Supplementary Table: div_struct |
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The Impact of Liberalizations on Dividend Yields Allowing for Breaks in the Control Variables |
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|
Official Liberalization |
First Sign |
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Variable |
Intercept |
PRE |
DURING |
POST |
AFTER |
Intercept |
PRE |
DURING |
POST |
AFTER |
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NUMC |
-1.164 |
0.688 |
0.641 |
0.639 |
1.182 |
0.159 |
0.764 |
-0.094 |
-0.566 |
-0.555 |
||
-5.06 |
2.60 |
2.20 |
2.26 |
4.14 |
0.30 |
1.32 |
-0.17 |
-1.06 |
-1.03 |
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CONC |
-3.806 |
2.645 |
0.987 |
1.858 |
9.139 |
-1.728 |
1.608 |
1.861 |
-0.949 |
1.791 |
||
-3.37 |
1.69 |
0.49 |
1.14 |
4.77 |
-0.97 |
0.77 |
0.74 |
-0.46 |
0.88 |
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FLAT |
-0.041 |
0.412 |
0.560 |
0.186 |
0.127 |
-0.081 |
0.482 |
0.531 |
0.476 |
0.160 |
||
-0.29 |
2.36 |
2.75 |
0.96 |
0.57 |
-0.48 |
2.04 |
2.22 |
2.23 |
0.81 |
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FXV |
-5.389 |
1.659 |
-1.861 |
4.157 |
3.150 |
-6.622 |
2.695 |
-1.526 |
4.532 |
5.145 |
||
-2.33 |
0.55 |
-0.64 |
1.61 |
1.16 |
-2.45 |
0.77 |
-0.46 |
1.53 |
1.71 |
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XMGDP |
-2.502 |
0.514 |
0.705 |
1.047 |
0.830 |
-1.272 |
0.185 |
-0.737 |
-0.700 |
-0.423 |
||
-4.15 |
1.15 |
1.40 |
2.15 |
1.64 |
-1.60 |
0.30 |
-0.98 |
-0.92 |
-0.56 |
|||
CCR |
0.510 |
-0.598 |
-0.661 |
-0.338 |
-0.259 |
0.298 |
0.385 |
-1.321 |
-0.081 |
-0.070 |
||
1.14 |
-1.75 |
-1.47 |
-0.72 |
-0.49 |
0.50 |
0.59 |
-1.80 |
-0.12 |
-0.10 |
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STD |
-1.409 |
0.269 |
0.594 |
1.179 |
0.220 |
-0.865 |
-0.692 |
-0.497 |
0.340 |
0.193 |
||
-4.61 |
0.60 |
1.20 |
3.27 |
0.47 |
-2.46 |
-1.10 |
-0.92 |
0.86 |
0.46 |
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Wald |
Wald |
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LIB |
-0.717 |
0.053 |
-2.499 |
-6.278 |
1.11 |
-3.945 |
5.076 |
1.732 |
0.110 |
2.72 |
||
-0.43 |
0.03 |
-1.32 |
-2.94 |
0.292 |
-1.05 |
1.38 |
0.50 |
0.03 |
0.099 |
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Group-wise heteroskedasticity and autocorrelation-consistent t-statistics are reported below the coefficients. We estimate a model with dummy variables around the liberalization definition. This dummy variable is interacted with all the control variables. The Wald test is whether the dividend yield declines from Pre to Post liberalization. All variable definitions are presented in Table 3. |
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