臺大管理論叢 NTU Management Review VOL.29 NO.1

241 NTU Management Review Vol. 29 No. 1 Apr. 2019 Dummy Variable Test Self-selection Correction Model IM model REV model Model IM model REV model Variables β β ( t -value) β ( t -value) Variables β β ( t -value) β ( t -value) REV t * D_IM t *X t3 ---/β 13 -0.287 c (-1.85) REV t *IM t *X t3 ---/β 13 -14.970 (-1.41) REV t * D_IM t *R t3 ---/β 14 0.054 (0.71) REV t *IM t *R t3 ---/β 14 1.450 (1.02) LEV t β 10 /β 15 -0.495 b (-2.16) -0.494 b (-2.19) LEV t β 10 /β 15 -0.515 b (-2.16) -0.511 b (-2.16) MB t β 11 /β 16 0.357 a (16.30) 0.357 a (16.29) MB t β 11 /β 16 0.358 a (16.16) 0.358 a (16.21) SIZE t β 12 /β 17 0.069 c (1.89) 0.070 c (1.92) SIZE t β 12 /β 17 0.067 c (1.85) 0.066 c (1.85) IMR t β 13 /β 18 0.034 a (2.84) 0.033 b (2.52) Year Effect --- Included Included Year Effect --- Included Included β 7 +β 12 0.944 b (2.44) β 7 +β 12 20.409 (0.95) β 8 +β 13 -0.21 (-1.43) β 8 +β 13 -12.491 (-1.15) N 7,932 7,932 N 7,932 7,932 Adj R 2 66.86% 66.90% Adj R 2 66.93% 66.94% F -statistic 12.56 a 12.54 a F -statistic 12.59 a 12.55 a Hausman test 1269.96 a 1275.50 a Hausman test 1278.35 a 1280.53 a Legends: 1. R t : a firm’s ex-dividend annual stock return in year t . X t-1 : a firm’s earnings per share excluding extraordinary items in year t -1, deflated by the stock price at the beginning of year t . X t : a firm’s earnings per share excluding extraordinary items in year t , deflated by the stock price at the beginning of year t . X t3 : a firm’s sum of earnings per share excluding extraordinary items for year t +1 through t +3, deflated by the stock price at the beginning of year t . R t3 : a firm’s annually compounded returns for year t +1 through t +3. IM t : a firm’s magnitude of long-lived assets impairment loss recognized in year t , deflated by the total assets at the beginning of year t . D_IM: D_IM is denoted as 1 for firms with assets impairment recognition, otherwise 0. REV t : the dummy variable of the reversing assets impairment loss; REV is denoted as one if the firms recognizing assets impairment loss and reversing immediately in the following year, otherwise 0. LEV t : a firm’s leverage measured as total debts divided by total assets of the sample firms at the end of the fiscal year. MB t : a firm’s market-to-book ratio measured as the market value of equity divided by book value of equity at the end of the fiscal year. SIZE t : a firm’s size measured by the natural logarithm of book value of total assets at the end of the fiscal year. IMR t : Inverse Mill’s ratio follows Heckman (1979). 2. “a”, “b” and “c” denote the significance on 1%, 5% and 10% levels respectively, based on two- tailed tests.