Supplementary Table: div_ICRGE

The Impact of Liberalizations on Dividend Yields

with ICRGE Variable

Panel A:

Official Liberalization

NUMC

STDL2

CONCR

FLAT

FXV

XMGDP

CCR

ICRGE

PRE

DURING

POST

AFTER

WALD

coefficient

-0.349

-0.595

-0.670

0.165

-2.395

-1.581

0.516

-0.016

-0.413

-0.578

-0.670

-0.798

3.520

t-stat

-2.88

-0.81

-5.01

1.72

-2.00

-2.75

0.91

-1.28

-3.54

-3.86

-3.86

-4.10

0.061

Panel B:

First Sign

coefficient

-0.290

-0.619

-0.693

0.158

-2.625

-1.539

0.344

-0.014

0.009

0.083

-0.186

-0.294

0.970

t-stat

-2.46

-0.87

-5.34

1.75

-2.31

-2.83

0.64

-1.20

0.04

0.30

-0.61

-0.94

0.325

Regession includes country specific intercepts and allow for panel specific heteroscedasticity and serial correlation. The ICRGE variable is the International Country Risk Guide's Economic Rating which predicts future GDP growth. The Wald test is whether the dividend yield declines from Pre to Post liberalization. This regression only includes data from 1984 when the ICRGE is first available.