Table 10. Relation between stock returns...

Table 10.

Relation between stock returns and dividend yields for reputation and no reputation groups: Fama-MacBeth cross-sectional 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)	0.060^*** (3.36)	0.063^** (2.48)	0.025 (0.83)	0.011 (0.34)	0.110^** (2.32)	0.117^** (2.01)	0.012 (0.37)	0.015 (0.41)
ΔDY		0.011 (0.11)		0.059^** (2.10)		0.039 (0.41)		0.020 (0.41)
Log(MV)	−0.002 (−0.07)	0.005 (0.20)	−0.072^** (−2.24)	−0.062^** (−2.54)	−0.159 (−1.09)	−0.074 (−1.21)	−0.076^** (−2.36)	−0.031 (−0.76)
ROA	1.362^*** (2.73)	1.220^** (2.51)	0.780^* (1.80)	0.743^** (2.10)	−1.936 (−0.68)	−1.512 (−0.63)	0.788^* (1.74)	0.137 (0.15)
GS	−0.138 (−0.46)	−0.342 (−1.53)	−0.027 (−0.49)	−0.082^** (−2.06)	0.421 (0.65)	0.513 (0.72)	−0.020 (−0.36)	−0.081^** (−1.97)
MB	−0.080^** (−2.35)	−0.091^* (−1.87)	−0.016^*** (−2.61)	−0.015^** (−2.46)	0.022 (0.25)	−0.004 (−0.06)	−0.017^*** (−2.63)	−0.024^* (−1.74)
LVRG	0.101 (1.21)	0.089 (1.07)	0.014 (0.20)	0.025 (0.41)	0.298^** (2.46)	0.103 (0.98)	0.007 (0.08)	0.063 (0.56)
r_mt	0.506 (1.24)	0.505 (1.20)	1.029^*** (4.31)	1.077^*** (4.51)	−1.796 (−0.62)	1.022^*** (4.43)	0.650^* (1.68)	−0.101 (−0.09)
Constant	0.148 (0.25)	−0.030 (−0.05)	1.909^** (2.25)	1.643^*** (2.56)	3.606 (1.11)	1.857 (1.24)	1.970^** (2.32)	0.726 (0.63)
Observations	2,614	2,614	20,003	18,712	5,133	5,123	17,484	16,203
Adjusted R²	0.130	0.131	0.078	0.069	0.141	0.151	0.065	0.063

	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)	0.060^*** (3.36)	0.063^** (2.48)	0.025 (0.83)	0.011 (0.34)	0.110^** (2.32)	0.117^** (2.01)	0.012 (0.37)	0.015 (0.41)
ΔDY		0.011 (0.11)		0.059^** (2.10)		0.039 (0.41)		0.020 (0.41)
Log(MV)	−0.002 (−0.07)	0.005 (0.20)	−0.072^** (−2.24)	−0.062^** (−2.54)	−0.159 (−1.09)	−0.074 (−1.21)	−0.076^** (−2.36)	−0.031 (−0.76)
ROA	1.362^*** (2.73)	1.220^** (2.51)	0.780^* (1.80)	0.743^** (2.10)	−1.936 (−0.68)	−1.512 (−0.63)	0.788^* (1.74)	0.137 (0.15)
GS	−0.138 (−0.46)	−0.342 (−1.53)	−0.027 (−0.49)	−0.082^** (−2.06)	0.421 (0.65)	0.513 (0.72)	−0.020 (−0.36)	−0.081^** (−1.97)
MB	−0.080^** (−2.35)	−0.091^* (−1.87)	−0.016^*** (−2.61)	−0.015^** (−2.46)	0.022 (0.25)	−0.004 (−0.06)	−0.017^*** (−2.63)	−0.024^* (−1.74)
LVRG	0.101 (1.21)	0.089 (1.07)	0.014 (0.20)	0.025 (0.41)	0.298^** (2.46)	0.103 (0.98)	0.007 (0.08)	0.063 (0.56)
r_mt	0.506 (1.24)	0.505 (1.20)	1.029^*** (4.31)	1.077^*** (4.51)	−1.796 (−0.62)	1.022^*** (4.43)	0.650^* (1.68)	−0.101 (−0.09)
Constant	0.148 (0.25)	−0.030 (−0.05)	1.909^** (2.25)	1.643^*** (2.56)	3.606 (1.11)	1.857 (1.24)	1.970^** (2.32)	0.726 (0.63)
Observations	2,614	2,614	20,003	18,712	5,133	5,123	17,484	16,203
Adjusted R²	0.130	0.131	0.078	0.069	0.141	0.151	0.065	0.063

Notes:

This table reports the results from Fama-MacBeth cross-sectional 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 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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