Table 4 Estimates of the OLS regression... | Emerald Publishing

Table 4

Estimates of the OLS regression models with heteroscedasticity correction

Variable	R_Large-Value				R_Large-Growth				R_Small-Value				R_Small-Growth
	(1)		(2)		(1)		(2)		(1)		(2)		(1)		(2)
	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev
Cons	−0.015 (0.53)	0.023	−0.007 (0.74)	0.020	0.016 (0.58)	0.029	0.013 (0.65)	0.455	0.005 (0.86)	0.028	0.017 (0.46)	0.022	0.009 (0.82)	0.040	0.008 (0.79)	0.032
EPU	−0.037*** (0.00)	0.011	−0.133*** (0.01)	0.049	−0.041*** (0.00)	0.014	−0.175*** (0.01)	--2.609	−0.052*** (0.00)	0.013	−0.143*** (0.01)	0.052	−0.058*** (0.00)	0.019	−0.227*** (0.00)	0.037
EPU $∙$ Cycle			0.052* (0.05)	0.026			0.069* (0.06)	1.915			0.047 (0.11)	0.029			0.087*** (0.00)	0.024
Cycle	0.020** (0.04)	0.010	0.017** (0.04)	0.008	0.007 (0.59)	0.012	0.007 (0.56)	0.584	0.008 (0.48)	0.012	0.004 (0.63)	0.009	0.005 (0.77)	0.017	0.004 (0.76)	0.013
Default spread	−1.425* (0.098)	0.858	−1.261 (0.15)	0.866	−1.734* (0.08)	0.974	−1.581 (0.11)	−1.593	−0.928 (0.39)	1.083	−1.276 (0.24)	1.076	−0.702 (0.60)	1.352	−0.375 (0.76)	1.248
Inflation	−0.505 (0.39)	0.587	−0.955* (0.10)	0.573	−0.201 (0.76)	0.670	−0.489 (0.48)	0.711	−0.623 (0.40)	0.732	−0.911 (0.20)	0.713	−0.423 (0.65)	0.933	−0.678 (0.47)	0.931
IPI	−0.800*** (0.00)	0.278	−0.922*** (0.00)	0.240	−0.325 (0.36)	0.357	−0.290 (0.39)	−0.855	−0.950*** (0.00)	0.310	−0.983*** (0.00)	0.321	−0.574 (0.16)	0.403	−0.512 (0.11)	0.321
Term spread	0.071 (0.70)	0.183	0.061 (0.74)	0.181	−0.067 (0.77)	0.225	−0.048 (0.83)	−0.216	0.112 (0.62)	0.224	0.106 (0.68)	0.253	0.035 (0.92)	0.333	0.081 (0.79)	0.303
GDP	2.509*** (0.01)	0.925	2.306*** (0.00)	0.631	2.228*** (0.01)	0.792	2.307* (0.07)	1.835	3.278*** (0.00)	1.120	3.769*** (0.00)	1.046	2.906*** (0.00)	1.013	2.407*** (0.00)	0.338
No Obs	317		317		317		317		317		317		317		317
R²	0.108		0.196		0.099		0.116		0.096		0.155		0.078		0.884
Durbin–Watson	1.973		1.982		1.958		1.993		1.895		1.912		1.937		1.952

Variable	R_Large-Value				R_Large-Growth				R_Small-Value				R_Small-Growth
	(1)		(2)		(1)		(2)		(1)		(2)		(1)		(2)
	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev	Coef. (p-value)	Std. Dev
Cons	−0.015 (0.53)	0.023	−0.007 (0.74)	0.020	0.016 (0.58)	0.029	0.013 (0.65)	0.455	0.005 (0.86)	0.028	0.017 (0.46)	0.022	0.009 (0.82)	0.040	0.008 (0.79)	0.032
EPU	−0.037*** (0.00)	0.011	−0.133*** (0.01)	0.049	−0.041*** (0.00)	0.014	−0.175*** (0.01)	--2.609	−0.052*** (0.00)	0.013	−0.143*** (0.01)	0.052	−0.058*** (0.00)	0.019	−0.227*** (0.00)	0.037
EPU $∙$ Cycle			0.052* (0.05)	0.026			0.069* (0.06)	1.915			0.047 (0.11)	0.029			0.087*** (0.00)	0.024
Cycle	0.020** (0.04)	0.010	0.017** (0.04)	0.008	0.007 (0.59)	0.012	0.007 (0.56)	0.584	0.008 (0.48)	0.012	0.004 (0.63)	0.009	0.005 (0.77)	0.017	0.004 (0.76)	0.013
Default spread	−1.425* (0.098)	0.858	−1.261 (0.15)	0.866	−1.734* (0.08)	0.974	−1.581 (0.11)	−1.593	−0.928 (0.39)	1.083	−1.276 (0.24)	1.076	−0.702 (0.60)	1.352	−0.375 (0.76)	1.248
Inflation	−0.505 (0.39)	0.587	−0.955* (0.10)	0.573	−0.201 (0.76)	0.670	−0.489 (0.48)	0.711	−0.623 (0.40)	0.732	−0.911 (0.20)	0.713	−0.423 (0.65)	0.933	−0.678 (0.47)	0.931
IPI	−0.800*** (0.00)	0.278	−0.922*** (0.00)	0.240	−0.325 (0.36)	0.357	−0.290 (0.39)	−0.855	−0.950*** (0.00)	0.310	−0.983*** (0.00)	0.321	−0.574 (0.16)	0.403	−0.512 (0.11)	0.321
Term spread	0.071 (0.70)	0.183	0.061 (0.74)	0.181	−0.067 (0.77)	0.225	−0.048 (0.83)	−0.216	0.112 (0.62)	0.224	0.106 (0.68)	0.253	0.035 (0.92)	0.333	0.081 (0.79)	0.303
GDP	2.509*** (0.01)	0.925	2.306*** (0.00)	0.631	2.228*** (0.01)	0.792	2.307* (0.07)	1.835	3.278*** (0.00)	1.120	3.769*** (0.00)	1.046	2.906*** (0.00)	1.013	2.407*** (0.00)	0.338
No Obs	317		317		317		317		317		317		317		317
R²	0.108		0.196		0.099		0.116		0.096		0.155		0.078		0.884
Durbin–Watson	1.973		1.982		1.958		1.993		1.895		1.912		1.937		1.952

Note(s): ***, ** and * indicate the significance at 1%, 5% and 10% levels, respectively

Source(s): Own elaboration