Dependent Variable: RETURN

Method: Panel Least Squares

Date: 03/22/17 Time: 11:43
Sample: 2011 2015
Periods included: 5
Cross-sections included: 8
Total panel (balanced) observations: 40

Prob. t-Statistic Std. Error Coefficient Variable

0.8360 0.208991 0.000828 0.000173 CR

0.0397 2.157995 0.094314 0.203528 DER
0.2667 1.133238 0.358170 0.405891 TATO
0.0114 2.707786 0.004046 0.010956 ROE
0.0099 -2.769531 0.267857 -0.741840 C

Effects Specification

Cross-section fixed (dummy variables)

-0.114500 Mean dependent var 0.489472 R-squared

0.284018 S.D. dependent var 0.288907 Adjusted R-squared
0.222817 Akaike info criterion 0.239502 S.E. of regression
0.729481 Schwarz criterion 1.606116 Sum squared resid
0.406010 Hannan-Quinn criter. 7.543666 Log likelihood
2.210921 Durbin-Watson stat 2.440470 F-statistic
0.027836 Prob(F-statistic)

Data regresi common effect

 Dependent Variable: RETURN
Method: Panel EGLS (Cross-section random effects)
Date: 03/22/17 Time: 12:00
Sample: 2011 2015
Periods included: 5
Cross-sections included: 8
Total panel (balanced) observations: 40
Swamy and Arora estimator of component variances

Prob. t-Statistic Std. Error Coefficient Variable

0.4289 0.800347 0.000476 0.000381 CR

0.0240 2.359870 0.054063 0.127581 DER
0.4156 0.823793 0.090819 0.074816 TATO
0.0017 3.396535 0.003349 0.011377 ROE
0.0003 -3.985963 0.118064 -0.470597 C

Effects Specification
Rho S.D.

0.0000 0.000000 Cross-section random

1.0000 0.239502 Idiosyncratic random

Weighted Statistics

-0.114500 Mean dependent var 0.406102 R-squared

0.284018 S.D. dependent var 0.338228 Adjusted R-squared
1.868396 Sum squared resid 0.231047 S.E. of regression
2.111589 Durbin-Watson stat 5.983180 F-statistic
0.000889 Prob(F-statistic)

Unweighted Statistics

-0.114500 Mean dependent var 0.406102 R-squared

2.111589 Durbin-Watson stat 1.868396 Sum squared resid

Random
Hetero

Dependent Variable: ABS(RESID01)

Method: Panel Least Squares
Date: 03/22/17 Time: 12:05
Sample: 2011 2015
Periods included: 5
Cross-sections included: 8
Total panel (balanced) observations: 40

Prob. t-Statistic Std. Error Coefficient Variable

0.8711 -0.163507 0.000284 -4.65E-05 CR

0.6570 0.447914 0.032304 0.014470 DER
0.9361 0.080746 0.054267 0.004382 TATO
0.6452 -0.464494 0.002001 -0.000930 ROE
0.0287 2.281321 0.070547 0.160940 C

0.167885 Mean dependent var 0.032613 R-squared

0.137839 S.D. dependent var -0.077946 Adjusted R-squared
-0.933931 Akaike info criterion 0.143110 S.E. of regression
-0.722821 Schwarz criterion 0.716821 Sum squared resid
-0.857600 Hannan-Quinn criter. 23.67862 Log likelihood
2.451525 Durbin-Watson stat 0.294980 F-statistic
0.879238 Prob(F-statistic)