Notes: The following tables present the results of the post-estimation tests conducted on the cost of capital Model (15). The test is based on the recommendation of among others, Baltagi (2005) and Wooldridge (2010). All tests have been reported in the following tables. The corresponding p-value estimates of each test, namely, BPLM, Hausman and Heteroskedasticity test are presented. Country cluster robust standard errors are reported in the brackets. The BPLM test for unobservable effects tests the null hypothesis of equal variances across countries; H₀: Var(a_i)=0. The results show that in all models the null hypothesis is rejected and hence it can be documented that unobservable effects are present. Next, Hausman test has been applied in order to estimate the consistency and efficiency of the RE estimation vs FE estimation. The Hausman test examines whether the estimated coefficients from the FE estimation and the RE estimation is statistically significant; $H0:βˆRE=βˆFE$⁠. The rejection (p-value<0.05) of the test is commonly interpreted as a rejection of the RE model estimation, although Wooldridge (2010) lists a number of potential drawbacks of this interpretation. The results in general show that RE is the appropriate estimator for the models of market capitalization, value traded and turnover ratios. Standard errors in brackets *p<0.10; **p<0.05; ***p<0.01