Two-stage models
| Dependent variable | Avg3_GAAP_ETR | Avg3_cash_ETR | ||||
|---|---|---|---|---|---|---|
| Const | −0.089 (0.164) | −0.343 (0.270) | −0.135 (0.193) | 0.114 (0.256) | 0.227 (0.264) | 0.157 (0.292) |
| Pred_NegM_peak_FY | 0.069*** (0.027) | 0.080* (0.045) | ||||
| Pred_NegM_peak_Q4 | 0.034 (0.039) | 0.085** (0.038) | ||||
| Pred_NegM_peak_Q4Q1 | 0.055** (0.028) | 0.086* (0.046) | ||||
| Size | −0.008 (0.007) | 0.003 (0.012) | −0.005 (0.008) | −0.009 (0.011) | −0.015 (0.012) | −0.012 (0.013) |
| Leverage | 0.051** (0.023) | 0.055* (0.031) | 0.053** (0.026) | −0.026 (0.033) | −0.028 (0.033) | −0.027 (0.035) |
| Profitability | −0.023 (0.042) | 0.022 (0.043) | −0.002 (0.042) | −0.036 (0.050) | −0.045 (0.051) | −0.038 (0.052) |
| PPE | −0.059*** (0.013) | −0.063*** (0.018) | −0.061*** (0.014) | −0.078*** (0.019) | −0.079*** (0.019) | −0.073*** (0.021) |
| Intangibles | 0.026** (0.013) | 0.011 (0.016) | 0.023* (0.014) | 0.074*** (0.019) | 0.082*** (0.018) | 0.079*** (0.019) |
| RD | −0.393*** (0.093) | −0.215* (0.130) | −0.334*** (0.102) | −0.085 (0.138) | −0.093 (0.133) | −0.039 (0.145) |
| Cash | 0.079** (0.034) | 0.015 (0.036) | 0.044 (0.036) | −0.005 (0.042) | −0.014 (0.043) | −0.021 (0.045) |
| MTBV | −0.001 (0.001) | 0.001 (0.001) | −0.001 (0.001) | −0.001 (0.001) | −0.001 (0.001) | −0.001 (0.001) |
| GDP | 0.039** (0.015) | 0.055** (0.023) | 0.043** (0.017) | 0.027 (0.022) | 0.026 (0.022) | 0.030 (0.025) |
| Jud_ind | −0.017*** (0.006) | −0.026*** (0.007) | −0.020*** (0.007) | −0.017** (0.008) | −0.019** (0.009) | −0.021** (0.009) |
| Shar_gov | 0.001 (0.006) | −0.002 (0.005) | −0.002 (0.006) | −0.009 (0.006) | −0.008 (0.006) | −0.009 (0.006) |
| BTC | −0.009 (0.007) | −0.016 (0.012) | −0.010 (0.009) | −0.011 (0.012) | −0.009 (0.006) | −0.013 (0.013) |
| CTSR | 0.264*** (0.067) | 0.295*** (0.106) | 0.259*** (0.076) | 0.266** (0.104) | 0.237** (0.104) | 0.240** (0.116) |
| Industry FE | Yes | Yes | Yes | Yes | Yes | Yes |
| Country FE | Yes | Yes | Yes | Yes | Yes | Yes |
| Year FE | Yes | Yes | Yes | Yes | Yes | Yes |
| N | 2,309 | 2,309 | 2,309 | 2,142 | 2,142 | 2,142 |
| R2 (overall) | 0.07 | 0.09 | 0.08 | 0.10 | 0.10 | 0.09 |
| Wald Chi2 | 210.82*** | 125.22*** | 171.10*** | 144.21*** | 147.66*** | 126.84*** |
| Avg3_GAAP_ETR | Avg3_cash_ETR | |||||
|---|---|---|---|---|---|---|
| Const | −0.089 ( | −0.343 ( | −0.135 ( | 0.114 ( | 0.227 ( | 0.157 ( |
| Size | −0.008 ( | 0.003 ( | −0.005 ( | −0.009 ( | −0.015 ( | −0.012 ( |
| Leverage | 0.051** ( | 0.055* ( | 0.053** ( | −0.026 ( | −0.028 ( | −0.027 ( |
| Profitability | −0.023 ( | 0.022 ( | −0.002 ( | −0.036 ( | −0.045 ( | −0.038 ( |
| PPE | −0.059*** ( | −0.063*** ( | −0.061*** ( | −0.078*** ( | −0.079*** ( | −0.073*** ( |
| Intangibles | 0.026** ( | 0.011 ( | 0.023* ( | 0.074*** ( | 0.082*** ( | 0.079*** ( |
| RD | −0.393*** ( | −0.215* ( | −0.334*** ( | −0.085 ( | −0.093 ( | −0.039 ( |
| Cash | 0.079** ( | 0.015 ( | 0.044 ( | −0.005 ( | −0.014 ( | −0.021 ( |
| MTBV | −0.001 ( | 0.001 ( | −0.001 ( | −0.001 ( | −0.001 ( | −0.001 ( |
| GDP | 0.039** ( | 0.055** ( | 0.043** ( | 0.027 ( | 0.026 ( | 0.030 ( |
| Jud_ind | −0.017*** ( | −0.026*** ( | −0.020*** ( | −0.017** ( | −0.019** ( | −0.021** ( |
| Shar_gov | 0.001 ( | −0.002 ( | −0.002 ( | −0.009 ( | −0.008 ( | −0.009 ( |
| BTC | −0.009 ( | −0.016 ( | −0.010 ( | −0.011 ( | −0.009 ( | −0.013 ( |
| CTSR | 0.264*** ( | 0.295*** ( | 0.259*** ( | 0.266** ( | 0.237** ( | 0.240** ( |
| Industry FE | Yes | Yes | Yes | Yes | Yes | Yes |
| Country FE | Yes | Yes | Yes | Yes | Yes | Yes |
| Year FE | Yes | Yes | Yes | Yes | Yes | Yes |
| 2,309 | 2,309 | 2,309 | 2,142 | 2,142 | 2,142 | |
| 0.07 | 0.09 | 0.08 | 0.10 | 0.10 | 0.09 | |
| Wald Chi2 | 210.82*** | 125.22*** | 171.10*** | 144.21*** | 147.66*** | 126.84*** |
Notes:
Standard errors in parentheses. Size, Leverage, Profitability, PPE, Intangibles, RD, Cash and MTBV are winsorized at the 1st and 99th percentiles; ***, ** and * indicate significance levels at 1, 5 and 10%, respectively; Coefficients in bold refer to hypothesis testing. Reported results refer to the second stage
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