Relation between stock returns and dividend yields for reputation and no reputation groups: panel regressions
| Panel A. Reputation-building period: five years | Panel B. Reputation-building period: three years | |||||||
|---|---|---|---|---|---|---|---|---|
| RPT5 | NR | RPT3 | NR | |||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | |
| Log(DY) | 0.123* (1.89) | 0.101 (1.50) | 0.010 (0.34) | −0.006 (−0.19) | 0.107** (2.14) | 0.113** (2.27) | 0.006 (0.20) | −0.021 (−0.56) |
| ΔDY | 0.042 (0.92) | 0.060*** (2.63) | −0.019 (−0.49) | 0.070*** (2.68) | ||||
| Log(MV) | −0.209*** (−5.34) | −0.215*** (−5.38) | −0.316*** (−10.81) | −0.303*** (−10.04) | −0.167*** (−5.79) | −0.165*** (−5.69) | −0.337*** (−10.09) | −0.324*** (−9.28) |
| ROA | −0.375 (−1.12) | −0.358 (−1.07) | 0.638*** (3.42) | 0.450*** (3.38) | −0.077 (−0.35) | −0.074 (−0.34) | 0.666*** (3.38) | 0.466*** (3.36) |
| GS | 0.057 (0.37) | 0.054 (0.35) | −0.139 (−1.47) | −0.142 (−1.37) | −0.075 (−0.99) | −0.096 (−1.16) | −0.137 (−1.37) | −0.138 (−1.25) |
| MB | −0.059*** (−2.59) | −0.058** (−2.56) | 0.0004 (−0.70) | 0.0004 (−0.82) | −0.062*** (−3.67) | −0.063*** (−3.71) | 0.0004 (−0.58) | 0.0004 (−0.71) |
| LVRG | 0.064 (0.30) | 0.075 (0.35) | −0.170 (−1.38) | −0.345*** (−2.92) | 0.153 (1.16) | 0.160 (1.21) | −0.205 (−1.58) | −0.402*** (−3.26) |
| rmt | 0.581*** (12.40) | 0.575*** (12.18) | 0.860*** (13.11) | 0.757*** (11.70) | 0.689*** (17.04) | 0.692*** (16.46) | 0.867*** (12.22) | 0.757*** (10.67) |
| Constant | 5.510*** (5.03) | 5.683*** (5.09) | 8.099*** (11.27) | 7.873*** (10.51) | 4.358*** (5.48) | 4.304*** (5.37) | 8.625*** (10.53) | 8.413*** (9.74) |
| Observations | 2,614 | 2,614 | 20,003 | 18,712 | 5,133 | 5,123 | 17,484 | 16,203 |
| Year fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Clusters (firms) | 614 | 614 | 2,066 | 1,990 | 1,032 | 1,031 | 2,062 | 1,982 |
| Within R2 | 0.295 | 0.295 | 0.110 | 0.099 | 0.279 | 0.279 | 0.108 | 0.095 |
| Panel A. | Panel B. | |||||||
|---|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | |
| 0.123* (1.89) | 0.101 (1.50) | 0.010 (0.34) | −0.006 (−0.19) | 0.107 | 0.113 | 0.006 (0.20) | −0.021 (−0.56) | |
| Δ | 0.042 (0.92) | 0.060 | −0.019 (−0.49) | 0.070 | ||||
| −0.209 | −0.215 | −0.316 | −0.303 | −0.167 | −0.165 | −0.337 | −0.324 | |
| −0.375 (−1.12) | −0.358 (−1.07) | 0.638 | 0.450 | −0.077 (−0.35) | −0.074 (−0.34) | 0.666 | 0.466 | |
| 0.057 (0.37) | 0.054 (0.35) | −0.139 (−1.47) | −0.142 (−1.37) | −0.075 (−0.99) | −0.096 (−1.16) | −0.137 (−1.37) | −0.138 (−1.25) | |
| −0.059 | −0.058 | 0.0004 (−0.70) | 0.0004 (−0.82) | −0.062 | −0.063 | 0.0004 (−0.58) | 0.0004 (−0.71) | |
| 0.064 (0.30) | 0.075 (0.35) | −0.170 (−1.38) | −0.345 | 0.153 (1.16) | 0.160 (1.21) | −0.205 (−1.58) | −0.402 | |
| 0.581 | 0.575 | 0.860 | 0.757 | 0.689 | 0.692 | 0.867 | 0.757 | |
| Constant | 5.510 | 5.683 | 8.099 | 7.873 | 4.358 | 4.304 | 8.625 | 8.413 |
| Observations | 2,614 | 2,614 | 20,003 | 18,712 | 5,133 | 5,123 | 17,484 | 16,203 |
| Year fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Clusters (firms) | 614 | 614 | 2,066 | 1,990 | 1,032 | 1,031 | 2,062 | 1,982 |
| Within | 0.295 | 0.295 | 0.110 | 0.099 | 0.279 | 0.279 | 0.108 | 0.095 |
Notes:
This table reports the results from panel regressions of one-year future excess returns on dividend yields for reputation-established and no-reputation firms. In Panel A, regressions are estimated for RPT5, which includes reputation-established firms for at least five years and NR, which includes no-reputation firms over five years. In Panel B, RPT3 includes reputation-established firms for at least three years and NR includes no-reputation firms over three years. The variables are defined in Table 1. t-statistics are based on standard errors adjusted for the firm-clustering effect and are in parentheses.
,
and
* denote statistical significance at the 1, 5 and 10% levels, respectively. The sample period is from 1998 to 2019
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