Table 6 Heckman’s (1979) two-stage...

Table 6

Heckman’s (1979) two-stage analysis

Panel A: first-stage regression
	Dependent Variable = FF
	Coefficient	z-statistic	p-value
SIZE	−0.013	−1.550	0.122
FAGE	0.505	17.830	0.000^***
BM	−0.008	−1.110	0.268
ROA	0.355	2.640	0.008^***
VOLAT	6.906	3.920	0.000^***
EMPTURN	−0.067	−8.910	0.000^***
SEGMENT	−0.208	−6.050	0.000^***
BIND	−0.347	−4.670	0.000^***
HHI	0.432	3.300	0.001^***
ΔIND_VOL	−0.182	−5.110	0.000^***
Constant	0.204	0.860	0.393
Year fixed effects		Yes
Industry fixed effects		Yes
Observations		15,726
Pseudo-R²		0.081

Panel A: first-stage regression
	Dependent Variable = FF
	Coefficient	z-statistic	p-value
SIZE	−0.013	−1.550	0.122
FAGE	0.505	17.830	0.000^***
BM	−0.008	−1.110	0.268
ROA	0.355	2.640	0.008^***
VOLAT	6.906	3.920	0.000^***
EMPTURN	−0.067	−8.910	0.000^***
SEGMENT	−0.208	−6.050	0.000^***
BIND	−0.347	−4.670	0.000^***
HHI	0.432	3.300	0.001^***
ΔIND_VOL	−0.182	−5.110	0.000^***
Constant	0.204	0.860	0.393
Year fixed effects		Yes
Industry fixed effects		Yes
Observations		15,726
Pseudo-R²		0.081

Panel B: Heckman’s (1979) second-stage regression results
	Dependent Variable = CEO_TURN
	Model (1)	Model (2)
FF	−0.274^***	−0.255^***
FF	(–5.920)	(–3.831)
FF×TRANS		0.050^**
FF×TRANS		(2.002)
TRANS		−0.055^***
TRANS		(–2.695)
SIZE	0.051^***	0.031
SIZE	(2.604)	(1.096)
LEV	0.078	0.052
LEV	(0.358)	(0.190)
ROA	−3.444^***	−3.357^***
ROA	(–10.914)	(–8.893)
BM	−0.040	−0.040
BM	(–0.410)	(–0.303)
RET	0.140^***	0.143^***
RET	(3.163)	(3.359)
SGROWTH	0.057	0.058
SGROWTH	(0.814)	(0.839)
CFO	0.054	0.051
CFO	(0.655)	(0.548)
STD_CFO	1.871^***	1.843^***
STD_CFO	(4.224)	(3.287)
FAGE	−0.273^***	−0.270^**
FAGE	(–2.794)	(–2.132)
EMPTURN	1.358^***	1.355^***
EMPTURN	(8.562)	(7.946)
BLOCK	−0.001	−0.001
BLOCK	(–0.070)	(–0.094)
BSIZE	0.228^**	0.230^*
BSIZE	(2.501)	(1.812)
BIND	−0.121	−0.151
BIND	(–0.699)	(–0.670)
CEO_DUAL	−0.208^***	−0.210^***
CEO_DUAL	(–4.342)	(–3.549)
CEO_GENDER	−0.148	−0.154
CEO_GENDER	(–1.530)	(–1.319)
CEO_OWN	0.116	0.142
CEO_OWN	(0.236)	(0.288)
IMR	−1.084^***	−1.088^***
IMR	(–3.542)	(–2.801)
Constant	−0.105	0.073
Constant	(–0.180)	(0.099)
Year fixed effects	Yes	Yes
Industry fixed effects	Yes	Yes
Observations	14,311	14,311
Pseudo-R²	0.037	0.038
Test: TRANS + FF×TRANS		7.26^***

Panel B: Heckman’s (1979) second-stage regression results
	Dependent Variable = CEO_TURN
	Model (1)	Model (2)
FF	−0.274^***	−0.255^***
FF	(–5.920)	(–3.831)
FF×TRANS		0.050^**
FF×TRANS		(2.002)
TRANS		−0.055^***
TRANS		(–2.695)
SIZE	0.051^***	0.031
SIZE	(2.604)	(1.096)
LEV	0.078	0.052
LEV	(0.358)	(0.190)
ROA	−3.444^***	−3.357^***
ROA	(–10.914)	(–8.893)
BM	−0.040	−0.040
BM	(–0.410)	(–0.303)
RET	0.140^***	0.143^***
RET	(3.163)	(3.359)
SGROWTH	0.057	0.058
SGROWTH	(0.814)	(0.839)
CFO	0.054	0.051
CFO	(0.655)	(0.548)
STD_CFO	1.871^***	1.843^***
STD_CFO	(4.224)	(3.287)
FAGE	−0.273^***	−0.270^**
FAGE	(–2.794)	(–2.132)
EMPTURN	1.358^***	1.355^***
EMPTURN	(8.562)	(7.946)
BLOCK	−0.001	−0.001
BLOCK	(–0.070)	(–0.094)
BSIZE	0.228^**	0.230^*
BSIZE	(2.501)	(1.812)
BIND	−0.121	−0.151
BIND	(–0.699)	(–0.670)
CEO_DUAL	−0.208^***	−0.210^***
CEO_DUAL	(–4.342)	(–3.549)
CEO_GENDER	−0.148	−0.154
CEO_GENDER	(–1.530)	(–1.319)
CEO_OWN	0.116	0.142
CEO_OWN	(0.236)	(0.288)
IMR	−1.084^***	−1.088^***
IMR	(–3.542)	(–2.801)
Constant	−0.105	0.073
Constant	(–0.180)	(0.099)
Year fixed effects	Yes	Yes
Industry fixed effects	Yes	Yes
Observations	14,311	14,311
Pseudo-R²	0.037	0.038
Test: TRANS + FF×TRANS		7.26^***

Note(s): This table presents Heckman’s (1979) two-stage analysis. Panel A presents the first-stage probit regression results. Panel B presents Heckman’s (1979) second-stage regression results. Numbers in parentheses are t-statistics clustered by firm and year. Superscript ***, ** and * represent significance levels at the 1, 5 and 10% levels, respectively. Variables are defined in Appendix

Source(s): Authors' own work

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