臺大管理論叢 NTU Management Review VOL.28 NO.1

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臺大管理論叢 第 28 卷第 1 期
Panel C: Industry-Adjusted Dividend/Market Value of Equity as Dependent Variable
Intercept (?) 0.010 (0.94) -0.029*** (-3.22) 0.022 (0.71)
Diverge (+) 0.020 (1.07) 0.004 (0.25) -0.012 (-0.53)
Aggregate (+) -0.000* (-1.73) 0.001*** (8.64) 0.001* (2.04)
Diverge*Aggregate (+) -0.001 (-1.10) -0.000 (-0.33) 0.000 (0.34)
G*Diverge (+) 0.001 (0.34) 0.005* (1.91) 0.007 (1.50)
G*Aggregate (-) -0.000 (-0.22) -0.000*** (-5.42) -0.000*** (-4.14)
G*Diverge*Aggregate (-) -0.000 (-0.19) -0.000* (-1.67) -0.000 (-1.35)
Own (?) -0.000 (-1.28) 0.000*** (4.96) 0.000** (3.09)
Own*Aggregate (?) 0.000 (1.30) -0.000*** (-4.59) -0.000*** (-3.37)
G (-) -0.001 (-0.94) 0.004*** (4.15) 0.002** (2.58)
Size (?) 0.000 (0.11) -0.000** (-2.57) -0.000* (-2.01)
Leverage (-) -0.011*** (-6.11) -0.004*** (-2.97) -0.001 (-0.47)
Ln(GNP) (?) 0.001** (2.80) -0.002*** (-3.78) -0.005 (-1.69)
LRes (-) -0.009*** (-4.92) -0.014*** (-6.18) -0.008 (-1.73)
Dta (+) 0.014*** (6.15) 0.014*** (5.93) 0.018*** (4.21)
Adjusted R2 8.40% 14.21% n/a
No. of Observations 3,079 3,981 n/a
Panel D: Industry-Adjusted Dividend/Earnings as Dependent Variable
Intercept (?) 0.345** (2.26) -0.000 (-0.00) 0.022 (0.12)
Diverge (+) -0.017 (-0.06) -0.152 (-0.74) -0.148 (-0.82)
Aggregate (+) -0.009** (-2.64) -0.000 (-0.02) -0.001 (-0.18)
Diverge*Aggregate (+) -0.000 (-0.04) 0.005 (0.93) 0.004 (0.81)
G*Diverge (+) 0.101** (2.45) 0.099*** (2.75) 0.092** (2.55)
G*Aggregate (-) 0.001*** (3.07) 0.000 (0.65) -0.000 (-0.62)
G*Diverge*Aggregate (-) -0.002** (-2.14) -0.002*** (-2.75) -0.002** (-2.49)
Own (?) 0.007*** (3.21) 0.007*** (4.48) 0.003 (1.23)
Own*Aggregate (?) -0.000*** (-3.03) -0.000*** (-4.60) -0.000 (-1.50)
G (-) -0.064*** (-4.28) -0.027** (-2.18) -0.003 (-0.12)
Size (?) -0.004 (-1.44) 0.002 (1.11) -0.001 (-0.38)
Leverage (-) -0.070*** (-2.83) 0.019 (1.00) 0.028 (1.09)
Ln(GNP) (?) 0.015** (2.35) -0.002 (-0.25) -0.002 (-0.27)
LRes (-) -0.092*** (-3.53) -0.110*** (-3.27) -0.017 (-0.22)
Dta (+) 0.154*** (4.86) 0.166*** (4.63) 0.199** (2.88)
Adjusted R2 9.23% 7.06% n/a
No. of Observations 3,079 3,981 n/a
Note: The variables are as defined in Appendix A. We develop an aggregate legal institutional
measure (Aggregate) using the first principle component of the three legal factors (Legal,
Right, and Disclosure). *** (**,*) indicates statistical significance at the 1% (5%, 10%) level,
two-tailed.