Table 5: (continued)
|
Raw Returns |
Industry-Adjusted Returns | |||
|
(1) |
(2) |
(3) |
(4) | |
|
Shrown |
0.005 |
-0.020 |
0.012 |
-0.011 |
|
( 0.006 ) |
( 0.012 ) |
( 0.008 ) |
( 0.013 ) | |
|
D(10%) |
0.647** ( 0.267 ) |
0.600** ( 0.294 ) | ||
|
G |
0.006 |
0.006 |
-0.007 |
-0.006 |
|
( 0.018 ) |
( 0.018 ) |
( 0.028 ) |
( 0.028 ) | |
|
NASDUM |
1.399 |
1.456 |
1.822 |
0.127 |
|
( 1.049 ) |
( 1.052 ) |
( 1.213 ) |
( 0.187 ) | |
|
SP500 |
0.105 |
0.109 |
0.124 |
1.892 |
|
( 0.176 ) |
( 0.175 ) |
( 0.189 ) |
( 1.221 ) | |
|
LOGBM |
0.179* |
0.183* |
0.220* |
0.222* |
|
( 0.100 ) |
( 0.100 ) |
( 0.130 ) |
( 0.130 ) | |
|
LOGSIZE |
-0.268 |
-0.273 |
-0.309 |
-0.313 |
|
( 0.205 ) |
( 0.204 ) |
( 0.203 ) |
( 0.202 ) | |
|
Price |
-0.001 |
-0.001 |
-0.004 |
-0.004 |
|
( 0.002 ) |
( 0.002 ) |
( 0.005 ) |
( 0.005 ) | |
|
NYDVOL |
0.228 |
0.229 |
0.359* |
0.360* |
|
( 0.159 ) |
( 0.159 ) |
( 0.195 ) |
( 0.195 ) | |
|
NADVOL |
0.145 |
0.142 |
0.246 |
0.242 |
|
( 0.188 ) |
( 0.188 ) |
( 0.223 ) |
( 0.223 ) | |
|
Yield |
-48.653 |
-50.046 |
-45.150 |
-45.877 |
|
( 41.526 ) |
( 41.540 ) |
( 44.061 ) |
( 43.951 ) | |
|
Ret2-3 |
-0.481 |
-0.507 |
-0.559 |
-0.586 |
|
( 0.858 ) |
( 0.861 ) |
( 0.900 ) |
( 0.903 ) | |
|
Ret4-6 |
0.038 |
0.040 |
-0.207 |
-0.195 |
|
( 0.685 ) |
( 0.687 ) |
( 0.733 ) |
( 0.735 ) | |
|
Ret7-12 |
0.361 |
0.384 |
0.042 |
0.071 |
|
( 0.448 ) |
( 0.448 ) |
( 0.498 ) |
( 0.498 ) | |
|
SGROWTH |
0.018 |
0.019 |
0.034 |
0.035 |
|
( 0.022 ) |
( 0.022 ) |
( 0.043 ) |
( 0.043 ) | |
|
Constant |
2.833* |
2.922* |
1.076 |
1.146 |
|
( 1.621 ) |
( 1.612 )________ |
( 1.639 ) |
( 1.629 ) | |
42