Table 2 Regression results from...

Table 2

Regression results from descriptive and predictive models of ARET, regress on AGSV, AWiki and other control variables. Columns (1)–(6) report results from a single regression models to explain the various independent variables. Columns (6) corresponds to multiple explanatory regressions model. Columns (7)–(11) display the corresponding results for predictive models

Dependent variable: ARET
Explanatory models							Predictive models
Variables	(1)	(2)	(3)	(4)	(5)	(6)	Variables	(7)	(8)	(9)	(10)	(11)
ARET_t−1	0.404*** [0.071]					0.302*** [0.699]	ARET_t−1					0.299*** [0.066]
AGSV		0.004*** [0.001]				0.001 [0.001]	AGSV_t−1	0.002 [0.002]				−0.001 [0.001]
Awiki			−0.007*** [0.001]			−0.004*** [0.001]	Awiki_t−1		−0.008*** [0.001]			−0.006*** [0.002]
ATVOL				−0.001 [0.001]		0.0008 [0.001]	ATVOL_t−1			−0.001 [0.001]		−0.001*** [0.001]
Volatility					0.930** [0.428]	−0.046 [0.624]	Volatility_t−1				1.220*** [0.393]	0.511 [0.612]
Constant	−0.009*** [0.001]	−0.012** * [0.001]	−0.015*** [0.001]	−0.015** * [0.001]	−0.027** [0.005]	−0.004 [0.008]	Constant	−0.013*** [0.01]	−0.015*** [0.001]	−0.015*** [0.001]	−0.0317*** [0.005]	−0.0182** [0.008]
R-Squaied	0.165	0.034	0.099	0.001	0.019	0.182	R-Squared	0.008	0.120	0.004	0.033	0.206
Adjust. R²	0.161	0.029	0.094	−0.002	0.015	0.161	Adjust. R²	0.003	0.116	0.0002	0.029	0.187
Durbin-W	2.076	1.276	1.461	1.197	1.235	1.986	Durbin-W	1.277	1.424	1.182	1.234	1.996

Dependent variable: ARET
Explanatory models							Predictive models
Variables	(1)	(2)	(3)	(4)	(5)	(6)	Variables	(7)	(8)	(9)	(10)	(11)
ARET_t−1	0.404*** [0.071]					0.302*** [0.699]	ARET_t−1					0.299*** [0.066]
AGSV		0.004*** [0.001]				0.001 [0.001]	AGSV_t−1	0.002 [0.002]				−0.001 [0.001]
Awiki			−0.007*** [0.001]			−0.004*** [0.001]	Awiki_t−1		−0.008*** [0.001]			−0.006*** [0.002]
ATVOL				−0.001 [0.001]		0.0008 [0.001]	ATVOL_t−1			−0.001 [0.001]		−0.001*** [0.001]
Volatility					0.930** [0.428]	−0.046 [0.624]	Volatility_t−1				1.220*** [0.393]	0.511 [0.612]
Constant	−0.009*** [0.001]	−0.012** * [0.001]	−0.015*** [0.001]	−0.015** * [0.001]	−0.027** [0.005]	−0.004 [0.008]	Constant	−0.013*** [0.01]	−0.015*** [0.001]	−0.015*** [0.001]	−0.0317*** [0.005]	−0.0182** [0.008]
R-Squaied	0.165	0.034	0.099	0.001	0.019	0.182	R-Squared	0.008	0.120	0.004	0.033	0.206
Adjust. R²	0.161	0.029	0.094	−0.002	0.015	0.161	Adjust. R²	0.003	0.116	0.0002	0.029	0.187
Durbin-W	2.076	1.276	1.461	1.197	1.235	1.986	Durbin-W	1.277	1.424	1.182	1.234	1.996

Note(s): 1. The symbols ***, ** and * indicates significance at the 1%, 5%, and 10% levels, respectively, 2. White heteroscedasticity-consistent (Eicker-Wliite) standard errors and covariances are applied to all of the models (1)–(11)

[ViewLarge]

Sharing Unavailable