2006-2009

FIXED EFFECTS
Fixed-effects (within) regression Number of obs = 416
Group variable: FIRM Number of groups = 26

R-sq: within = 0.0007 Obs per group: min = 16

between = 0.0013 avg = 16.0
overall = 0.0007 max = 16

F(3,387) = 0.09
corr(u_i, Xb) = -0.0261 Prob > F = 0.9649

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

DY -.021793 .1120703 -0.19 0.846 -.2421359 .1985499

PAYOUTRATIO -.0002781 .0009546 -0.29 0.771 -.0021549 .0015987
ROE .0029842 .0067711 0.44 0.660 -.0103286 .0162969
_cons .0011235 .0033558 0.33 0.738 -.0054743 .0077213

sigma_u .00719171
sigma_e .02852801
rho .05975345 (fraction of variance due to u_i)

F test that all u_i=0: F(25, 387) = 1.01 Prob > F = 0.4580
RANDOM EFFECTS

Random-effects GLS regression Number of obs = 416

Group variable: FIRM Number of groups = 26

R-sq: within = 0.0004 Obs per group: min = 16

between = 0.0164 avg = 16.0
overall = 0.0013 max = 16

Wald chi2(3) = 0.49

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.9205

RETURN Coef. Std. Err. z P>|z| [95% Conf. Interval]

DY -.0505789 .0794488 -0.64 0.524 -.2062956 .1051378

PAYOUTRATIO -.0001877 .0009193 -0.20 0.838 -.0019896 .0016142
ROE .0013123 .0056584 0.23 0.817 -.009778 .0124026
_cons .002206 .0027328 0.81 0.420 -.0031501 .0075621

sigma_u .00251585
sigma_e .02852801
rho .00771724 (fraction of variance due to u_i)
POOLED OLS REGRESSION

Source SS df MS Number of obs = 416

F( 3, 412) = 0.18
Model .000435361 3 .00014512 Prob > F = 0.9111
Residual .335423354 412 .000814134 R-squared = 0.0013
Adj R-squared = -0.0060
Total .335858715 415 .000809298 Root MSE = .02853

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

DY -.0523361 .0773758 -0.68 0.499 -.2044368 .0997646

PAYOUTRATIO -.00018 .0009192 -0.20 0.845 -.001987 .001627
ROE .0011684 .0055773 0.21 0.834 -.0097952 .0121319
_cons .0022818 .0026489 0.86 0.390 -.0029252 .0074889

HAUSMAN TEST
. hausman Fixed .

Coefficients
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Fixed . Difference S.E.

DY -.021793 -.0523361 .030543 .0810724

PAYOUTRATIO -.0002781 -.00018 -.0000981 .0002573
ROE .0029842 .0011684 .0018158 .0038394

b = consistent under Ho and Ha; obtained from xtreg

B = inconsistent under Ha, efficient under Ho; obtained from regress

Test: Ho: difference in coefficients not systematic

chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 0.41
Prob>chi2 = 0.9386

2010-2014

FIXED EFFECTS
Fixed-effects (within) regression Number of obs = 520
Group variable: FIRM Number of groups = 26

R-sq: within = 0.0014 Obs per group: min = 20

between = 0.0419 avg = 20.0
overall = 0.0017 max = 20

F(3,491) = 0.22
corr(u_i, Xb) = -0.3107 Prob > F = 0.8798

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

DY -.0376979 .100944 -0.37 0.709 -.2360335 .1606376

PAYOYTRATIO .0023209 .0030302 0.77 0.444 -.0036328 .0082746
ROE .0033978 .0078934 0.43 0.667 -.0121113 .0189069
_cons .000501 .0031192 0.16 0.872 -.0056277 .0066296

sigma_u .00469997
sigma_e .01267308
rho .12090923 (fraction of variance due to u_i)

F test that all u_i=0: F(25, 491) = 2.04 Prob > F = 0.0024

RANDOM EFFECTS
Random-effects GLS regression Number of obs = 520
Group variable: FIRM Number of groups = 26

R-sq: within = 0.0000 Obs per group: min = 20

between = 0.2422 avg = 20.0
overall = 0.0219 max = 20

Wald chi2(3) = 4.67

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1974

RETURN Coef. Std. Err. z P>|z| [95% Conf. Interval]

DY -.0919074 .0650141 -1.41 0.157 -.2193327 .035518

PAYOYTRATIO .0018946 .0024776 0.76 0.444 -.0029614 .0067506
ROE -.0073387 .0042354 -1.73 0.083 -.01564 .0009625
_cons .0044644 .0020203 2.21 0.027 .0005046 .0084242

sigma_u .00303513
sigma_e .01267308
rho .05424624 (fraction of variance due to u_i)
POOLED REGRESSION

. regress RETURN DY PAYOYTRATIO ROE

Source SS df MS Number of obs = 520

F( 3, 516) = 3.86
Model .001951229 3 .00065041 Prob > F = 0.0095
Residual .087036775 516 .000168676 R-squared = 0.0219
Adj R-squared = 0.0162
Total .088988004 519 .000171461 Root MSE = .01299

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

DY -.1085878 .0517056 -2.10 0.036 -.2101672 -.0070084

PAYOYTRATIO .0019862 .0022086 0.90 0.369 -.0023528 .0063251
ROE -.00933 .0032321 -2.89 0.004 -.0156797 -.0029803
_cons .0053236 .0015545 3.42 0.001 .0022696 .0083775

HAUSMANN TEST
. hausman Fixed .

Coefficients
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Fixed . Difference S.E.

DY -.0376979 -.1085878 .0708899 .0866962

PAYOYTRATIO .0023209 .0019862 .0003347 .0020746
ROE .0033978 -.00933 .0127278 .0072014

b = consistent under Ho and Ha; obtained from xtreg

B = inconsistent under Ha, efficient under Ho; obtained from regress

Test: Ho: difference in coefficients not systematic

chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 3.73
Prob>chi2 = 0.2921