Table II. Variables analyzed in this... | Emerald Publishing

Table II.

Variables analyzed in this study

Equation	Description
$R_{t} = \ln (\frac{P_{i t}}{P_{i t - 1}})$	P_it = Nominal closing price of stock i in year t (adjusted to gain);	P_it₋₁ = Nominal closing price of stock i in year t−1 (adjusted to gain)
${B M}_{t} = \frac{{B V}_{t - 1}}{{M V}_{t - 1}}$	BV_t₋₁ = book value on December 31 of year t − 1;	VM_t₋₁ = market value on December 31 of year t−1
${R O E}_{t} = \frac{{N P}_{t - 1}}{{B V}_{t - 1}}$	NP_t₋₁ = company’s net profit on December 31 of year t−1;	BV_t₋₁ = book value on December 31 of year t − 1
FBM_{t +1} = γ₀ + γ₁BM_t	γ₀ = intercept of a model to predict the B/M, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010;	γ₁ = slope coefficient of a model to predict the B/M, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010
FROE_t+1 = λ₀ + λ₁ROE_t	λ₀ = intercept of a model to predict the ROE, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010;	λ₁ = slope coefficient of a model to predict the ROE, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010
β_t	Calculated on the 60 months immediately prior the beginning of year t, in July
SIZE_t = lnMV_t	VM_t = Market value on June 30 of year t
MOM_t	Calculated by summing up the return of the 12 months immediately prior to the beginning of year t, in July
Trading quantity	Quantity of annual trading of a stock
Traded volume	Volume of annual trading of a stock, in Brazilian Reais
Negotiability index	$N e g o t i a b i l i t y = 100 \times \frac{p}{P} \times \sqrt{\frac{n}{N} \times \frac{v}{V}}$

Equation	Description
$R_{t} = \ln (\frac{P_{i t}}{P_{i t - 1}})$	P_it = Nominal closing price of stock i in year t (adjusted to gain);	P_it₋₁ = Nominal closing price of stock i in year t−1 (adjusted to gain)
${B M}_{t} = \frac{{B V}_{t - 1}}{{M V}_{t - 1}}$	BV_t₋₁ = book value on December 31 of year t − 1;	VM_t₋₁ = market value on December 31 of year t−1
${R O E}_{t} = \frac{{N P}_{t - 1}}{{B V}_{t - 1}}$	NP_t₋₁ = company’s net profit on December 31 of year t−1;	BV_t₋₁ = book value on December 31 of year t − 1
FBM_{t +1} = γ₀ + γ₁BM_t	γ₀ = intercept of a model to predict the B/M, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010;	γ₁ = slope coefficient of a model to predict the B/M, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010
FROE_t+1 = λ₀ + λ₁ROE_t	λ₀ = intercept of a model to predict the ROE, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010;	λ₁ = slope coefficient of a model to predict the ROE, estimated through a linear dynamic panel, using data from all sample companies, from 1995 to 2010
β_t	Calculated on the 60 months immediately prior the beginning of year t, in July
SIZE_t = lnMV_t	VM_t = Market value on June 30 of year t
MOM_t	Calculated by summing up the return of the 12 months immediately prior to the beginning of year t, in July
Trading quantity	Quantity of annual trading of a stock
Traded volume	Volume of annual trading of a stock, in Brazilian Reais
Negotiability index	$N e g o t i a b i l i t y = 100 \times \frac{p}{P} \times \sqrt{\frac{n}{N} \times \frac{v}{V}}$