Table 10. Return perspective: DDM...

Table 10.

Return perspective: DDM version

Dep. variable: Ri	OLS	OLS	RE-GLS
ΔBV/P	0.29 (5.91)***	0.27 (5.64)***	0.28 (5.9)***
EPS/P	0.008 (1.48)	0.005 (0.91)	0.008 (1.51)
DUM_SECTOR	NO	YES	NO
DUM_YEAR	NO	YES	NO
CONST	0.03 (1.65)*	0.10 (2.2)**	0.025 (1.63)
R² P > F RMSE	0.148 0.000 0.236	0.214 0.000 0.230	0.000
N	279	279	279

Dep. variable: Ri	OLS	OLS	RE-GLS
ΔBV/P	0.29 (5.91)***	0.27 (5.64)***	0.28 (5.9)***
EPS/P	0.008 (1.48)	0.005 (0.91)	0.008 (1.51)
DUM_SECTOR	NO	YES	NO
DUM_YEAR	NO	YES	NO
CONST	0.03 (1.65)*	0.10 (2.2)**	0.025 (1.63)
R²P > FRMSE	0.1480.0000.236	0.2140.0000.230	0.000
N	279	279	279

Notes:

DDM (return mode), Ri (equity return), ΔBV/P (delta BV to price), EPS/P (PV of earnings per share to price), DUM_SECTOR and DUM_YEAR are the dummy variables for sector and year. The model: Ri = α + b₁ΔBV/P + b₂EPS/P + DUM_SECTOR + DUM_YEAR + ε.

p < 0.1;

p < 0.05;

***

p < 0.01

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