Note(s): This table reports the cross-sectional regressions of a country's asset growth premium on its corresponding country-level indices associated with limits-to-arbitrage, corporate governance, investor protection and accounting quality. 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 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 TCOST, IRISK, DVOL, SHORT, CR, AD, AS, ACCT, EMS and four dummies of legal origin (UK, FR, GE and SC), respectively. We perform both univariate and multivariate regressions. For the regression concerning legal origins, we include the four dummies simultaneously without the intercept. We test the average coefficients from the cross-sectional regressions. 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