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Kết quả hồi quy cột (5) Bảng 3.5

xtreg ret_annual relative_spread beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, fe cluster(firmid)

note: year_dummy10 omitted because of collinearity note: sic1 omitted because of collinearity

note: sic2 omitted because of collinearity note: sic3 omitted because of collinearity note: sic4 omitted because of collinearity note: sic5 omitted because of collinearity note: sic6 omitted because of collinearity note: sic7 omitted because of collinearity note: sic8 omitted because of collinearity note: sic9 omitted because of collinearity note: sic10 omitted because of collinearity note: sic11 omitted because of collinearity

Fixed-effects (within) regression Number of obs = 4,429 Group variable: firmid Number of groups = 596

R-sq: Obs per group:

within = 0.3494 min = 1

between = 0.1963 avg = 7.4

overall = 0.2640 max = 10

F(15,595) = 101.39

corr(u_i, Xb) = -0.4986 Prob > F = 0.0000

(Std. Err. adjusted for 596 clusters in firmid)

---------------------------------------------------------------------------------

| Robust

ret_annual | Coef. Std. Err. t P>|t| [95% Conf. Interval]

----------------+---------------------------------------------------------------- relative_spread | 2.907474 .6403908 4.54 0.000 1.649772 4.165175

beta | .0060056 .0192256 0.31 0.755 -.0317527 .043764

ln_asset_mv | .0818067 .0303585 2.69 0.007 .022184 .1414295

lev_mv | -.47985 .0841374 -5.70 0.000 -.6450925 -.3146076

profitability | 1.623984 .2076818 7.82 0.000 1.216106 2.031863

mtb | .1656526 .0357257 4.64 0.000 .0954889 .2358163

year_dummy1 | .4864192 .0587459 8.28 0.000 .3710446 .6017938

year_dummy2 | -.2050881 .0432379 -4.74 0.000 -.2900055 -.1201707

year_dummy3 | -.409273 .0383523 -10.67 0.000 -.4845954 -.3339507

year_dummy4 | .3617019 .0340193 10.63 0.000 .2948894 .4285143

year_dummy5 | .4194068 .0295629 14.19 0.000 .3613466 .4774671

year_dummy6 | .3898689 .0295715 13.18 0.000 .3317917 .4479461

year_dummy7 | .1351735 .0278464 4.85 0.000 .0804844 .1898627

year_dummy8 | .1677428 .0359773 4.66 0.000 .0970849 .2384007

year_dummy9 | .1710844 .0263452 6.49 0.000 .1193436 .2228253

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -1.186938 .2737743 -4.34 0.000 -1.724619 -.6492561

----------------+----------------------------------------------------------------

sigma_u | .35241947

sigma_e | .47155789

rho | .35837147 (fraction of variance due to u_i)

---------------------------------------------------------------------------------

Kết quả hồi quy cột (6) Bảng 3.5

xtreg ret_annual zeros_local beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, fe cluster(firmid)

note: year_dummy10 omitted because of collinearity note: sic1 omitted because of collinearity

Fixed-effects (within) regression

Number of obs =	4,426
Group variable: firmid	Number of groups =	585
R-sq: within = 0.3477	Obs per group: min =	1
between = 0.2088	avg =	7.6
overall = 0.2676	max =	10
	F(15,584) =	106.66
corr(u_i, Xb) = -0.4812	Prob > F =	0.0000

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(Std. Err. adjusted for 585 clusters in firmid)

-------------------------------------------------------------------------------

| Robust

ret_annual | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+---------------------------------------------------------------- zeros_local | 3.782192 .5841435 6.47 0.000 2.634914 4.92947

beta | .0057558 .0191234 0.30 0.764 -.0318033 .0433149

ln_asset_mv | .0611281 .0288035 2.12 0.034 .0045572 .1176991

lev_mv | -.4270917 .0809665 -5.27 0.000 -.5861128 -.2680706

profitability | 1.562579 .2126504 7.35 0.000 1.144927 1.980232

mtb | .1752663 .0364818 4.80 0.000 .1036148 .2469177

year_dummy1 | .4437195 .0566438 7.83 0.000 .3324691 .55497

year_dummy2 | -.2471029 .0405172 -6.10 0.000 -.3266801 -.1675257

year_dummy3 | -.4239371 .0373074 -11.36 0.000 -.49721 -.3506641

year_dummy4 | .3325314 .032586 10.20 0.000 .2685313 .3965315

year_dummy5 | .3972126 .028129 14.12 0.000 .3419662 .452459

year_dummy6 | .3699432 .028868 12.81 0.000 .3132455 .426641

year_dummy7 | .1118962 .0271101 4.13 0.000 .0586511 .1651414

year_dummy8 | .1469768 .035143 4.18 0.000 .0779546 .2159989

year_dummy9 | .1517683 .0258771 5.86 0.000 .1009446 .2025919

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -.9018918 .2469815 -3.65 0.000 -1.386972 -.4168117

--------------+----------------------------------------------------------------

sigma_u | .32945873

sigma_e | .47175917

rho | .32782583 (fraction of variance due to u_i)

-------------------------------------------------------------------------------

Kết quả hồi quy cột (3) Bảng 3.6

xtabond2 ret_annual l.ret_annual zeros_local beta ln_asset_mv lev_mv profitability mtb year_dummy* sic*, iv(year_dummy* sic*) gmm(ret_annual,lag(5 7) collapse) gmm(zeros_local, lag(2 4)) gmm( beta ln_asset_mv lev_mv profitability mtb,lag(5 7) collapse) cluster(firmid)

Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm. year_dummy1 dropped due to collinearity

year_dummy9 dropped due to collinearity sic4 dropped due to collinearity

sic8 dropped due to collinearity sic10 dropped due to collinearity sic11 dropped due to collinearity

Warning: Two-step estimated covariance matrix of moments is singular.

Using a generalized inverse to calculate robust weighting matrix for Hansen test. Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, one-step system GMM

------------------------------------------------------------------------------

Group variable: firmid			Number of obs				=	3940
Time variable : year			Number of groups				=	577
Number of instruments = 69			Obs per group: min				=	1
Wald chi2(22) = 1255.52			avg				=	6.83
Prob > chi2 = 0.000			max				=	9
(Std. Err. adjusted for clustering on firmid) -------------------------------------------------------------------------------
\|			Robust
ret_annual \|		Coef.	Std. Err.	z	P>\|z\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
ret_annual	\|
L1.	\|	.0145207	.0483613	0.30	0.764	-.0802656	.109307
	\|
zeros_local	\|	7.011018	2.918066	2.40	0.016	1.291713	12.73032
beta	\|	.2542631	.1054935	2.41	0.016	.0474996	.4610265
ln_asset_mv	\|	-.0667178	.0427172	-1.56	0.118	-.150442	.0170063
lev_mv	\|	-.1492851	.2514069	-0.59	0.553	-.6420334	.3434633
profitability	\|	1.436769	1.057768	1.36	0.174	-.636417	3.509956
mtb	\|	-.0469442	.1048685	-0.45	0.654	-.2524827	.1585944
year_dummy2	\|	-.5853028	.13647	-4.29	0.000	-.8527791	-.3178266
year_dummy3	\|	-.9129421	.0947108	-9.64	0.000	-1.098572	-.7273124
year_dummy4	\|	-.2119937	.0988385	-2.14	0.032	-.4057135	-.0182738
year_dummy5	\|	.0289527	.0527029	0.55	0.583	-.0743432	.1322486
year_dummy6	\|	.0114094	.0663856	0.17	0.864	-.1187041	.1415228
year_dummy7	\|	-.1582067	.0436671	-3.62	0.000	-.2437927	-.0726207
year_dummy8	\|	-.123904	.0420943	-2.94	0.003	-.2064073	-.0414008
year_dummy10	\|	-.245538	.0340134	-7.22	0.000	-.3122031	-.1788729
sic1	\|	.0315245	.0721078	0.44	0.662	-.1098042	.1728532
sic2	\|	-.0978691	.051278	-1.91	0.056	-.198372	.0026339
sic3	\|	-.0446045	.0467957	-0.95	0.341	-.1363224	.0471134
sic5	\|	.0392375	.0401922	0.98	0.329	-.0395377	.1180128
sic6	\|	-.0593689	.0354823	-1.67	0.094	-.1289129	.0101751
sic7	\|	.0562593	.0606677	0.93	0.354	-.0626472	.1751659
sic9	\|	-.0505244	.0714002	-0.71	0.479	-.1904661	.0894174
_cons	\|	.7233555	.3570323	2.03	0.043	.023585	1.423126
------------------------------------------------------------------------------- Instruments for first differences equation

Standard

D.(year_dummy1 year_dummy2 year_dummy3 year_dummy4 year_dummy5 year_dummy6 year_dummy7 year_dummy8 year_dummy9 year_dummy10 sic1 sic2 sic3 sic4 sic5 sic6 sic7 sic8 sic9 sic10 sic11)

GMM-type (missing=0, separate instruments for each period unless collapsed) L(5/7).(beta ln_asset_mv lev_mv profitability mtb) collapsed L(2/4).zeros_local

L(5/7).ret_annual collapsed Instruments for levels equation

Standard

year_dummy1 year_dummy2 year_dummy3 year_dummy4 year_dummy5 year_dummy6 year_dummy7 year_dummy8 year_dummy9 year_dummy10 sic1 sic2 sic3 sic4 sic5 sic6 sic7 sic8 sic9 sic10 sic11

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL4.(beta ln_asset_mv lev_mv profitability mtb) collapsed

DL.zeros_local DL4.ret_annual collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -7.64 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = -0.07 Pr > z = 0.941

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(46) = 44.12 Prob > chi2 = 0.551 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(46) = 47.48 Prob > chi2 = 0.412 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels

Hansen test excluding group: chi2(32) = 25.96 Prob > chi2 = 0.765 Difference (null H = exogenous): chi2(14) = 21.51 Prob > chi2 = 0.089

gmm(ret_annual, collapse lag(5 7))

Hansen test excluding group: chi2(43) = 44.43 Prob > chi2 = 0.411 Difference (null H = exogenous): chi2(3) = 3.05 Prob > chi2 = 0.384

gmm(zeros_local, lag(2 4))

Hansen test excluding group: chi2(16) = 13.90 Prob > chi2 = 0.606 Difference (null H = exogenous): chi2(30) = 33.58 Prob > chi2 = 0.298

gmm(beta ln_asset_mv lev_mv profitability mtb, collapse lag(5 7))

Hansen test excluding group: chi2(26) = 23.86 Prob > chi2 = 0.584 Difference (null H = exogenous): chi2(20) = 23.62 Prob > chi2 = 0.260

iv(year_dummy1 year_dummy2 year_dummy3 year_dummy4 year_dummy5 year_dummy6 year_dummy7 year_d

> ummy8 year_dummy9 year_dummy10 sic1 sic2 sic3 sic4 sic5 sic6 sic7 sic8 sic9 sic10 sic11) Hansen test excluding group: chi2(31) = 26.59 Prob > chi2 = 0.693

Difference (null H = exogenous): chi2(15) = 20.89 Prob > chi2 = 0.140

Kết quả hồi quy cột (4) Bảng 3.7

xtreg ret_annual ln_amihud_local_yearly beta ln_asset_mv lev_mv profitability mtb year_dummy* sic* if investor_protection == 1, fe cluster(firmid)

note: year_dummy1 omitted because of collinearity note: year_dummy2 omitted because of collinearity note: year_dummy3 omitted because of collinearity note: year_dummy4 omitted because of collinearity note: year_dummy5 omitted because of collinearity note: year_dummy6 omitted because of collinearity note: year_dummy7 omitted because of collinearity note: year_dummy8 omitted because of collinearity note: year_dummy10 omitted because of collinearity note: sic1 omitted because of collinearity

Fixed-effects (within) regression

Number of obs =	1,060
Group variable: firmid	Number of groups =	548
R-sq: within = 0.3845	Obs per group: min =	1
between = 0.0574	avg =	1.9
overall = 0.0574	max =	2
	F(7,547) =	32.56
corr(u_i, Xb) = -0.9515	Prob > F =	0.0000

(Std. Err. adjusted for 548 clusters in firmid)

----------------------------------------------------------------------------------------

| Robust

ret_annual | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------------+----------------------------------------------------------------

ln_amihud_local_yearly | .0281093 .0297263 0.95 0.345 -.0302824 .0865011

beta | -.0256987 .0323424 -0.79 0.427 -.0892293 .0378319

ln_asset_mv | .6080829 .127164 4.78 0.000 .3582934 .8578724

lev_mv | -1.459275 .2795523 -5.22 0.000 -2.008402 -.9101472

profitability | .8881524 .4771537 1.86 0.063 -.0491255 1.82543

mtb | .2482551 .080089 3.10 0.002 .0909355 .4055748

year_dummy1 | 0 (omitted)

year_dummy2 | 0 (omitted)

year_dummy3 | 0 (omitted)

year_dummy4 | 0 (omitted)

year_dummy5 | 0 (omitted)

year_dummy6 | 0 (omitted)

year_dummy7 | 0 (omitted)

year_dummy8 | 0 (omitted)

year_dummy9 | .0841799 .0303698 2.77 0.006 .0245242 .1438355

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -6.270884 1.256743 -4.99 0.000 -8.739517 -3.802251

-----------------------+----------------------------------------------------------------

sigma_u | 1.1894168

sigma_e | .37792875

rho | .90829776 (fraction of variance due to u_i)

----------------------------------------------------------------------------------------

Kết quả hồi quy cột (5) Bảng 3.7

xtreg ret_annual relative_spread beta ln_asset_mv lev_mv profitability mtb year_dummy* sic* if investor_protection == 1, fe cluster(firmid)

Fixed-effects (within) regression Number of obs = 1,076 Group variable: firmid Number of groups = 563

R-sq: Obs per group:

within = 0.3866 min = 1

between = 0.0595 avg = 1.9

overall = 0.0598 max = 2

F(7,562) = 34.54

corr(u_i, Xb) = -0.9467 Prob > F = 0.0000

(Std. Err. adjusted for 563 clusters in firmid)

---------------------------------------------------------------------------------

| Robust

ret_annual | Coef. Std. Err. t P>|t| [95% Conf. Interval]

----------------+---------------------------------------------------------------- relative_spread | 2.753289 1.876464 1.47 0.143 -.9324506 6.439029

beta | -.0259936 .0314649 -0.83 0.409 -.0877967 .0358096

ln_asset_mv | .5989198 .1213899 4.93 0.000 .3604865 .8373532

lev_mv | -1.436324 .2796857 -5.14 0.000 -1.985681 -.8869674

profitability | .9883344 .4958246 1.99 0.047 .0144386 1.96223

mtb | .2427329 .0794075 3.06 0.002 .0867612 .3987047

year_dummy1 | 0 (omitted)

year_dummy2 | 0 (omitted)

year_dummy3 | 0 (omitted)

year_dummy4 | 0 (omitted)

year_dummy5 | 0 (omitted)

year_dummy6 | 0 (omitted)

year_dummy7 | 0 (omitted)

year_dummy8 | 0 (omitted)

year_dummy9 | .094917 .0297056 3.20 0.001 .0365694 .1532646

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -6.173728 1.169546 -5.28 0.000 -8.470944 -3.876513

----------------+----------------------------------------------------------------

sigma_u | 1.1814647

sigma_e | .37696588

rho | .90760288 (fraction of variance due to u_i)

---------------------------------------------------------------------------------

Kết quả hồi quy cột (6) Bảng 3.7

xtreg ret_annual zeros_local beta ln_asset_mv lev_mv profitability mtb year_dummy* sic* if investor_protection == 1, fe cluster(firmid)

Fixed-effects (within) regression Number of obs = 1,068 Group variable: firmid Number of groups = 552

R-sq: Obs per group:

within = 0.3824 min = 1

between = 0.0629 avg = 1.9

overall = 0.0591 max = 2

F(7,551) = 32.38

corr(u_i, Xb) = -0.9478 Prob > F = 0.0000

(Std. Err. adjusted for 552 clusters in firmid)

-------------------------------------------------------------------------------

| Robust

ret_annual | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+---------------------------------------------------------------- zeros_local | 2.740294 1.776101 1.54 0.123 -.7484623 6.229051

beta | -.0243081 .0314883 -0.77 0.440 -.0861599 .0375436

ln_asset_mv | .5662364 .1215682 4.66 0.000 .3274425 .8050303

lev_mv | -1.399297 .2811258 -4.98 0.000 -1.951507 -.8470881

profitability | .8377826 .4758433 1.76 0.079 -.0969062 1.772471

mtb | .2543571 .0807252 3.15 0.002 .0957904 .4129238

year_dummy1 | 0 (omitted)

year_dummy2 | 0 (omitted)

year_dummy3 | 0 (omitted)

year_dummy4 | 0 (omitted)

year_dummy5 | 0 (omitted)

year_dummy6 | 0 (omitted)

year_dummy7 | 0 (omitted)

year_dummy8 | 0 (omitted)

year_dummy9 | .0798226 .0260811 3.06 0.002 .0285919 .1310532

year_dummy10 | 0 (omitted)

sic1 | 0 (omitted)

sic2 | 0 (omitted)

sic3 | 0 (omitted)

sic4 | 0 (omitted)

sic5 | 0 (omitted)

sic6 | 0 (omitted)

sic7 | 0 (omitted)

sic8 | 0 (omitted)

sic9 | 0 (omitted)

sic10 | 0 (omitted)

sic11 | 0 (omitted)

_cons | -5.748466 1.137857 -5.05 0.000 -7.983533 -3.513398

--------------+----------------------------------------------------------------

sigma_u | 1.1548484

sigma_e | .3773069

rho | .90355212 (fraction of variance due to u_i)

-------------------------------------------------------------------------------

Kết quả hồi quy cột (3) Bảng 4.3

reg tobinq zeros_local ln_sales lev_mv profitability cash_ratio2 year_dummy* sic* if yhat != ., cluster(firmid)

note: year_dummy1 omitted because of collinearity note: sic1 omitted because of collinearity

note: sic8 omitted because of collinearity note: sic10 omitted because of collinearity note: sic11 omitted because of collinearity

Linear regression

Number of obs	=	4,416
	F(21, 584)	=	45.14
	Prob > F	=	0.0000
	R-squared	=	0.4539
	Root MSE	=	.37508

(Std. Err. adjusted for 585 clusters in firmid)

-------------------------------------------------------------------------------

tobinq |

Coef.	Robust Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
zeros_local	\|	-2.785914	.536134	-5.20	0.000	-3.8389	-1.732929
ln_sales	\|	.031721	.0112586	2.82	0.005	.0096087	.0538333
lev_mv	\|	-.0380257	.0493344	-0.77	0.441	-.1349202	.0588687
profitability	\|	3.329816	.2468715	13.49	0.000	2.844952	3.81468
cash_ratio2	\|	.2515308	.0722375	3.48	0.001	.1096537	.3934078
year_dummy1	\|	0	(omitted)
year_dummy2	\|	-.0666542	.0206607	-3.23	0.001	-.1072325	-.026076
year_dummy3	\|	-.2984529	.0250208	-11.93	0.000	-.3475947	-.2493111
year_dummy4	\|	-.2131	.024186	-8.81	0.000	-.2606021	-.165598
year_dummy5	\|	-.087213	.0229536	-3.80	0.000	-.1322947	-.0421313
year_dummy6	\|	-.021396	.0233569	-0.92	0.360	-.0672698	.0244777
year_dummy7	\|	-.0176582	.0243994	-0.72	0.470	-.0655794	.030263
year_dummy8	\|	.0545383	.0292062	1.87	0.062	-.0028238	.1119003
year_dummy9	\|	.084419	.0290655	2.90	0.004	.0273335	.1415046
year_dummy10	\|	.0396727	.0291024	1.36	0.173	-.0174853	.0968307
sic1	\|	0	(omitted)
sic2	\|	-.2220609	.0982601	-2.26	0.024	-.4150472	-.0290747
sic3	\|	-.2580206	.0879372	-2.93	0.003	-.4307324	-.0853089
sic4	\|	-.1197965	.0866239	-1.38	0.167	-.2899289	.0503359
sic5	\|	-.161185	.0923707	-1.74	0.082	-.3426043	.0202343
sic6	\|	-.2168106	.0903754	-2.40	0.017	-.3943109	-.0393102
sic7	\|	-.1833081	.1041065	-1.76	0.079	-.3877769	.0211607
sic8	\|	0	(omitted)
sic9	\|	-.1207327	.1239368	-0.97	0.330	-.3641488	.1226834
sic10	\|	0	(omitted)
sic11	\|	0	(omitted)
_cons	\|	.3357979	.1411373	2.38	0.018	.0585994	.6129964
-------------------------------------------------------------------------------