Table 9 Leverage regressions according to crisis period classification

Constant

3.095***

(− 4.84)

1.816***

(− 3.69)

− 2.677***

(− 4.80)

− 2.628***

(− 4.66)

− 2.692***

(− 5.27)

− 2.642***

(− 5.17)

TAN

0.285*

(1.71)

0.199

(1.50)

0.531***

(3.08)

0.546***

(3.12)

0.768***

(5.84)

0.828***

(6.41)

MTB

− 0.064*

(− 1.73)

− 0.045*

(− 1.64)

− 0.045

(− 1.37)

− 0.047

(− 1.41)

− 0.029

(− 1.56)

− 0.027

(− 1.49)

LS

0.369***

(5.26)

0.219***

(4.02)

0.298***

(4.95)

0.291***

(4.77)

0.278***

(5.12)

0.269***

(4.95)

PRF

− 1.265***

(− 2.85)

− 0.695**

(− 1.98)

− 0.283

(− 1.02)

− 0.257

(− 0.91)

− 0.257*

(− 1.71)

− 0.284*

(− 1.95)

CDEF

1.141***

(7.67)

0.045

(0.61)

0.583***

(5.07)

R²

0.303

0.565

0.371

0.372

0.322

0.312

N

132

132

132

132

462

462

F test (u_i = 0)

6.87***

4.71***

22.97***

22.60***

19.42***

20.74***

Chow test

22.83***

19.24***

17.07***

14.87***

21.98***

25.02***

B–P LM test

26.96***

13.86***

56.29***

56.19***

718.90***

745.19***

Hausman test

4.78

3.43

1.12

0.49

2.48

2.83

Wald χ²

49.72***

131.56***

50.89***

51.05***

86.45***

115.06***