Table 11. Relation between reputation,...

Table 11.

Relation between reputation, stock returns and dividend yields

	Panel A. Reputation dummy: RPT5			Panel B. Reputation dummy: RPT3
	(1)	(2)	(3)	(4)	(5)	(6)
RPT	−0.610^* (−1.65)	0.441 (1.24)	0.329 (0.88)	−0.801^*** (−2.35)	0.057 (0.20)	0.001 (0.01)
RPT × Log(DY)	0.070^* (1.80)	0.033^* (1.90)	0.036^** (2.03)	0.033^* (1.67)	0.025 (1.32)	0.027 (1.45)
RPT × ΔDY	−0.134^*** (−2.80)	−0.113^*** (−2.67)	−0.112^*** (−2.63)	−0.093^** (−2.08)	−0.074^* (−1.88)	−0.073^* (−1.84)
RPT × Log(MV)	0.024^* (1.73)	−0.011 (−0.90)	−0.006 (−0.47)	0.033^*** (2.46)	0.006 (0.60)	0.009 (0.77)
RPT × MB		−0.448^*** (−2.56)	−0.430^*** (−2.44)		−0.435^*** (−3.13)	−0.419^*** (−3.00)
RPT × Log(MV) × MB		0.015^*** (2.53)	0.015^*** (2.41)		0.014^*** (2.89)	0.014^*** (2.76)
RPT × LargeSh		−0.153 (−1.46)	−0.168 (−1.61)		−0.183^** (−2.25)	−0.189^** (−2.31)
RPT × FMsh			−0.023 (−0.72)			−0.005 (−0.20)
Log(DY)	0.009 (0.23)	0.041 (1.22)	0.042 (1.26)	0.0001 (0.01)	0.001 (1.02)	0.0001 (1.01)
ΔDY	0.053^** (2.29)	0.033^* (1.72)	0.032 (1.63)	0.059^*** (2.31)	0.037^* (1.77)	0.035^* (1.67)
Log(MV)	−0.278^*** (−8.46)	−0.225^*** (−17.36)	−0.220^*** (−17.50)	−0.285^*** (−8.10)	−0.226^*** (−16.47)	−0.222^*** (−16.58)
ROA	0.402^*** (4.13)	0.318^*** (3.77)	0.323^*** (3.83)	0.383^*** (3.95)	0.321^*** (3.80)	0.326^*** (3.85)
MB	−0.001 (−1.14)	−0.001 (−1.17)	−0.001 (−1.17)	−0.001 (−1.16)	−0.001 (−1.14)	−0.001 (−1.14)
LargeSh		0.632^*** (6.96)	0.624^*** (6.93)		0.647^*** (6.87)	0.639^*** (6.84)
FMsh			−0.048^** (−2.07)			−0.049^** (−1.96)
r_mt	0.743^*** (12.36)	0.643^*** (27.09)	0.644^*** (27.06)	0.744^*** (12.34)	0.644^*** (27.23)	0.645^*** (27.20)
Constant	7.100^*** (8.40)	5.476^*** (17.43)	5.378^*** (17.54)	7.272^*** (8.06)	5.511^*** (16.59)	5.414^*** (16.67)
Observations	21,326	21,207	21,207	21,326	21,207	21,207
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
Clusters(firms)	1,993	1,991	1,991	1,993	1,991	1,991
Within R²	0.101	0.163	0.164	0.101	0.164	0.164

	Panel A. Reputation dummy: RPT5			Panel B. Reputation dummy: RPT3
	(1)	(2)	(3)	(4)	(5)	(6)
RPT	−0.610^* (−1.65)	0.441 (1.24)	0.329 (0.88)	−0.801^*** (−2.35)	0.057 (0.20)	0.001 (0.01)
RPT × Log(DY)	0.070^* (1.80)	0.033^* (1.90)	0.036^** (2.03)	0.033^* (1.67)	0.025 (1.32)	0.027 (1.45)
RPT × ΔDY	−0.134^*** (−2.80)	−0.113^*** (−2.67)	−0.112^*** (−2.63)	−0.093^** (−2.08)	−0.074^* (−1.88)	−0.073^* (−1.84)
RPT × Log(MV)	0.024^* (1.73)	−0.011 (−0.90)	−0.006 (−0.47)	0.033^*** (2.46)	0.006 (0.60)	0.009 (0.77)
RPT × MB		−0.448^*** (−2.56)	−0.430^*** (−2.44)		−0.435^*** (−3.13)	−0.419^*** (−3.00)
RPT × Log(MV) × MB		0.015^*** (2.53)	0.015^*** (2.41)		0.014^*** (2.89)	0.014^*** (2.76)
RPT × LargeSh		−0.153 (−1.46)	−0.168 (−1.61)		−0.183^** (−2.25)	−0.189^** (−2.31)
RPT × FMsh			−0.023 (−0.72)			−0.005 (−0.20)
Log(DY)	0.009 (0.23)	0.041 (1.22)	0.042 (1.26)	0.0001 (0.01)	0.001 (1.02)	0.0001 (1.01)
ΔDY	0.053^** (2.29)	0.033^* (1.72)	0.032 (1.63)	0.059^*** (2.31)	0.037^* (1.77)	0.035^* (1.67)
Log(MV)	−0.278^*** (−8.46)	−0.225^*** (−17.36)	−0.220^*** (−17.50)	−0.285^*** (−8.10)	−0.226^*** (−16.47)	−0.222^*** (−16.58)
ROA	0.402^*** (4.13)	0.318^*** (3.77)	0.323^*** (3.83)	0.383^*** (3.95)	0.321^*** (3.80)	0.326^*** (3.85)
MB	−0.001 (−1.14)	−0.001 (−1.17)	−0.001 (−1.17)	−0.001 (−1.16)	−0.001 (−1.14)	−0.001 (−1.14)
LargeSh		0.632^*** (6.96)	0.624^*** (6.93)		0.647^*** (6.87)	0.639^*** (6.84)
FMsh			−0.048^** (−2.07)			−0.049^** (−1.96)
r_mt	0.743^*** (12.36)	0.643^*** (27.09)	0.644^*** (27.06)	0.744^*** (12.34)	0.644^*** (27.23)	0.645^*** (27.20)
Constant	7.100^*** (8.40)	5.476^*** (17.43)	5.378^*** (17.54)	7.272^*** (8.06)	5.511^*** (16.59)	5.414^*** (16.67)
Observations	21,326	21,207	21,207	21,326	21,207	21,207
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
Clusters(firms)	1,993	1,991	1,991	1,993	1,991	1,991
Within R²	0.101	0.163	0.164	0.101	0.164	0.164

Notes:

This table reports the results from panel regressions of one-year future excess returns on the reputation dummies, RPT5 or RPT3; dividend yields; their interaction terms; and other control variables. The reputation dummy is RPT5 in Panel A and RPT3 in Panel B. 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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