Table VII. Results of the fundamental...

Table VII.

Results of the fundamental valuation models’ regressions

			Part 1-Coefficients
Model	Constant	BM	FBM	FROE	FRM
(1)	0.0400531*	0.07376*	−0.035035	0.111385
(2)	0.0678418*				0.0180011*
			Part 2-Tests
	Adjusted R²	F-Test	Wald	LM	Hausman
(1)	0.0287	3.88*	4.40*	6.66*	30.51*
(2)	0.0452	1.47*	3.13*	2.1900	10.99*

			Part 1-Coefficients
Model	Constant	BM	FBM	FROE	FRM
(1)	0.0400531*	0.07376*	−0.035035	0.111385
(2)	0.0678418*				0.0180011*
			Part 2-Tests
	Adjusted R²	F-Test	Wald	LM	Hausman
(1)	0.0287	3.88*	4.40*	6.66*	30.51*
(2)	0.0452	1.47*	3.13*	2.1900	10.99*

Notes:

Part 1 of the Table shows fundamental valuation model regressions estimated annually through panel data. The expected future B/M ratio (FBM) and ROE (FROE) were estimated through the linear dynamic panel of Arellano et al. (1991). Standard errors were estimated using a Huber–White robust matrix, considering the results of the tests of regression assumptions, which are in Part 2 of the Table;

significant at 1%

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