Robustness checks with panel data regression
| Variables | Fixed effects | Random effects | ||
|---|---|---|---|---|
| Pre-crisis | Post-crisis | Pre-crisis | Post-crisis | |
| Intercept | −5.2584*** (−5.97) | −0.3837 (−0.52) | −1.2984*** (−5.74) | 1.6700*** (10.06) |
| EPU1t × CASi,t | −0.0075*** (−4.33) | 0.0006** (2.23) | −0.0081*** (−5.36) | 0.0004** (2.27) |
| CASi,t | −0.0085*** (−3.79) | −0.0028*** (−4.34) | −0.0055*** (−2.77) | −0.0015** (−2.23) |
| EPU1t | −0.5432*** (−2.75) | 0.0487 (0.58) | −0.2302* (−1.88) | 0.1382* (1.94) |
| ENi,t | −1.5694*** (−5.81) | −0.8716*** (−5.44) | −2.0999*** (−10.56) | −1.4244*** (−9.96) |
| dENi,t | 0.8115*** (5.25) | 0.4946*** (6.35) | 0.9522*** (6.98) | 0.6064*** (8.21) |
| dENi,t + 1 | −0.1983 (−1.36) | 0.1332 (1.39) | −0.3701*** (−2.91) | −0.0973 (−1.07) |
| dNAi,t | 0.3507*** (5.27) | 0.2750*** (5.90) | 0.6067*** (10.07) | 0.4190*** (9.60) |
| dNAi,t + 1 | 1.2894*** (20.32) | 1.1636*** (24.70) | 1.2662*** (23.64) | 1.1193*** (26.91) |
| RDi,t | 3.7630*** (3.96) | 4.6328*** (7.87) | 4.5417*** (8.43) | 5.7525*** (13.80) |
| dRDi,t | 1.8131* (1.83) | 2.0318*** (3.31) | 2.1347** (2.30) | 2.1624*** (3.63) |
| dRDi,t + 1 | 6.8916*** (6.72) | 7.3016*** (10.65) | 8.2718*** (9.89) | 8.3229*** (13.36) |
| INi,t | 11.0703*** (5.91) | 7.7414*** (6.44) | 13.9476*** (9.77) | 10.4764*** (10.54) |
| dINi,t | −9.5792*** (−5.40) | −8.2983*** (−7.75) | −11.5644*** (−7.03) | −10.2254*** (−10.18) |
| dINi,t + 1 | −0.6356*** (−4.15) | −0.4322*** (−3.89) | −0.5208*** (−5.54) | −0.2286*** (−2.83) |
| DVi,t | 3.8434*** (2.99) | 10.5640*** (12.87) | 10.4084*** (11.54) | 13.6203*** (19.48) |
| dDVi,t | 2.8420*** (3.50) | −1.3147** (−2.34) | 0.8017 (1.03) | −2.1735*** (−4.09) |
| dDVi,t + 1 | 5.6033*** (6.40) | 7.8455*** (13.30) | 9.2963*** (11.75) | 9.5595*** (16.69) |
| dMVi,t | −0.2787*** (−22.05) | −0.2541*** (−21.15) | −0.2459*** (−19.14) | −0.2323*** (−19.21) |
| ASD | 0.4270*** (3.56) | 1.4126*** (14.27) | ||
| CRE | −0.0922*** (−4.05) | −0.2053*** (−10.37) | ||
| ROL | −0.0420 (−1.46) | −0.0775*** (−3.61) | −0.0086 (−0.30) | −0.0085 (−0.39) |
| PCREt | −0.0030*** (−2.66) | 0.0036*** (4.82) | −0.0047*** (−8.60) | 0.0012*** (2.72) |
| MCAPt | 0.0017*** (5.48) | 0.0021*** (5.89) | 0.0009*** (4.27) | −0.0002* (−1.87) |
| GCAPt | 0.6478*** (7.66) | 0.2834*** (4.91) | 0.2604*** (12.66) | −0.0765*** (−5.19) |
| GGROt | 0.0875*** (10.31) | 0.0143*** (4.83) | 0.1036*** (13.98) | 0.0148*** (5.20) |
| ASD × EXCi,t | 0.1817 (1.17) | 0.0217 (0.26) | 0.0277 (0.27) | 0.0712 (1.01) |
| CRE × EXCi,t | −0.0383 (−1.54) | 0.0142 (0.86) | −0.0072 (−0.42) | 0.0136 (0.95) |
| ROL × EXCi,t | −0.0202 (−0.94) | 0.0064 (0.41) | −0.0298 (−1.42) | 0.0031 (0.21) |
| PCREt × EXCi,t | 0.0002 (0.35) | −0.0010*** (−2.90) | −0.0004 (−1.10) | −0.0010*** (−3.36) |
| MCAPt × EXCi,t | −0.0006** (−2.05) | 0.0002** (2.07) | −0.0003 (−1.25) | 0.0002** (2.48) |
| GCAPt × EXCi,t | 0.0604*** (3.25) | 0.0035 (0.38) | 0.0439*** (3.57) | −0.0088 (−1.12) |
| GGROt × EXCi,t | 0.0171*** (3.69) | −0.0023 (−1.39) | 0.0105*** (2.61) | −0.0026 (−1.62) |
| Industry fixed effects | Yes | Yes | Yes | Yes |
| Year fixed effects | Yes | Yes | Yes | Yes |
| N | 34,049 | 69,425 | 34,049 | 69,425 |
| Variables | Fixed effects | Random effects | ||
|---|---|---|---|---|
| Pre-crisis | Post-crisis | Pre-crisis | Post-crisis | |
| Intercept | −5.2584*** (−5.97) | −0.3837 (−0.52) | −1.2984*** (−5.74) | 1.6700*** (10.06) |
| EPU1 | −0.0075*** (−4.33) | 0.0006** (2.23) | −0.0081*** (−5.36) | 0.0004** (2.27) |
| CAS | −0.0085*** (−3.79) | −0.0028*** (−4.34) | −0.0055*** (−2.77) | −0.0015** (−2.23) |
| EPU1 | −0.5432*** (−2.75) | 0.0487 (0.58) | −0.2302* (−1.88) | 0.1382* (1.94) |
| EN | −1.5694*** (−5.81) | −0.8716*** (−5.44) | −2.0999*** (−10.56) | −1.4244*** (−9.96) |
| dEN | 0.8115*** (5.25) | 0.4946*** (6.35) | 0.9522*** (6.98) | 0.6064*** (8.21) |
| dEN | −0.1983 (−1.36) | 0.1332 (1.39) | −0.3701*** (−2.91) | −0.0973 (−1.07) |
| dNA | 0.3507*** (5.27) | 0.2750*** (5.90) | 0.6067*** (10.07) | 0.4190*** (9.60) |
| dNA | 1.2894*** (20.32) | 1.1636*** (24.70) | 1.2662*** (23.64) | 1.1193*** (26.91) |
| RD | 3.7630*** (3.96) | 4.6328*** (7.87) | 4.5417*** (8.43) | 5.7525*** (13.80) |
| dRD | 1.8131* (1.83) | 2.0318*** (3.31) | 2.1347** (2.30) | 2.1624*** (3.63) |
| dRD | 6.8916*** (6.72) | 7.3016*** (10.65) | 8.2718*** (9.89) | 8.3229*** (13.36) |
| IN | 11.0703*** (5.91) | 7.7414*** (6.44) | 13.9476*** (9.77) | 10.4764*** (10.54) |
| dIN | −9.5792*** (−5.40) | −8.2983*** (−7.75) | −11.5644*** (−7.03) | −10.2254*** (−10.18) |
| dIN | −0.6356*** (−4.15) | −0.4322*** (−3.89) | −0.5208*** (−5.54) | −0.2286*** (−2.83) |
| DV | 3.8434*** (2.99) | 10.5640*** (12.87) | 10.4084*** (11.54) | 13.6203*** (19.48) |
| dDV | 2.8420*** (3.50) | −1.3147** (−2.34) | 0.8017 (1.03) | −2.1735*** (−4.09) |
| dDV | 5.6033*** (6.40) | 7.8455*** (13.30) | 9.2963*** (11.75) | 9.5595*** (16.69) |
| dMV | −0.2787*** (−22.05) | −0.2541*** (−21.15) | −0.2459*** (−19.14) | −0.2323*** (−19.21) |
| ASD | 0.4270*** (3.56) | 1.4126*** (14.27) | ||
| CRE | −0.0922*** (−4.05) | −0.2053*** (−10.37) | ||
| ROL | −0.0420 (−1.46) | −0.0775*** (−3.61) | −0.0086 (−0.30) | −0.0085 (−0.39) |
| PCRE | −0.0030*** (−2.66) | 0.0036*** (4.82) | −0.0047*** (−8.60) | 0.0012*** (2.72) |
| MCAP | 0.0017*** (5.48) | 0.0021*** (5.89) | 0.0009*** (4.27) | −0.0002* (−1.87) |
| GCAP | 0.6478*** (7.66) | 0.2834*** (4.91) | 0.2604*** (12.66) | −0.0765*** (−5.19) |
| GGRO | 0.0875*** (10.31) | 0.0143*** (4.83) | 0.1036*** (13.98) | 0.0148*** (5.20) |
| ASD × EXC | 0.1817 (1.17) | 0.0217 (0.26) | 0.0277 (0.27) | 0.0712 (1.01) |
| CRE × EXC | −0.0383 (−1.54) | 0.0142 (0.86) | −0.0072 (−0.42) | 0.0136 (0.95) |
| ROL × EXC | −0.0202 (−0.94) | 0.0064 (0.41) | −0.0298 (−1.42) | 0.0031 (0.21) |
| PCRE | 0.0002 (0.35) | −0.0010*** (−2.90) | −0.0004 (−1.10) | −0.0010*** (−3.36) |
| MCAP | −0.0006** (−2.05) | 0.0002** (2.07) | −0.0003 (−1.25) | 0.0002** (2.48) |
| GCAP | 0.0604*** (3.25) | 0.0035 (0.38) | 0.0439*** (3.57) | −0.0088 (−1.12) |
| GGRO | 0.0171*** (3.69) | −0.0023 (−1.39) | 0.0105*** (2.61) | −0.0026 (−1.62) |
| Industry fixed effects | Yes | Yes | Yes | Yes |
| Year fixed effects | Yes | Yes | Yes | Yes |
| 34,049 | 69,425 | 34,049 | 69,425 | |
Note(s): The dependent variable is MVt. Xt is the value of variable X in year t. dXt is the annual change in X in year t. dXt + 1 is the annual change in X in year t + 1. MV is market value. EPU1 is economic policy uncertainty. CAS is cash holdings. EN is earnings before interest and extraordinary items. NA is net assets calculated by total assets minus total cash and short-term investment. RD is research and development expenditure. IN is interest expense. DV is cash dividend. All firm-level variables except CAS are deflated by net assets. ASD is anti-self-dealing index. CRE is revised creditor right index. ROL is rule of law. PCRE is private credit. MCAP is market capitalization. GCAP is GDP per capita. GGRO is GDP growth rate. * is significant at 10%. ** is significant at 5%. *** is significant at 1%. t-statistics are in parentheses
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