Table 10 Cross-country analyses...

Table 10

Cross-country analyses controlling for market development and efficiency

Model	IDV	UAI	DEVP	EQUITY	MKTCAP	LIQUID	R²	MKT	FERC
Panel A: Univariate regressions
Equal weights	1.155***	−0.895**	0.528**	0.489**	0.002	0.003*	−3.842**	0.008*	0.426**
Equal weights	(3.58)	(−2.37)	(2.32)	(2.16)	(0.91)	(1.68)	(−2.31)	(1.66)	(2.45)
Value weights	1.213***	−1.281***	0.666**	0.453*	0.001	−0.001	−6.051***	0.006	0.326
Value weights	(2.96)	(−2.87)	(2.42)	(1.84)	(0.37)	(−0.52)	(−3.19)	(0.97)	(1.41)
Panel B: Asset growth portfolios formed on equal weights
Model 1	1.765*		−0.390	0.073	−0.004	0.003	0.668	0.008	0.236
Model 1	(1.73)		(−1.20)	(0.11)	(−0.88)	(0.77)	(0.24)	(0.50)	(1.15)
Model 2		−0.719*	−0.127	0.471	−0.005	0.003	−1.466	−0.003	0.292
Model 2		(−1.76)	(−0.35)	(1.08)	(−1.09)	(0.74)	(−0.81)	(−0.25)	(1.29)
Model 3	3.166***	−1.248***	−0.711**	−0.624	−0.009*	0.006	4.111	0.026	0.469**
Model 3	(3.01)	(−2.87)	(−2.00)	(−0.97)	(−1.94)	(1.64)	(1.36)	(1.62)	(2.04)
Panel C: Asset growth portfolios formed on value weights
Model 1	2.204**		−0.063	−0.544	0.002	−0.005	−2.036	0.012	0.519
Model 1	(2.10)		(−0.15)	(−0.80)	(0.46)	(−1.14)	(−0.72)	(0.65)	(1.62)
Model 2		−1.232**	0.269	0.231	0.001	−0.006	−4.110*	−0.004	0.600*
Model 2		(−2.49)	(0.63)	(0.49)	(0.11)	(−1.35)	(−1.94)	(−0.30)	(1.84)
Model 3	3.658***	−1.626***	−0.442	−1.311*	−0.007	0.000	2.581	0.037*	0.789**
Model 3	(2.91)	(−3.09)	(−0.97)	(−1.72)	(−1.25)	(0.08)	(0.77)	(1.81)	(2.27)

Model	IDV	UAI	DEVP	EQUITY	MKTCAP	LIQUID	R²	MKT	FERC
Panel A: Univariate regressions
Equal weights	1.155***	−0.895**	0.528**	0.489**	0.002	0.003*	−3.842**	0.008*	0.426**
Equal weights	(3.58)	(−2.37)	(2.32)	(2.16)	(0.91)	(1.68)	(−2.31)	(1.66)	(2.45)
Value weights	1.213***	−1.281***	0.666**	0.453*	0.001	−0.001	−6.051***	0.006	0.326
Value weights	(2.96)	(−2.87)	(2.42)	(1.84)	(0.37)	(−0.52)	(−3.19)	(0.97)	(1.41)
Panel B: Asset growth portfolios formed on equal weights
Model 1	1.765*		−0.390	0.073	−0.004	0.003	0.668	0.008	0.236
Model 1	(1.73)		(−1.20)	(0.11)	(−0.88)	(0.77)	(0.24)	(0.50)	(1.15)
Model 2		−0.719*	−0.127	0.471	−0.005	0.003	−1.466	−0.003	0.292
Model 2		(−1.76)	(−0.35)	(1.08)	(−1.09)	(0.74)	(−0.81)	(−0.25)	(1.29)
Model 3	3.166***	−1.248***	−0.711**	−0.624	−0.009*	0.006	4.111	0.026	0.469**
Model 3	(3.01)	(−2.87)	(−2.00)	(−0.97)	(−1.94)	(1.64)	(1.36)	(1.62)	(2.04)
Panel C: Asset growth portfolios formed on value weights
Model 1	2.204**		−0.063	−0.544	0.002	−0.005	−2.036	0.012	0.519
Model 1	(2.10)		(−0.15)	(−0.80)	(0.46)	(−1.14)	(−0.72)	(0.65)	(1.62)
Model 2		−1.232**	0.269	0.231	0.001	−0.006	−4.110*	−0.004	0.600*
Model 2		(−2.49)	(0.63)	(0.49)	(0.11)	(−1.35)	(−1.94)	(−0.30)	(1.84)
Model 3	3.658***	−1.626***	−0.442	−1.311*	−0.007	0.000	2.581	0.037*	0.789**
Model 3	(2.91)	(−3.09)	(−0.97)	(−1.72)	(−1.25)	(0.08)	(0.77)	(1.81)	(2.27)

Note(s): This table reports the cross-sectional regressions of a country's asset growth premium on its corresponding country-level indices associated with national cultures or market development and efficiency. For each country, we first rank individual stocks in ascending order based on their asset growth (TAG) calculated at the end of the previous fiscal year. We classify firms into deciles, with TAG values ranked in the bottom 10% assigned to the AG1 portfolio and those ranked in the top 10% assigned to the AG10 portfolio. The portfolios are held with equal or value weights from July of each year to June of the next year and are rebalanced at the end of June every year. The country-specific asset growth premium is defined as the difference in returns between AG1 and AG10 portfolios within the country. We next regress country's asset growth premium on its corresponding values of country-level variables every month. The variables include IDV, UAI, DEVP, EQUITY, MKTCAP, LIQUID, R², MKT and FERC, respectively. We test the average coefficients from the cross-sectional regressions. Panel A reports the estimation results associated with univariate regressions whereas Panels B and C report the results associated with multivariate regressions with equal and value weights, respectively. Numbers in the parentheses are the t-statistics calculated using Newey and West's (1987) robust standard errors. ***, ** and * denote significance at the 1%, 5% and 10% levels, respectively

Source(s): Author's work

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