臺大管理論叢 NTU Management Review VOL.30 NO.2

159 NTU Management Review Vol. 30 No. 2 Aug. 2020 Table 5 Fama-MacBeth Regressions over Years 2000 and 2014 (15 Regressions) β 0 β M 1 β M 2 β S 1 β S 2 Adj. Expected sign + – + – R-Sq. Max 0.021 0.183 -0.027 0.348 -0.042 0.259 Min -0.035 0.045 -0.197 0.152 -0.187 0.093 No. of negative 14 0 15 0 15 0 Median -0.007 0.106 -0.104 0.232 -0.088 0.157 Mean -0.009** 0.108*** -0.118*** 0.244*** -0.107*** 0.168 Fama-MacBeth (-2.37) (8.5) (-7.48) (19.99) (-10.96) t -statistic Note: This table presents Fama-MacBeth regression results of the following model: where NA i,t is the book value of net assets, measured as total assets (Compustat item “AT”) minus total debt (“DT”) of firm i at the end of fiscal year t , and excluding net income (“NI”) and shares sold (“SSTK”), plus dividends paid (“DVC”) over year t ; MVE i,t is the market value of equity, measured as the absolute value of price (“PRCC_F”) times shares outstanding (“CSHO”) of firm i at the end of year t ; D M i,t is a dummy variable that takes the value of 1 when MVE i,t is less than MVE i,t –1 , and 0 otherwise; Sale i,t is net sales (“SALE”) of firm i in year t ; and D S i,t is a dummy variable that takes the value of 1 when Sale i,t is less than Sale i,t –1 , and 0 otherwise. The sample period ranges from 2000 to 2014 (15 years), covering 55,541 observations for 9,610 firms. *, **, and *** indicate statistical significance at the 0.10, 0.05, and 0.01 levels, respectively, based on two-tailed t -statistics adjusted by Newey-West for standard errors. 6.2 Dependent Variable Excluding Net Income and Capital Transactions Up to this point, we consider that it is appropriate to use net assets (i.e., total assets minus total liabilities) minus net income and capital transactions as the dependent variable. The removal of net income and capital transactions is to purify OCI adjustments of all kinds that change the book value of net assets. Nevertheless, one may argue that firms use net income and capital transactions to have the book value of equity that they desire. To address this concern, Table 6 reports results that use net assets without the removal of net income and capital transactions. Panel A reports results from estimations of pooled ordinary least squares, and Panel B reports results from estimations of the Fama- MacBeth regressions over 15 years. In both panels, the results are consistent with those in our primary tests.