Table VII. Regression models for returns...

Table VII.

Regression models for returns with country and company–level variables

Variable	Full model	Stepwise model
Price–to–book	0.100***	0.100***
Price–to–book	0.001	0.001
Return (t − 1)	−0.116***	−0.116***
Return (t − 1)	0.003	0.003
Accruals (t − 1)	0.018
Accruals (t − 1)	0.016
Inv	−0.092***	−0.095***
Inv	0.019	0.019
Siz	−0.02***	−0.018***
Siz	0.006	0.006
Gross Prof	0.349***	0.353***
Gross Prof	0.028	0.028
SaleGrow (t − 1)	−0.025***	−0.026***
SaleGrow (t − 1)	0.004	0.004
Market ratio	0.784***	0.782***
Market ratio	0.007	0.006
EarnSmoot	0.011	0
EarnSmoot	0.007	0
EarnAgress	−0.983	−0.944***
EarnAgress	0.107	0.105
EarnAgress	0.138	0.141***
EarnAgress	0.017	0.017
IFRS	0.019**	0.02***
IFRS	0.009	0.009
Factor 1	−0.065***	−0.066**
Factor 1	0.007	0.007
Factor 2	−0.138***	−0.137***
Factor 2	0.006	0.006
Factor 3	0.015***	0.015***
Factor 3	0.004	0.004
Factor 4	0.037***	0.038***
Factor 4	0.005	0.005
Intercept	−0.072**	−0.078**
Intercept	0.033	0.033
Observations	59890	59890
r2_w	0.556	0.556
r2_b	0.066	0.066
r2_o	0.411	0.41
F	3832.16***	4379.16***
Companies’ number	10994	10994

Variable	Full model	Stepwise model
Price–to–book	0.100***	0.100***
Price–to–book	0.001	0.001
Return (t − 1)	−0.116***	−0.116***
Return (t − 1)	0.003	0.003
Accruals (t − 1)	0.018
Accruals (t − 1)	0.016
Inv	−0.092***	−0.095***
Inv	0.019	0.019
Siz	−0.02***	−0.018***
Siz	0.006	0.006
Gross Prof	0.349***	0.353***
Gross Prof	0.028	0.028
SaleGrow (t − 1)	−0.025***	−0.026***
SaleGrow (t − 1)	0.004	0.004
Market ratio	0.784***	0.782***
Market ratio	0.007	0.006
EarnSmoot	0.011	0
EarnSmoot	0.007	0
EarnAgress	−0.983	−0.944***
EarnAgress	0.107	0.105
EarnAgress	0.138	0.141***
EarnAgress	0.017	0.017
IFRS	0.019**	0.02***
IFRS	0.009	0.009
Factor 1	−0.065***	−0.066**
Factor 1	0.007	0.007
Factor 2	−0.138***	−0.137***
Factor 2	0.006	0.006
Factor 3	0.015***	0.015***
Factor 3	0.004	0.004
Factor 4	0.037***	0.038***
Factor 4	0.005	0.005
Intercept	−0.072**	−0.078**
Intercept	0.033	0.033
Observations	59890	59890
r2_w	0.556	0.556
r2_b	0.066	0.066
r2_o	0.411	0.41
F	3832.16***	4379.16***
Companies’ number	10994	10994

Notes:

Where: *p < 0.10, **p < 0.05 and ***p < 0.01; R = Return, Price–to–Book = relation between market value and book value, Accruals = Adjustments resulting from competence regime, Inv = Capital investment, Siz = Size, Gross Prof = Gross Profitability, SaleGrow_(t–1)= Sales Growth (t – 1), Market Ratio = Mean performance indicator of stock quotes traded in the countries’ respective exchanges, EarnSmoot = Earnings smoothing, EarnAgress = Earnings aggressiveness, EarnAgress = Aversion to losses, IFRS = international accounting standards adoption and Factors 1 to 4 represent the extracted factors based on the principal component factor analysis

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