Table II. Company–level variables... | Emerald Publishing

Table II.

Company–level variables

Variable	Description	Formula
Return (dependent variable)	The returns were calculated for an annual period. In stocks not quoted on the day analysed, the quotes of the immediately subsequent day were used	$r e t_{i t} = \frac{p_{t} - p_{t - 1}}{p_{t - 1}}$
Size	The Proxy used for this size is given by the natural logarithm of total assets	$T a m = ln (A T_{t})$
Price–to–book	The ratio between the market value and the book value is commonly called price–to–book in the literature. Where: NE – net equity value of the company MV – market value, calculated by the multiplication of the number of stocks traded in the capital market by the respective price of each of the stock modalities	$P B V = \frac{M V}{N E}$
Capital investment	The past capital investments for end June of each calendar year t are measured by the change in PPE (plant, property and equipment) between the end of year t − 2 and t − 1, divided by the firm’s total assets at the end of year t − 1	$I n v_{t} = \frac{V L P P E_{t} - V L P P E_{t - 1}}{T A_{t - 1}}$
Accruals	The accruals were calculated based on information from the balance sheet and the income statement.ΔCA = Variation current assets; ΔCx = Variation in cash and cash equivalents ΔCL = Variation current liabilities; ΔDeb = Variation short–term debts; ΔTax = Variation taxes payable; Dep = Variation depreciation and amortisation expenses; TA_t_–1 = Total lagged assets; TA_t = Total current assets	$A c c = \frac{\begin{matrix} (\begin{matrix} Δ C A_{t - (t - 1)} \\ - Δ C x_{t - (t - 1)} \end{matrix}) - \\ (\begin{matrix} Δ C L_{t - (t - 1)} \\ - Δ D e b_{t - (t - 1)} \\ - Δ T a x_{t - (t - 1)} \end{matrix}) \\ - D e p \end{matrix}}{\frac{1}{2} X ({TA}_{t - 1} + {TA}_{t})}$
Gross profitability	Gross profitability was selected to assess the company’s current profitability level	$P r o f_{t} = \frac{G r o s s P r o f i t}{\frac{1}{2} X ({TA}_{t - 1} + T A_{t})}$
Sales growth	Sales growth was selected as an alternative measure to capture the company growth. Sales_t corresponds to the total gross revenue in period t, Sales_t–1 to the total gross revenue in the lagged period and TA_{t– 1} to the Total Assets in the lagged period	$S a l e G r o w_{t} = \frac{S a l e s_{t} - S a l e s_{t - 1}}{T A_{t - 1}}$

Variable	Description	Formula
Return (dependent variable)	The returns were calculated for an annual period. In stocks not quoted on the day analysed, the quotes of the immediately subsequent day were used	$r e t_{i t} = \frac{p_{t} - p_{t - 1}}{p_{t - 1}}$
Size	The Proxy used for this size is given by the natural logarithm of total assets	$T a m = ln (A T_{t})$
Price–to–book	The ratio between the market value and the book value is commonly called price–to–book in the literature.Where: NE – net equity value of the companyMV – market value, calculated by the multiplication of the number of stocks traded in the capital market by the respective price of each of the stock modalities	$P B V = \frac{M V}{N E}$
Capital investment	The past capital investments for end June of each calendar year t are measured by the change in PPE (plant, property and equipment) between the end of year t − 2 and t − 1, divided by the firm’s total assets at the end of year t − 1	$I n v_{t} = \frac{V L P P E_{t} - V L P P E_{t - 1}}{T A_{t - 1}}$
Accruals	The accruals were calculated based on information from the balance sheet and the income statement.ΔCA = Variation current assets; ΔCx = Variation in cash and cash equivalentsΔCL = Variation current liabilities; ΔDeb = Variation short–term debts; ΔTax = Variation taxes payable; Dep = Variation depreciation and amortisation expenses; TA_t_–1 = Total lagged assets; TA_t = Total current assets	$A c c = \frac{\begin{matrix} (\begin{matrix} Δ C A_{t - (t - 1)} \\ - Δ C x_{t - (t - 1)} \end{matrix}) - \\ (\begin{matrix} Δ C L_{t - (t - 1)} \\ - Δ D e b_{t - (t - 1)} \\ - Δ T a x_{t - (t - 1)} \end{matrix}) \\ - D e p \end{matrix}}{\frac{1}{2} X ({TA}_{t - 1} + {TA}_{t})}$
Gross profitability	Gross profitability was selected to assess the company’s current profitability level	$P r o f_{t} = \frac{G r o s s P r o f i t}{\frac{1}{2} X ({TA}_{t - 1} + T A_{t})}$
Sales growth	Sales growth was selected as an alternative measure to capture the company growth. Sales_t corresponds to the total gross revenue in period t, Sales_t–1 to the total gross revenue in the lagged period and TA_{t– 1} to the Total Assets in the lagged period	$S a l e G r o w_{t} = \frac{S a l e s_{t} - S a l e s_{t - 1}}{T A_{t - 1}}$