|
Supplementary Table: div_window |
|||||||||
|
The Impact of Liberalizations on Dividend Yields: No Control Variables |
|||||||||
|
Sensitivity of results to definition of 'during' liberalization indicator |
|||||||||
|
|
|||||||||
|
Panel D: |
Official Lib |
||||||||
|
During (6,3) |
Pre |
During |
Post |
After |
Wald |
||||
|
coefficient |
-0.455 |
-0.674 |
-0.766 |
-0.945 |
5.700 |
||||
|
t-stat |
-4.13 |
-4.76 |
-4.65 |
-5.10 |
0.017 |
||||
|
During (6,6) |
|||||||||
|
coefficient |
-0.4453 |
-0.6559 |
-0.9031 |
-0.9368 |
13.050 |
||||
|
t-stat |
-4.18 |
-4.78 |
-5.62 |
-5.18 |
0.000 |
||||
|
During (6,12) |
|||||||||
|
coefficient |
-0.0624 |
-0.1418 |
-0.1562 |
-0.3143 |
1.090 |
||||
|
t-stat |
-0.72 |
-1.55 |
-2.07 |
-3.99 |
0.296 |
||||
|
During (3,12) |
|||||||||
|
coefficient |
0.0871 |
-0.0817 |
-0.1178 |
-0.2647 |
5.420 |
||||
|
t-stat |
1.03 |
-0.90 |
-1.59 |
-3.42 |
0.020 |
||||
|
During (12,6) |
|||||||||
|
coefficient |
-0.3409 |
-0.6253 |
-0.9066 |
-0.9340 |
20.440 |
||||
|
t-stat |
-1.71 |
-2.94 |
-4.04 |
-3.94 |
0.000 |
||||
|
Panel E: |
First Sign |
||||||||
|
During (6,3) |
Pre |
During |
Post |
After |
Wald |
||||
|
coefficient |
-0.476 |
-0.751 |
-1.196 |
-1.361 |
15.910 |
||||
|
t-stat |
-2.78 |
-3.52 |
-5.14 |
-5.64 |
0.000 |
||||
|
During (6,6) |
|||||||||
|
coefficient |
-0.4789 |
-0.7657 |
-1.1822 |
-1.4173 |
14.980 |
||||
|
t-stat |
-2.76 |
-3.54 |
-5.01 |
-5.80 |
0.000 |
||||
|
During (6,12) |
|||||||||
|
coefficient |
0.1783 |
0.2310 |
0.1032 |
-0.5307 |
0.300 |
||||
|
t-stat |
1.34 |
2.01 |
1.27 |
-6.48 |
0.584 |
||||
|
During (3,12) |
|||||||||
|
coefficient |
0.2211 |
0.2575 |
0.1154 |
-0.5238 |
0.610 |
||||
|
t-stat |
1.67 |
2.25 |
1.43 |
-6.45 |
0.435 |
||||
|
During (12,6) |
|||||||||
|
coefficient |
-0.1232 |
-0.5879 |
-1.0058 |
-1.2392 |
24.020 |
||||
|
t-stat |
-0.59 |
-2.44 |
-3.90 |
-4.67 |
0.000 |
||||
|
Panel F: |
Capital Flows |
||||||||
|
During (6,3) |
Pre |
During |
Post |
After |
Wald |
||||
|
coefficient |
-0.116 |
-0.261 |
-0.285 |
-0.383 |
1.710 |
||||
|
t-stat |
-1.05 |
-1.83 |
-1.76 |
-1.99 |
0.190 |
||||
|
During (6,6) |
|||||||||
|
coefficient |
-0.0965 |
-0.2149 |
-0.4646 |
-0.4499 |
8.230 |
||||
|
t-stat |
-0.89 |
-1.54 |
-2.91 |
-2.38 |
0.004 |
||||
|
During (6,12) |
|||||||||
|
coefficient |
-0.1153 |
-0.2711 |
-0.2758 |
-0.3762 |
1.570 |
||||
|
t-stat |
-1.08 |
-1.96 |
-1.73 |
-1.82 |
0.210 |
||||
|
During (3,12) |
|||||||||
|
coefficient |
-0.1897 |
-0.3264 |
-0.3248 |
-0.4191 |
1.490 |
||||
|
t-stat |
-1.84 |
-2.51 |
-2.22 |
-2.12 |
0.222 |
||||
|
During (12,6) |
|||||||||
|
coefficient |
-0.0422 |
-0.1573 |
-0.4286 |
-0.4070 |
10.090 |
||||
|
t-stat |
-0.42 |
-1.20 |
-2.85 |
-2.26 |
0.001 |
||||
|
Regression includes country specific constants no control variables. |
|||||||||
|
Errors are corrected for serial correlation and heteroscedasticity. |
|||||||||
|
Pre and Post Periods are always 30 months. |
|||||||||
|
During period follows specification outlined in each panel. |
|||||||||