Table 10 Test of selection on unobservable gains
(1) | (2) | |
|---|---|---|
Market cap | 0.023 | 0.120 |
(0.385) | (0.371) | |
Leverage | \(9.878^{***}\) | \(9.688^{***}\) |
(1.446) | (1.423) | |
Book-to-market | \(-0.484\) | \(-0.413\) |
(0.417) | (0.411) | |
Dispersion | \(2.720^{***}\) | \(2.636^{***}\) |
(0.217) | (0.215) | |
Long-term growth | 3.139 | \(3.231^{*}\) |
(1.923) | (1.949) | |
Beta | \(-0.485\) | \(-0.474\) |
(0.296) | (0.296) | |
Return | 23.598 | 23.276 |
(16.008) | (15.815) | |
\(p_1\) | 1.017 | |
(10.959) | ||
\(p_1^2\) | \(-5.173\) | |
(15.910) | ||
\(p_1^3\) | 0.866 | |
(7.198) | ||
\(p_2\) | \(-4.245\) | |
(10.697) | ||
\(p_2^2\) | 3.643 | |
(15.560) | ||
\(p_2^3\) | \(-3.293\) | |
(7.054) | ||
Observations | 12,006 | 12,006 |
R\(^{2}\) | 0.535 | 0.535 |
Adjusted R\(^{2}\) | 0.532 | 0.532 |
Residual SE | 2.145 | 2.146 |
F Statistic | \(185.642^{***}\) | \(185.468^{***}\) |