DESKRIPTIF

ZSCORE? LIQ? LEV? SIZE? GROWTH? ROA? ROE? TOBINSQ?

 Mean  5.185184  3.327937  1.076794  27.92627  0.093692  0.041311  0.066772  1.732238
 Median  2.886245  1.730545  0.709725  27.59201  0.052967  0.036101  0.070832  1.058458
 Maximum  229.7855  208.4446  23.91730  33.97659  5.098256  0.716023  2.350227  30.69093
 Minimum -5.682771  0.033705 -5.285088  22.57565 -0.559302 -1.049839 -1.439453  0.172191
 Std. Dev.  14.87042  11.52826  1.706115  2.198750  0.312139  0.096768  0.206719  2.624159
 Skewness  12.11959  14.34016  6.347923  0.429080  9.604956 -2.726422  0.815758  7.753469
 Kurtosis  169.1413  232.1537  75.42770  2.844310  143.5017  43.80478  48.52255  77.00095

 Jarque-Bera  557936.3  1055569.  107012.7  15.05507  398005.6  33542.19  41067.01  113141.2

 Probability  0.000000  0.000000  0.000000  0.000538  0.000000  0.000000  0.000000  0.000000

 Sum  2462.963  1580.770  511.4770  13264.98  44.50393  19.62255  31.71668  822.8132

 Sum Sq. Dev.  104815.3  62994.98  1379.732  2291.553  46.18230  4.438574  20.25538  3264.064

 Observations 475 475 475 475 475 475 475 475

 Cross sections 95 95 95 95 95 95 95 95
MODEL 1 (ROA)

COMMON EFFECT MODEL

Dependent Variable: ROA?

Method: Pooled Least Squares
Date: 07/28/21 Time: 00:37
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.409680 0.054147 -7.566126 0.0000

ZSCORE? 0.000148 0.000284 0.520122 0.6032
LIQ? 0.000499 0.000358 1.393487 0.1641
LEV? -0.003740 0.002433 -1.537296 0.1249
SIZE? 0.016107 0.001931 8.342065 0.0000
GROWTH? 0.029620 0.013154 2.251768 0.0248

R-squared 0.165042    Mean dependent var 0.041311

Adjusted R-squared 0.156141    S.D. dependent var 0.096768
S.E. of regression 0.088893    Akaike info criterion -1.990215
Sum squared resid 3.706022    Schwarz criterion -1.937626
Log likelihood 478.6762    Hannan-Quinn criter. -1.969535
F-statistic 18.54100    Durbin-Watson stat 1.170800
Prob(F-statistic) 0.000000
FIXED EFFECT MODEL

Dependent Variable: ROA?

Method: Pooled EGLS (Cross-section weights)
Date: 07/28/21 Time: 00:39
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475
Linear estimation after one-step weighting matrix
White cross-section standard errors & covariance (no d.f. correction)
WARNING: estimated coefficient covariance matrix is of reduced rank

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.709077 0.080460 -8.812757 0.0000

ZSCORE? 0.001666 0.000875 1.905032 0.0575
LIQ? 5.39E-05 8.27E-05 0.651815 0.5149
LEV? -0.001283 0.002082 -0.616136 0.5382
SIZE? 0.026549 0.002802 9.474122 0.0000
GROWTH? 0.016524 0.004327 3.818972 0.0002
Fixed Effects (Cross)
_INTP--C -0.078549
_SMBR--C -0.084222
_SMCB--C -0.086562
_SMGR--C -0.090753
_WTON--C -0.021228
_AMFG--C -0.051975
_ARNA--C 0.035817
_IKAI--C -0.174372
_MLIA--C -0.004203
_TOTO--C -0.000504
_ALKA--C 0.035562
_BAJA--C 0.014976
_BTON--C 0.054171
_GDST--C -0.018135
_INAI--C 0.042586
_ISSP--C -0.012396
_JKSW--C 0.043558
_LION--C 0.023802
_LMSH--C 0.041788
_AGII--C 0.000980
_DPNS--C 0.046271
_EKAD--C 0.071839
_INCI--C 0.079566
_SRSN--C 0.040057
_AKPI--C 0.019052
_APLI--C 0.025790
_BRNA--C -0.080410
_IGAR--C 0.103105
_IMPC--C -0.033156
_TALF--C 0.015045
_YPAS--C -0.017684
_CPIN--C -0.036494
_JPFA--C -0.037117
_MAIN--C -0.013033
 _SIPD--C -0.052697
_TIRT--C -0.165274
_ALDO--C 0.072680
_FASW--C -0.020752
_KDSI--C 0.055917
_SPMA--C 0.037935
_INCF--C 0.015567
_ASII--C -0.109112
_AUTO--C -0.049612
_BOLT--C -0.005346
_GJTL--C -0.038030
_IMAS--C -0.063831
_INDS--C 0.001075
_LPIN--C 0.222050
_PRAS--C 0.027142
_SMSM--C 0.113209
_RICY--C 0.038919
_SSTM--C -0.031592
_TRIS--C 0.016437
_BATA--C -0.028163
_BIMA--C 0.104438
_JECC--C 0.025656
_KBLI--C 0.047095
_KBLM--C 0.030527
_SCCO--C 0.030682
_VOKS--C 0.037594
_ADES--C 0.067010
_ALTO--C -0.042424
_BTEK--C -0.068829
_BUDI--C 0.014205
_CEKA--C 0.090617
_DLTA--C 0.105169
_ICBP--C -0.051652
_IIKP--C -0.275292
_INDF--C -0.084100
_MYOR--C -0.034290
_PSDN--C -0.024050
_ROTI--C -0.041267
_SKBM--C -0.011511
_SKLT--C 0.017920
_STTP--C 0.037597
_TBLA--C -0.023895
_ULTJ--C 0.033145
_GGRM--C -0.047653
_HMSP--C 0.042544
_WIIM--C 0.038810
_DVLA--C 0.047719
_INAF--C -0.104223
_KAEF--C -0.069225
_KLBF--C -0.030146
_MERK--C 0.026891
_PYFA--C 0.073731
_SIDO--C 0.095777
_TSPC--C -0.006599
_KINO--C -0.013289
_MBTO--C -0.031586
_MRAT--C 0.034241
 _TCID--C -0.008844
_CINT--C 0.034510
_KICI--C 0.054662
_LMPI--C -0.011357

Effects Specification

Cross-section fixed (dummy variables)

Weighted Statistics

R-squared 0.907266    Mean dependent var 0.157440

Adjusted R-squared 0.882784    S.D. dependent var 0.223587
S.E. of regression 0.066791    Sum squared resid 1.672883
F-statistic 37.05885    Durbin-Watson stat 2.025582
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.509722    Mean dependent var 0.041311

Sum squared resid 2.176137    Durbin-Watson stat 2.051370
RANDOM EFFECT MODEL

Dependent Variable: ROA?

Method: Pooled EGLS (Cross-section random effects)
Date: 07/28/21 Time: 00:39
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.475749 0.073188 -6.500380 0.0000

ZSCORE? 0.000217 0.000310 0.699853 0.4844
LIQ? 0.000519 0.000328 1.582176 0.1143
LEV? 0.003237 0.002491 1.299419 0.1944
SIZE? 0.018175 0.002615 6.951443 0.0000
GROWTH? 0.033604 0.011396 2.948864 0.0033
Random Effects (Cross)
_INTP--C -0.022089
_SMBR--C -0.039924
_SMCB--C -0.051540
_SMGR--C -0.040315
_WTON--C -0.012435
_AMFG--C -0.037294
_ARNA--C 0.032530
_IKAI--C -0.133454
_MLIA--C -0.009856
_TOTO--C 0.006112
_ALKA--C 0.003091
_BAJA--C -0.018416
_BTON--C 0.025967
_GDST--C -0.015811
_INAI--C 0.008700
_ISSP--C -0.011669
_JKSW--C 0.003650
_LION--C 0.008326
_LMSH--C 0.010724
_AGII--C -0.007024
_DPNS--C 0.003443
_EKAD--C 0.043924
_INCI--C 0.036478
_SRSN--C 0.018212
_AKPI--C 0.003155
_APLI--C 0.004247
_BRNA--C -0.057937
_IGAR--C 0.064093
_IMPC--C -0.014301
_TALF--C 0.001537
_YPAS--C -0.019793
_CPIN--C 0.005580
_JPFA--C -0.011244
_MAIN--C -0.007813
_SIPD--C -0.039034
_TIRT--C -0.152100
_ALDO--C 0.037571
_FASW--C -0.003476
_KDSI--C 0.026904
_SPMA--C 0.019334
_INCF--C -0.005764
_ASII--C -0.043417
_AUTO--C -0.022356
_BOLT--C 0.001589
_GJTL--C -0.026480
_IMAS--C -0.046912
_INDS--C 0.001174
_LPIN--C 0.123109
_PRAS--C 5.92E-05
_SMSM--C 0.092092
_RICY--C 0.003680
_SSTM--C -0.029107
_TRIS--C 0.002447
_BATA--C -0.019046
_BIMA--C 0.046807
_JECC--C 0.010162
_KBLI--C 0.031798
_KBLM--C 0.010269
_SCCO--C 0.021753
_VOKS--C 0.017139
_ADES--C 0.039819
_ALTO--C -0.035700
_BTEK--C -0.049149
_BUDI--C 0.000451
_CEKA--C 0.061823
_DLTA--C 0.088449
_ICBP--C -0.009586
_IIKP--C -0.076913
_INDF--C -0.036787
_MYOR--C -0.000956
_PSDN--C -0.032190
_ROTI--C -0.016484
_SKBM--C -0.014108
_SKLT--C 0.007762
_STTP--C 0.036899
_TBLA--C -0.016039
_ULTJ--C 0.040104
_GGRM--C -0.003108
_HMSP--C 0.081897
_WIIM--C 0.022478
_DVLA--C 0.037394
_INAF--C -0.058375
_KAEF--C -0.040272
_KLBF--C 0.015810
_MERK--C 0.025457
_PYFA--C 0.037522
_SIDO--C 0.085761
_TSPC--C 0.006610
_KINO--C -0.003651
_MBTO--C -0.037509
_MRAT--C 0.006740
_TCID--C 0.000907
_CINT--C 0.015479
 _KICI--C 0.016221
_LMPI--C -0.023804

Effects Specification
S.D.   Rho  

Cross-section random 0.045762 0.2881

Idiosyncratic random 0.071931 0.7119

Weighted Statistics

R-squared 0.120382    Mean dependent var 0.023757

Adjusted R-squared 0.111005    S.D. dependent var 0.079043
S.E. of regression 0.074527    Sum squared resid 2.604929
F-statistic 12.83722    Durbin-Watson stat 1.554563
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.148743    Mean dependent var 0.041311

Sum squared resid 3.778369    Durbin-Watson stat 1.071766
CHOW TEST

Redundant Fixed Effects Tests

Pool: HENDRA
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 3.630532 (94,375) 0.0000

Cross-section Chi-square 307.387316 94 0.0000

Cross-section fixed effects test equation:

Dependent Variable: ROA?
Method: Panel Least Squares
Date: 07/28/21 Time: 00:38
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.409680 0.054147 -7.566126 0.0000

ZSCORE? 0.000148 0.000284 0.520122 0.6032
LIQ? 0.000499 0.000358 1.393487 0.1641
LEV? -0.003740 0.002433 -1.537296 0.1249
SIZE? 0.016107 0.001931 8.342065 0.0000
GROWTH? 0.029620 0.013154 2.251768 0.0248

R-squared 0.165042    Mean dependent var 0.041311

Adjusted R-squared 0.156141    S.D. dependent var 0.096768
S.E. of regression 0.088893    Akaike info criterion -1.990215
Sum squared resid 3.706022    Schwarz criterion -1.937626
Log likelihood 478.6762    Hannan-Quinn criter. -1.969535
F-statistic 18.54100    Durbin-Watson stat 1.170800
Prob(F-statistic) 0.000000
HAUSMAN TEST

Correlated Random Effects - Hausman Test

Pool: HENDRA
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 39.459685 5 0.0000

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ZSCORE? -0.000047 0.000217 0.000000 0.3873

LIQ? 0.000519 0.000519 0.000000 0.9987
LEV? 0.011850 0.003237 0.000003 0.0000
SIZE? 0.045942 0.018175 0.000072 0.0010
GROWTH? 0.020934 0.033604 0.000022 0.0073

Cross-section random effects test equation:

Dependent Variable: ROA?
Method: Panel Least Squares
Date: 07/28/21 Time: 00:39
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -1.257891 0.246855 -5.095663 0.0000

ZSCORE? -4.73E-05 0.000435 -0.108681 0.9135
LIQ? 0.000519 0.000379 1.369830 0.1716
LEV? 0.011850 0.002997 3.953755 0.0001
SIZE? 0.045942 0.008855 5.188118 0.0000
GROWTH? 0.020934 0.012334 1.697268 0.0905

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.562861    Mean dependent var 0.041311

Adjusted R-squared 0.447457    S.D. dependent var 0.096768
S.E. of regression 0.071931    Akaike info criterion -2.241557
Sum squared resid 1.940272    Schwarz criterion -1.365070
Log likelihood 632.3698    Hannan-Quinn criter. -1.896877
F-statistic 4.877290    Durbin-Watson stat 1.968210
Prob(F-statistic) 0.000000
MODEL 2 (ROE)

COMMON EFFECT MODEL

Dependent Variable: ROE?

Method: Pooled Least Squares
Date: 07/28/21 Time: 00:40
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.350023 0.101758 -3.439756 0.0006

ZSCORE? -0.000839 0.000534 -1.569867 0.1171
LIQ? -0.000469 0.000674 -0.696350 0.4866
LEV? -0.066649 0.004572 -14.57665 0.0000
SIZE? 0.017677 0.003629 4.871646 0.0000
GROWTH? 0.008598 0.024721 0.347814 0.7281

R-squared 0.353806    Mean dependent var 0.066772

Adjusted R-squared 0.346917    S.D. dependent var 0.206719
S.E. of regression 0.167057    Akaike info criterion -0.728410
Sum squared resid 13.08890    Schwarz criterion -0.675821
Log likelihood 178.9974    Hannan-Quinn criter. -0.707729
F-statistic 51.35772    Durbin-Watson stat 1.258602
Prob(F-statistic) 0.000000
FIXED EFFECT MODEL

Dependent Variable: ROE?

Method: Pooled EGLS (Cross-section weights)
Date: 07/28/21 Time: 00:41
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475
Linear estimation after one-step weighting matrix
White cross-section standard errors & covariance (no d.f. correction)
WARNING: estimated coefficient covariance matrix is of reduced rank

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.346199 0.159471 2.170918 0.0306

ZSCORE? 0.000761 0.000852 0.893661 0.3721
LIQ? -0.000114 2.57E-05 -4.452829 0.0000
LEV? -0.077074 0.003257 -23.66385 0.0000
SIZE? -0.007276 0.005801 -1.254386 0.2105
GROWTH? 0.034179 0.002368 14.43363 0.0000
Fixed Effects (Cross)
_INTP--C -0.021124
_SMBR--C -0.061758
_SMCB--C -0.006093
_SMGR--C 0.030075
_WTON--C 0.092412
_AMFG--C -0.073346
_ARNA--C 0.057983
_IKAI--C 0.262850
_MLIA--C 0.036163
_TOTO--C 0.007934
_ALKA--C 0.203590
_BAJA--C 0.222013
_BTON--C -0.104124
_GDST--C -0.088212
_INAI--C 0.214476
_ISSP--C -0.025129
_JKSW--C -0.260219
_LION--C -0.086140
_LMSH--C -0.160182
_AGII--C -0.038826
_DPNS--C -0.125398
_EKAD--C -0.035649
_INCI--C -0.103894
_SRSN--C -0.052582
_AKPI--C -0.011485
_APLI--C -0.094380
_BRNA--C -0.172892
_IGAR--C -0.016878
_IMPC--C 0.000519
_TALF--C -0.109653
_YPAS--C -0.088055
_CPIN--C 0.093478
_JPFA--C 0.123434
_MAIN--C 0.040068
 _SIPD--C -0.077607
_TIRT--C 0.388053
_ALDO--C 0.043100
_FASW--C 0.198871
_KDSI--C 0.067094
_SPMA--C -0.007098
_INCF--C 0.036231
_ASII--C 0.093778
_AUTO--C -0.059171
_BOLT--C -0.031774
_GJTL--C 0.059026
_IMAS--C 0.069415
_INDS--C -0.099773
_LPIN--C -0.073767
_PRAS--C -0.057404
_SMSM--C 0.160042
_RICY--C 0.022318
_SSTM--C -0.087098
_TRIS--C -0.065821
_BATA--C -0.127144
_BIMA--C -0.412311
_JECC--C 0.148716
_KBLI--C 0.028780
_KBLM--C -0.071546
_SCCO--C 0.014810
_VOKS--C 0.120974
_ADES--C 0.040341
_ALTO--C -0.078722
_BTEK--C -0.085683
_BUDI--C 0.003940
_CEKA--C 0.042471
_DLTA--C 0.095273
_ICBP--C 0.102892
_IIKP--C -0.227229
_INDF--C 0.055584
_MYOR--C 0.157293
_PSDN--C -0.113438
_ROTI--C -0.007958
_SKBM--C -0.063712
_SKLT--C 0.017240
_STTP--C 0.087106
_TBLA--C 0.211392
_ULTJ--C 0.070661
_GGRM--C 0.097296
_HMSP--C 0.264324
_WIIM--C -0.055676
_DVLA--C 0.037380
_INAF--C -0.016721
_KAEF--C 0.041318
_KLBF--C 0.052701
_MERK--C 0.025052
_PYFA--C -0.044822
_SIDO--C 0.094904
_TSPC--C 0.009036
_KINO--C 0.005078
_MBTO--C -0.185765
_MRAT--C -0.141987
 _TCID--C -0.060982
_CINT--C -0.098697
_KICI--C -0.104278
_LMPI--C -0.155281

Effects Specification

Cross-section fixed (dummy variables)

Weighted Statistics

R-squared 0.906056    Mean dependent var 0.276191

Adjusted R-squared 0.881255    S.D. dependent var 0.463775
S.E. of regression 0.123266    Sum squared resid 5.697955
F-statistic 36.53287    Durbin-Watson stat 1.877431
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.617576    Mean dependent var 0.066772

Sum squared resid 7.746147    Durbin-Watson stat 2.016527
RANDOM EFFECT MODEL

Dependent Variable: ROE?

Method: Pooled EGLS (Cross-section random effects)
Date: 07/28/21 Time: 00:41
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.261015 0.112808 -2.313786 0.0211

ZSCORE? -0.000866 0.000523 -1.654399 0.0987
LIQ? -0.000396 0.000590 -0.671691 0.5021
LEV? -0.079868 0.004336 -18.42065 0.0000
SIZE? 0.015032 0.004028 3.731836 0.0002
GROWTH? -0.001897 0.020937 -0.090622 0.9278
Random Effects (Cross)
_INTP--C -0.050997
_SMBR--C -0.053689
_SMCB--C -0.028151
_SMGR--C -0.028504
_WTON--C 0.031892
_AMFG--C -0.041596
_ARNA--C 0.017604
_IKAI--C 0.152567
_MLIA--C 0.017747
_TOTO--C -0.008742
_ALKA--C 0.132892
_BAJA--C 0.129822
_BTON--C -0.028714
_GDST--C -0.041828
_INAI--C 0.124445
_ISSP--C -0.014996
_JKSW--C -0.088697
_LION--C -0.030439
_LMSH--C -0.045670
_AGII--C -0.015007
_DPNS--C -0.030790
_EKAD--C -0.006567
_INCI--C -0.021350
_SRSN--C -0.013270
_AKPI--C 0.003277
_APLI--C -0.027314
_BRNA--C -0.087482
_IGAR--C 0.006692
_IMPC--C -0.015270
_TALF--C -0.040473
_YPAS--C -0.033309
_CPIN--C 0.002829
_JPFA--C 0.029606
_MAIN--C 0.011489
_SIPD--C -0.041074
_TIRT--C 0.224545
_ALDO--C 0.037731
_FASW--C 0.069911
_KDSI--C 0.047204
_SPMA--C 0.002193
_INCF--C 0.035431
_ASII--C -0.016045
_AUTO--C -0.052138
_BOLT--C -0.021123
_GJTL--C 0.018151
_IMAS--C 0.022354
_INDS--C -0.049585
_LPIN--C 0.003319
_PRAS--C -0.006505
_SMSM--C 0.063298
_RICY--C 0.039255
_SSTM--C -0.038261
_TRIS--C -0.019997
_BATA--C -0.060473
_BIMA--C -0.166249
_JECC--C 0.076450
_KBLI--C 0.012051
_KBLM--C -0.020792
_SCCO--C 0.003601
_VOKS--C 0.065341
_ADES--C 0.025112
_ALTO--C -0.037881
_BTEK--C -0.049743
_BUDI--C 0.009330
_CEKA--C 0.024858
_DLTA--C 0.041487
_ICBP--C 0.008810
_IIKP--C -0.033875
_INDF--C -0.017008
_MYOR--C 0.039239
_PSDN--C -0.039307
_ROTI--C -0.023917
_SKBM--C -0.025022
_SKLT--C 0.013314
_STTP--C 0.028097
_TBLA--C 0.088714
_ULTJ--C 0.016093
_GGRM--C -0.002216
_HMSP--C 0.084632
_WIIM--C -0.021060
_DVLA--C 0.011354
_INAF--C -0.026755
_KAEF--C 0.000780
_KLBF--C -0.008949
_MERK--C 0.009771
_PYFA--C 0.000976
_SIDO--C 0.034263
_TSPC--C -0.015089
_KINO--C -0.010786
_MBTO--C -0.069329
_MRAT--C -0.042781
_TCID--C -0.037881
_CINT--C -0.034472
 _KICI--C -0.020448
_LMPI--C -0.056912

Effects Specification
S.D.   Rho  

Cross-section random 0.059346 0.1622

Idiosyncratic random 0.134894 0.8378

Weighted Statistics

R-squared 0.392489    Mean dependent var 0.047600

Adjusted R-squared 0.386012    S.D. dependent var 0.191392
S.E. of regression 0.149969    Sum squared resid 10.54820
F-statistic 60.60047    Durbin-Watson stat 1.452235
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.341311    Mean dependent var 0.066772

Sum squared resid 13.34199    Durbin-Watson stat 1.148140
CHOW TEST

Redundant Fixed Effects Tests

Pool: HENDRA
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 3.662921 (94,375) 0.0000

Cross-section Chi-square 309.402069 94 0.0000

Cross-section fixed effects test equation:

Dependent Variable: ROE?
Method: Panel Least Squares
Date: 07/28/21 Time: 00:40
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -0.350023 0.101758 -3.439756 0.0006

ZSCORE? -0.000839 0.000534 -1.569867 0.1171
LIQ? -0.000469 0.000674 -0.696350 0.4866
LEV? -0.066649 0.004572 -14.57665 0.0000
SIZE? 0.017677 0.003629 4.871646 0.0000
GROWTH? 0.008598 0.024721 0.347814 0.7281

R-squared 0.353806    Mean dependent var 0.066772

Adjusted R-squared 0.346917    S.D. dependent var 0.206719
S.E. of regression 0.167057    Akaike info criterion -0.728410
Sum squared resid 13.08890    Schwarz criterion -0.675821
Log likelihood 178.9974    Hannan-Quinn criter. -0.707729
F-statistic 51.35772    Durbin-Watson stat 1.258602
Prob(F-statistic) 0.000000
HAUSMAN TEST

Correlated Random Effects - Hausman Test

Pool: HENDRA
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 115.687819 5 0.0000

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ZSCORE? 0.000264 -0.000866 0.000000 0.0707

LIQ? 0.000047 -0.000396 0.000000 0.2636
LEV? -0.112869 -0.079868 0.000013 0.0000
SIZE? -0.048696 0.015032 0.000260 0.0001
GROWTH? 0.027447 -0.001897 0.000097 0.0028

Cross-section random effects test equation:

Dependent Variable: ROE?
Method: Panel Least Squares
Date: 07/28/21 Time: 00:41
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C 1.544110 0.462934 3.335489 0.0009

ZSCORE? 0.000264 0.000816 0.324254 0.7459
LIQ? 4.66E-05 0.000711 0.065601 0.9477
LEV? -0.112869 0.005621 -20.08138 0.0000
SIZE? -0.048696 0.016607 -2.932339 0.0036
GROWTH? 0.027447 0.023131 1.186596 0.2361

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.663120    Mean dependent var 0.066772

Adjusted R-squared 0.574184    S.D. dependent var 0.206719
S.E. of regression 0.134894    Akaike info criterion -0.983994
Sum squared resid 6.823630    Schwarz criterion -0.107506
Log likelihood 333.6985    Hannan-Quinn criter. -0.639314
F-statistic 7.456125    Durbin-Watson stat 2.169062
Prob(F-statistic) 0.000000
MODEL 3 (TOBINS’Q)

COMMON EFFECT MODEL

Dependent Variable: TOBINSQ?

Method: Pooled Least Squares
Date: 07/28/21 Time: 00:42
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -4.277038 0.797784 -5.361148 0.0000

ZSCORE? 0.144933 0.004188 34.60455 0.0000
LIQ? -0.011705 0.005281 -2.216527 0.0271
LEV? 0.004253 0.035847 0.118652 0.9056
SIZE? 0.189723 0.028449 6.668981 0.0000
GROWTH? -0.065259 0.193813 -0.336714 0.7365

R-squared 0.753522    Mean dependent var 1.732238

Adjusted R-squared 0.750894    S.D. dependent var 2.624159
S.E. of regression 1.309730    Akaike info criterion 3.390071
Sum squared resid 804.5196    Schwarz criterion 3.442660
Log likelihood -799.1418    Hannan-Quinn criter. 3.410752
F-statistic 286.7615    Durbin-Watson stat 0.955467
Prob(F-statistic) 0.000000
FIXED EFFECT MODEL

Dependent Variable: TOBINSQ?

Method: Pooled EGLS (Cross-section weights)
Date: 07/28/21 Time: 00:44
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475
Linear estimation after one-step weighting matrix
White cross-section standard errors & covariance (no d.f. correction)
WARNING: estimated coefficient covariance matrix is of reduced rank

Variable Coefficient Std. Error t-Statistic Prob.  

C -17.15843 0.729342 -23.52590 0.0000

ZSCORE? 0.119428 0.006315 18.91280 0.0000
LIQ? -0.039199 0.008652 -4.530465 0.0000
LEV? 0.017748 0.004508 3.937191 0.0001
SIZE? 0.658865 0.027412 24.03579 0.0000
GROWTH? -0.180220 0.029551 -6.098594 0.0000
Fixed Effects (Cross)
_INTP--C -2.513370
_SMBR--C 0.337336
_SMCB--C -1.503549
_SMGR--C -2.548104
_WTON--C -0.915190
_AMFG--C -0.767980
_ARNA--C -0.140544
_IKAI--C 1.584930
_MLIA--C -0.267030
_TOTO--C -0.590701
_ALKA--C 0.664524
_BAJA--C 0.777723
_BTON--C 0.747908
_GDST--C -0.142888
_INAI--C 0.750776
_ISSP--C -0.542222
_JKSW--C 5.870886
_LION--C 0.318151
_LMSH--C 1.222682
_AGII--C -0.170658
_DPNS--C 2.530810
_EKAD--C -0.248143
_INCI--C 0.829023
_SRSN--C 0.279133
_AKPI--C 0.158142
_APLI--C 0.805993
_BRNA--C -0.146678
_IGAR--C -0.014496
_IMPC--C 0.042094
_TALF--C -0.049996
_YPAS--C 1.192920
_CPIN--C -1.576432
_JPFA--C -1.923725
_MAIN--C -0.736840
 _SIPD--C -0.243483
_TIRT--C 1.791691
_ALDO--C 0.434669
_FASW--C -1.032681
_KDSI--C 0.292267
_SPMA--C -0.131482
_INCF--C 1.074180
_ASII--C -3.666676
_AUTO--C -1.868901
_BOLT--C 0.046963
_GJTL--C -1.044021
_IMAS--C -1.123234
_INDS--C -0.803810
_LPIN--C 1.500310
_PRAS--C 1.006045
_SMSM--C -0.512607
_RICY--C 1.143040
_SSTM--C 0.811506
_TRIS--C 0.271153
_BATA--C -0.055384
_BIMA--C 2.920160
_JECC--C -0.062860
_KBLI--C -0.758725
_KBLM--C 0.231247
_SCCO--C -0.961676
_VOKS--C -0.084436
_ADES--C 0.170752
_ALTO--C 0.366554
_BTEK--C -0.401389
_BUDI--C 0.067079
_CEKA--C -0.667906
_DLTA--C -0.306959
_ICBP--C -1.570597
_IIKP--C 4.792055
_INDF--C -2.871057
_MYOR--C -0.804463
_PSDN--C 0.713406
_ROTI--C -0.545274
_SKBM--C -0.099561
_SKLT--C 0.446227
_STTP--C -0.362878
_TBLA--C -1.234894
_ULTJ--C -1.286391
_GGRM--C -2.751166
_HMSP--C 0.668854
_WIIM--C -0.267153
_DVLA--C -0.482809
_INAF--C 4.186348
_KAEF--C -0.830200
_KLBF--C -1.611623
_MERK--C 0.690652
_PYFA--C 1.120658
_SIDO--C -1.235026
_TSPC--C -1.561313
_KINO--C -0.833392
_MBTO--C 0.892594
_MRAT--C 0.952938
 _TCID--C -0.815577
_CINT--C 0.321904
_KICI--C 1.694611
_LMPI--C 0.967256

Effects Specification

Cross-section fixed (dummy variables)

Weighted Statistics

R-squared 0.972027    Mean dependent var 7.450491

Adjusted R-squared 0.964642    S.D. dependent var 7.237793
S.E. of regression 0.890833    Sum squared resid 297.5935
F-statistic 131.6230    Durbin-Watson stat 1.355813
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.883537    Mean dependent var 1.732238

Sum squared resid 380.1425    Durbin-Watson stat 1.629745
RANDOM EFFECT MODEL

Dependent Variable: TOBINSQ?

Method: Pooled EGLS (Cross-section random effects)
Date: 07/28/21 Time: 00:43
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475
Swamy and Arora estimator of component variances

Variable Coefficient Std. Error t-Statistic Prob.  

C -6.212939 1.138795 -5.455714 0.0000

ZSCORE? 0.126185 0.004467 28.25013 0.0000
LIQ? -0.018111 0.004555 -3.976331 0.0001
LEV? -0.016110 0.035113 -0.458792 0.6466
SIZE? 0.264094 0.040693 6.489863 0.0000
GROWTH? -0.070946 0.155653 -0.455796 0.6487
Random Effects (Cross)
_INTP--C -0.804788
_SMBR--C 0.926215
_SMCB--C -0.472978
_SMGR--C -0.745153
_WTON--C -0.294967
_AMFG--C -0.427508
_ARNA--C 0.182802
_IKAI--C 0.671808
_MLIA--C -0.242619
_TOTO--C -0.163515
_ALKA--C -0.074821
_BAJA--C 0.306396
_BTON--C -0.142848
_GDST--C -0.216300
_INAI--C 0.135684
_ISSP--C -0.405143
_JKSW--C 3.011006
_LION--C -0.206299
_LMSH--C -0.089649
_AGII--C -0.296578
_DPNS--C 0.364315
_EKAD--C -0.509748
_INCI--C -0.236276
_SRSN--C -0.190715
_AKPI--C -0.189675
_APLI--C 0.040783
_BRNA--C -0.097405
_IGAR--C -0.498281
_IMPC--C 0.438085
_TALF--C -0.395034
_YPAS--C 0.599832
_CPIN--C 0.011892
_JPFA--C -0.616975
_MAIN--C -0.358235
_SIPD--C -0.124027
_TIRT--C 0.780498
_ALDO--C -0.092560
_FASW--C 0.006784
_KDSI--C -0.193143
_SPMA--C -0.344492
_INCF--C 0.370869
_ASII--C -1.123108
_AUTO--C -0.884639
_BOLT--C 0.149283
_GJTL--C -0.506780
_IMAS--C -0.437906
_INDS--C -0.727707
_LPIN--C 0.001235
_PRAS--C 0.115626
_SMSM--C 0.055151
_RICY--C 0.150626
_SSTM--C 0.416038
_TRIS--C -0.144438
_BATA--C -0.179921
_BIMA--C 1.229240
_JECC--C -0.126348
_KBLI--C -0.549240
_KBLM--C -0.256149
_SCCO--C -0.640009
_VOKS--C -0.197165
_ADES--C -0.065430
_ALTO--C 0.211770
_BTEK--C -0.119228
_BUDI--C -0.205215
_CEKA--C -0.679246
_DLTA--C -0.046513
_ICBP--C 0.099919
_IIKP--C 2.835809
_INDF--C -0.980203
_MYOR--C 0.466327
_PSDN--C 0.142129
_ROTI--C 0.118285
_SKBM--C -0.235205
_SKLT--C 0.232061
_STTP--C 0.157507
_TBLA--C -0.445399
_ULTJ--C -0.394971
_GGRM--C -0.744650
_HMSP--C 2.028817
_WIIM--C -0.486605
_DVLA--C -0.212628
_INAF--C 3.785577
_KAEF--C 0.048902
_KLBF--C -0.134484
_MERK--C 0.639083
_PYFA--C 0.166916
_SIDO--C -0.532730
_TSPC--C -0.698840
_KINO--C -0.295985
_MBTO--C 0.029927
_MRAT--C -0.131821
_TCID--C -0.504246
_CINT--C -0.229691
 _KICI--C 0.295655
_LMPI--C 0.123378

Effects Specification
S.D.   Rho  

Cross-section random 0.772489 0.3876

Idiosyncratic random 0.970970 0.6124

Weighted Statistics

R-squared 0.665319    Mean dependent var 0.848813

Adjusted R-squared 0.661751    S.D. dependent var 1.781084
S.E. of regression 1.035865    Sum squared resid 503.2443
F-statistic 186.4665    Durbin-Watson stat 1.250918
Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.739780    Mean dependent var 1.732238

Sum squared resid 849.3742    Durbin-Watson stat 0.741154
CHOW TEST

Redundant Fixed Effects Tests

Pool: HENDRA
Test cross-section fixed effects

Effects Test Statistic   d.f.  Prob. 

Cross-section F 5.088785 (94,375) 0.0000

Cross-section Chi-square 390.563425 94 0.0000

Cross-section fixed effects test equation:

Dependent Variable: TOBINSQ?
Method: Panel Least Squares
Date: 07/28/21 Time: 00:43
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -4.277038 0.797784 -5.361148 0.0000

ZSCORE? 0.144933 0.004188 34.60455 0.0000
LIQ? -0.011705 0.005281 -2.216527 0.0271
LEV? 0.004253 0.035847 0.118652 0.9056
SIZE? 0.189723 0.028449 6.668981 0.0000
GROWTH? -0.065259 0.193813 -0.336714 0.7365

R-squared 0.753522    Mean dependent var 1.732238

Adjusted R-squared 0.750894    S.D. dependent var 2.624159
S.E. of regression 1.309730    Akaike info criterion 3.390071
Sum squared resid 804.5196    Schwarz criterion 3.442660
Log likelihood -799.1418    Hannan-Quinn criter. 3.410752
F-statistic 286.7615    Durbin-Watson stat 0.955467
Prob(F-statistic) 0.000000
HAUSMAN TEST

Correlated Random Effects - Hausman Test

Pool: HENDRA
Test cross-section random effects

Chi-Sq.
Test Summary Statistic Chi-Sq. d.f. Prob. 

Cross-section random 69.786155 5 0.0000

Cross-section random effects test comparisons:

Variable Fixed   Random  Var(Diff.)  Prob. 

ZSCORE? 0.097432 0.126185 0.000015 0.0000

LIQ? -0.029088 -0.018111 0.000005 0.0000
LEV? -0.003712 -0.016110 0.000404 0.5373
SIZE? 0.900848 0.264094 0.012633 0.0000
GROWTH? -0.305622 -0.070946 0.003493 0.0001

Cross-section random effects test equation:

Dependent Variable: TOBINSQ?
Method: Panel Least Squares
Date: 07/28/21 Time: 00:43
Sample: 2016 2020
Included observations: 5
Cross-sections included: 95
Total pool (balanced) observations: 475

Variable Coefficient Std. Error t-Statistic Prob.  

C -23.80086 3.332211 -7.142662 0.0000

ZSCORE? 0.097432 0.005870 16.59787 0.0000
LIQ? -0.029088 0.005115 -5.686669 0.0000
LEV? -0.003712 0.040457 -0.091750 0.9269
SIZE? 0.900848 0.119535 7.536299 0.0000
GROWTH? -0.305622 0.166495 -1.835621 0.0672

Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.891686    Mean dependent var 1.732238

Adjusted R-squared 0.863091    S.D. dependent var 2.624159
S.E. of regression 0.970970    Akaike info criterion 2.963621
Sum squared resid 353.5435    Schwarz criterion 3.840109
Log likelihood -603.8601    Hannan-Quinn criter. 3.308301
F-statistic 31.18343    Durbin-Watson stat 1.332241
Prob(F-statistic) 0.000000