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

161 NTU Management Review Vol. 30 No. 2 Aug. 2020 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 in Panel A, and adjusted by Newey-West for standard errors in Panel B. 6.3 Exclusion of Firm-years in Financial Industries Table 7 reports results excluding financial firms because regulated financial industries may be subject to special accounting regulations. The total number of remaining observations is 47,341 for 8,005 firms, an average of approximately 5.91 observations per firm. Panel A of the table reports results from estimations of pooled ordinary least squares, and Panel B reports results from estimations of the Fama-MacBeth regressions over 15 years. Both panels report results that are consistent with those supporting H1. In Panel A of Table 7, both estimated coefficients, = 0.092 and = 0.283, are positive and highly significant ( t -statistics = 37.19 and 85.75, respectively). They suggest that the book value of equity increases with improvement in the market value of equity and sales revenues. More importantly, both estimated coefficients, , (-0.090, t -statistic = -24.46) and , (-0.127, t -statistic = -31.35), are significantly negative. These two coefficients demonstrate significant differences in OCI adjustments between improving and deteriorating business conditions of equivalent size, supporting H1. Panel B also shows similar results supporting H1, based on the means, medians and t -statistics, adjusted by the Newey-West for standard errors from the Fama-MacBeth regressions. Table 7 Regressions without Firm-Years in Financial Industries β 0 β M 1 β M 2 β S 1 β S 2 Adj. Expected sign + – + – R 2 Panel A: Pooled Cross Sectional OLS Regressions -0.007*** 0.092*** -0.090*** 0.283*** -0.127*** 0.184 (-5.58) (37.19) (-26.46) (85.75) (-31.35) Panel B: Fama-MacBeth Regressions Over Years 2000 and 2014 (15 Regressions) Median -0.011 0.105 -0.123 0.254 -0.109 0.164 Mean -0.011*** 0.109*** -0.121*** 0.266*** -0.128*** 0.173 Fama-MacBeth (-2.25) (7.96) (-7.52) (23.76) (-10.11) t -statistic Note: This table presents results from pooled cross sectional OLS and Fama-MacBeth regressions of the following model: