Table IX. Regression results of the...

Table IX.

Regression results of the joint models

	Constant	BM	FBM	FROE	FRM	Beta	Size	Momentum	Liquidity	Adjust. R²	F-Test	Wald	LM	Hausman
(7)	0.02960*	0.08493*	−0.00435	0.13289***		−0.12699*				0.0710	1.52*	7.330*	14.931*	18.40*
(8)	0.14009**	0.06029 *	−0.01210*	0.16633**		−0.14314***	−0.10259*			0.0682	12.19*	6.229*	44.771*	99.56*
(9)	0.14088*	0.04047**	−0.01330***	0.17683**		−0.12031	−0.10536*	0.04009		0.0701	10.58*	3.329*	47.399*	185.17*
(10.1)	0.14097*	0.04051**	−0.01331***	0.17682**		−0.12600	−0.10543*	0.04012	−0.00052¹	0.0725	12.17*	3.005*	47.016*	182.44*
(10.2)	0.12293*	0.03173**	−0.14549***	0.17929**		−0.08645	−0.07301*	0.01555	−0.03113²**	0.0774	10.39*	7.929*	46.554*	207.28*
(10.3)	0.12668*	0.03409**	−0.15325**	0.18273*		−0.06754	−0.062163*	0.00945	−0.04118³*	0.0804	11.04*	2.305*	45.098*	104.19*
(11)	0.17215**	0.09632***			0.01248**	−0.11491				0.0717	2.31***	2.130*	14.121*	17.19*
(12)	0.20093**	0.09719**			0.01233**	−0.12204	−0.33109*			0.0716	7.09*	1.138*	14.814*	16.20*
(13)	0.19992**	0.09788**			0.01242**	−0.12015	−0.11208*	0.00342		0.0957	5.67*	2.937*	64.439*	43.61*
(14.1)	0.19928**	0.09805**			0.01244**	−0.19942	−0.32909*	0.00345	−0.0018¹	0.0964	5.54*	4.005*	64.154*	37.23*
(14.2)	0.63497*	0.01416**			0.01529**	−0.05131	−0.11309*	−0.01780	−0.05667²*	0.0980	9.14*	2.028*	54.598*	56.26*
(14.3)	0.85466*	0.01534**			0.01610**	−0.03159	−0.12309*	−0.01781	−0.06398³*	0.0630	12.13*	1.235*	43.512*	46.36*

	Constant	BM	FBM	FROE	FRM	Beta	Size	Momentum	Liquidity	Adjust. R²	F-Test	Wald	LM	Hausman
(7)	0.02960*	0.08493*	−0.00435	0.13289***		−0.12699*				0.0710	1.52*	7.330*	14.931*	18.40*
(8)	0.14009**	0.06029 *	−0.01210*	0.16633**		−0.14314***	−0.10259*			0.0682	12.19*	6.229*	44.771*	99.56*
(9)	0.14088*	0.04047**	−0.01330***	0.17683**		−0.12031	−0.10536*	0.04009		0.0701	10.58*	3.329*	47.399*	185.17*
(10.1)	0.14097*	0.04051**	−0.01331***	0.17682**		−0.12600	−0.10543*	0.04012	−0.00052¹	0.0725	12.17*	3.005*	47.016*	182.44*
(10.2)	0.12293*	0.03173**	−0.14549***	0.17929**		−0.08645	−0.07301*	0.01555	−0.03113²**	0.0774	10.39*	7.929*	46.554*	207.28*
(10.3)	0.12668*	0.03409**	−0.15325**	0.18273*		−0.06754	−0.062163*	0.00945	−0.04118³*	0.0804	11.04*	2.305*	45.098*	104.19*
(11)	0.17215**	0.09632***			0.01248**	−0.11491				0.0717	2.31***	2.130*	14.121*	17.19*
(12)	0.20093**	0.09719**			0.01233**	−0.12204	−0.33109*			0.0716	7.09*	1.138*	14.814*	16.20*
(13)	0.19992**	0.09788**			0.01242**	−0.12015	−0.11208*	0.00342		0.0957	5.67*	2.937*	64.439*	43.61*
(14.1)	0.19928**	0.09805**			0.01244**	−0.19942	−0.32909*	0.00345	−0.0018¹	0.0964	5.54*	4.005*	64.154*	37.23*
(14.2)	0.63497*	0.01416**			0.01529**	−0.05131	−0.11309*	−0.01780	−0.05667²*	0.0980	9.14*	2.028*	54.598*	56.26*
(14.3)	0.85466*	0.01534**			0.01610**	−0.03159	−0.12309*	−0.01781	−0.06398³*	0.0630	12.13*	1.235*	43.512*	46.36*

Notes:

Part 1 of the Table shows the regression results of the joint models estimated annually. 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 the Huber–White robust matrix, considering the results of the tests of regression assumptions, which are in Part 2 of the Table. 1 = Negotiability, 2 = Trading quantity, 3 = Traded volume;

significant at 1%;

significant at 5% and

***

significant at 10%

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