (−0.03)	−0.12 (−3.4)**
R² P > F RMSE	0.10 0.000 0.24	0.17 0.000 0.238	0.000
N	279	279	279

Dep. variable: Ri	OLS	OLS	RE-GLS
BV/P	0.094 (4.63)***	0.087 (4.2)***	0.12 (5.76)***
AR/P	0.012 (2.4)**	0.009 (1.86)*	0.011 (2.06)**
DUM_SECTOR	NO	YES	NO
DUM_YEAR	NO	YES	NO
CONST	−0.07 (−2.4)**	−0.002 (−0.03)	−0.12 (−3.4)**
R²P > FRMSE	0.100.0000.24	0.170.0000.238	0.000
N	279	279	279

Notes:

RIM (return version), Ri (equity return), BV/P (book value to price), AR/P (PV of abnormal returns to price), DUM_SECTOR and DUM_YEAR are the dummy variables for sector and year. The model: Ri = α + b₁BV/P + b₂AR/P + DUM_SECTOR + DUM_YEAR + ε

p < 0.1;

p < 0.05;

***

p < 0.01

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