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

163 NTU Management Review Vol. 30 No. 2 Aug. 2020 the combined value of + from 0.206 to 0.086 (0.206 – 0.120). Reductions in the book value of equity are 0.12% less than increases in net assets for every 1% change in net sales. Panel B of Table 8 reports results from estimations of the Fama-MacBeth regressions over 15 years. Again, we find results supporting H1, as estimated coefficients, and , are still negative and statistically significant. The mean of the estimated coefficient is -0.091 (Newey-West adjusting t -statistic = -8.17), and is -0.115 (Newey-West adjusting t -statistic = -5.56). Other estimated coefficients are also consistent with those in our primary tests. Table 8 Linear Speci fi cations 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 0.011*** 0.068*** -0.066*** 0.206*** -0.120*** 0.180 (6.42) (42.25) (-11.08) (89.33) (-12.13) Panel B: Fama-MacBeth Regressions Over Years 2000 and 2014 (15 Regressions) Median 0.000 0.069 -0.068 0.290 -0.107 0.182 Mean 0.010** 0.085*** -0.091*** 0.185*** -0.115*** 0.187 (2.52) (8.72) (-8.17) (16.35) (-5.56) Note: This table presents results from pooled cross sectional OLS and Fama-MacBeth regressions 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 47,341 observations for 8,005 non-financial 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.