Stationarity test for panel data
| Variable | t-statistic | p-value |
|---|---|---|
| Return | 14.09* | 0.0000 |
| BM | 7.84* | 0.0000 |
| BM forecast | 4.53* | 0.0000 |
| ROE forecast | 7.81* | 0.0000 |
| Aggregate forecast (FRM) | 46.70* | 0.0000 |
| Beta | 2.50* | 0.0000 |
| Size | 1.80** | 0.0353 |
| Momentum | 17.64* | 0.0000 |
| Liquidity | ||
| Negotiability | 10.56* | 0.0000 |
| Trading quantity | 17.29* | 0.0000 |
| Traded volume | 6.86* | 0.0000 |
| Variable | ||
|---|---|---|
| Return | 14.09 | 0.0000 |
| BM | 7.84 | 0.0000 |
| BM forecast | 4.53 | 0.0000 |
| ROE forecast | 7.81 | 0.0000 |
| Aggregate forecast (FRM) | 46.70 | 0.0000 |
| Beta | 2.50 | 0.0000 |
| Size | 1.80 | 0.0353 |
| Momentum | 17.64 | 0.0000 |
| Negotiability | 10.56 | 0.0000 |
| Trading quantity | 17.29 | 0.0000 |
| Traded volume | 6.86 | 0.0000 |
Notes:
Significant at 1%;
significant at 5%
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.