Independent variables | SPC | |||
---|---|---|---|---|
col (1) | col (2) | col (3) | ||
Variables | Predicted sign | \(COUNT\) | \(NSKEW\) | \(DUVOL\) |
\({COUNT}_{it}-i\) | + | 0.346*** (0.741) | ||
\({NSKEW}_{it}-i\) | + | 0.925*** (0.920) | ||
\({DUVOL}_{it}-i\) | + | 0.090*** (0.095) | ||
\({Size}_{it}\) | + | 0.698*** (3.287) | 0.532** (0.516) | 0.142** (0.377) |
\({LEV}_{it}\) | − | − 0.209* (0.667) | − 0.682** (0.892) | − 0.298* (0.221) |
\({MktTB}_{it}\) | + | 0.246** (0.885) | 0.989*** (0.988) | 0.539*** (0.317) |
\({Spread}_{it}\) | + | − 0.954 (0.480) | 0.869 (0.378) | 0.449 (0.216) |
\({ROA}_{it}\) | − | 0.046** (0.833) | 0.406*** (0.466) | 0.009** (0.014) |
\({\mathrm{PVolatility}}_{it}\) | + | − 0.965** (0.149) | 0.317* (0.567) | 0.183** (0.182) |
\({Returns}_{it}\) | + | − 0.670 (0.303) | 0.401** (0.737) | 0.260** (0.233) |
\({AbDAcc}_{it}\) | + | 0.116** (0.368) | 0.448* (0.350) | 0.098** (0.112) |
\({SIGMA}_{it}\) | 0.931 (0.129) | 0.376* (0.024) | 0.064** (0.543) | |
F Value | 14.58*** | 16.24*** | 14.18*** | |
Adjusted \({R}^{2}\) | 0.1056 | 0.1205 | 0.1027 | |
RMSE | 0.1098 | 0.1453 | 0.1232 |