Table 12. Volatility perspective Panel A...

Table 12.

Volatility perspective

Panel A	Dep. variable: SD_Ri		Panel B	Dep. variable: SD_P
	MM	RIM	MM	RIM
SD_MKT	0.42 (1.28)**		0.31 (0.8)*
SD_BV		0.022 (0.58)		−0.15 (−0.99)
SD_AR		−0.007 (−058)		0.013 (0.24)
CONST	0.01 (0.59)	0.028 (1.56)	0.13 (1.52)	0.18 (2.38)*
R² P > F RMSE	0.213 0.07 0.09	0.12 0.7 0.03	0.06 0.8 0.13	0.17 0.6 0.12
N	279	279	279	279

Panel A	Dep. variable: SD_Ri		Panel B	Dep. variable: SD_P
	MM	RIM	MM	RIM
SD_MKT	0.42 (1.28)**		0.31 (0.8)*
SD_BV		0.022 (0.58)		−0.15 (−0.99)
SD_AR		−0.007 (−058)		0.013 (0.24)
CONST	0.01 (0.59)	0.028 (1.56)	0.13 (1.52)	0.18 (2.38)*
R²P > FRMSE	0.2130.070.09	0.120.70.03	0.060.80.13	0.170.60.12
N	279	279	279	279

Notes:

SD_Ri (standard deviation of equity returns), SD_MKT (standard deviation of market return), SD_BV (standard deviation of BV), SD_AR (standard deviation of AR), SD_P (standard deviation of prices). MM (market model)

p < 0.1;

p < 0.05;

***

p < 0.01

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