The credit spread CS (t) is defined as CS (t)= CS (Vt , rt ,
{ }
Xt ), where V is firm value, r is the spot rate, and{ }
Xt represents all of the other “state variables” used for specifying the model (see Collin-Dufresne, Goldstein, and Martin (2001)). Since credit spreads are determined given the current values of the state variables, it follows that structural models generate predictions for what the theoretical determinants of credit spreads should be, and moreover offer a prediction for whether changes in these variables should be positively or negatively correlated with credit spreads. Inaccordance with the proxies for explanatory variables of credit spreads, each determinant is discussed individually.
The tables below report OLS estimates of the regression, and summary statistics of the distribution of coefficient estimates are presented. Table 3 shows the integrated data table of individual firm’s time series regression, and summarizes the estimation coefficients and the p-values of explanatory variables in the time-series regression for 34 switching firms. Permanent code (PERMCO) of 34 firms refer to appendix. Table 4 summarizes the estimation coefficients and p-values of explanatory variables in the cross-sectional regression at each firm’s switching date. We use 5% significant level.
If p-value is less than 0.05, there is statistically significant relation between credit spread and the variables introduced above.
Most of the variables investigated in the regressions have some ability to explain changes in credit spreads. Further, the signs of the estimated coefficients generally agree with theory.
From Table 3, the firm equity returnretti is with predicted negative sign, but not statistically significant, for most (almost 91%) firms in the multivariate analyses.
Indeed, the factor loading on the S&P 500 return is typically several times larger than the loading on the firm’s own equity return. This is the first indication that daily
Table 3
Estimation Coefficients of Explanatory Variables of the Time-Series Regression: For individual bond i of 34 firms with credit spreadCStiover the period January 1998 to December 2003, we estimate
the following regression: i
Figures in the upper rows of variables indicate coefficients, and figures in ( ) indicate their p-values.
Variable
3306 -0.308195 -0.310802 1.396296 0.203844 -0.923668 -0.592285
(0.4545) (0.0051)*** (0.1759) (0.0000)*** (0.0892)* (0.0000)*** Average -2.29767370 -1.6202332 22.243631 -5.5128857 -17.617042 -4.7310502
changes in firm-specific attributes are not the driving force in credit spread changes (Collin-Dufresne, Goldstein, and Martin (2001)). Then, Collin-Dufresne, Goldstein, and Martin (2001) also demonstrate that the apparently weak explanatory power of firm-specific variables is not due to potential collinearity with the market return S&Pt.
We expect a negative relation between the risk-free rate and the credit spread.
The drift of the risk-neutral process of the value of the assets, which is the expected growth of the firm’s asset value, equals the risk-free interest rate. An increase in the interest rate implies an increase in the expected growth rate of the firm’s asset value.
This will in turn reduce the probability of default and the credit spread (see Longstaff and Schwartz (1995)). This prediction is borne out in their data. Further evidence is provided by Duffee (1998), who uses a sample restricted to noncallable bonds and finds a significant, albeit weaker, negative relationship between changes in credit spreads and interest rates. Furthermore, lower interest rates are usually associated with a weakening economy and thus higher credit spreads.
Our result is consistent with the empirical findings of Longstaff and Schwartz (1995) and Duffee (1998), we find that an increase in the risk-free rate lowers the credit spread for all bonds. Once again, this finding can be explained by noting that an increase in drift decreases the risk-neutral probability of default, and that the closer firms are to the default threshold, the more sensitive they are to this change.
The expectations hypothesis of the term structure implies that the slope of the default-free term structure (the Treasury yield curve slope), which is often measured as the spread between the long-term and the short-term rate, is an optimal predictor of future changes in short-term rates over the life of the long-term bond. As such, an increase in the slope implies an increase in the expected short-term interest rates. As in the case of the motivation for the risk-free interest rate above, it should also lead to a decrease in credit spreads. Although the spot rate is the only interest-rate-sensitive
factor that appears in the firm value process, the spot rate process itself may depend upon other factors as well. For example, Litterman and Scheinkman (1991) and Chen and Scott (1993) find that the two most important factors driving the term structure of interest rates are the level and slope of the term structure. Furthermore, the slope of the term structure is often related to future business cycle conditions (see, for example, Estrella and Hardouvelis (1991), Bernard and Gerlach (1998), and Estrella and
Mishkin (1995, 1998)). A decrease in the slope is considered to be indicators of a weakening economy. It is reasonable to believe that the expected recovery rate might decrease in times of recession. A positively sloped yield curve is associated with improving economic activity, which might in turn increase a firm’s growth rate and reduce its default probability. This strengthens our expectations of a negative relation between the slope and the credit spread.
Overall, convexity of the term structure is not significant statistically. Slope of the term structure is statistically significant for 44% firms in the multivariate analyses only. As expected, it has a negative impact for half firms in the multivariate analyses.
Even if the probability of default remains constant for a firm, changes in credit spreads can occur due to changes in the expected recovery rate. The expected recovery rate in turn should be a function of the overall business climate (Collin-Dufresne, Goldstein, and Martin (2001)).
The return of the S&P 500 is insignificant statistically. Estimated coefficients have the same sign for all firms. As expected, it has a negative impact.
Generally speaking, listing increases a firm’s visibility through announcements and receives more attention from financial analysts and investors. Moreover, listing on the national exchange, especially on the NYSE, is considered a prestigious milestone in corporate development. Additionally, because the criteria for listing on the NYSE are more stringent than those on the AMEX or the NASDAQ, switching
firms that meet the criteria have been considered a positive signal about their future prospects. Accordingly, it is reasonable to assume that risks of switching firms would somehow been decreased.
In the time-series regressions of a sample of 235 bonds from 34 firms during the period 1998 - 2003, the dummy variable,Dti, is statistically significant for 91% firms in the multivariate analyses. The sign, as expected, indicates that after these firms switch to NYSE, which has stricter restriction of listing, triggers a decrease in credit spreads. The behavior is relatively homogeneous across all firms.
Table 4 summarizes the estimation coefficients and p-values of explanatory variables in the cross-sectional regression at each firm’s switching date.
As in the case of the motivation for the time-series regressions above, in the cross-sectional regression, the dummy variable is statistically insignificant at 5%
significant level. The evidence also proves that whether a company moves from the NASDAQ to the NYSE or from the AMEX to the NYSE, the effects on credit spreads are similar, no matter which exchange the switching originated from due to both groups listing on the same exchange.
Table 4
Estimation Coefficients and P-Values of Explanatory Variables of the Cross-Sectional Regression:
For each sample bond i at date t with credit spreadCStiover the period January 1998 to December 2003, the following regression is assumed:
i
t is exchange date for each firm.
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -5.828633 3.015136 -1.933124 0.0552*
DR10 -1.900905 4.476551 -0.424636 0.6717 DR10_2 103.4797 45.36812 2.280890 0.0240**
R10_R2 -0.217467 0.235489 -0.923474 0.3573 S_P_RETURN -7.863237 15.70653 -0.500635 0.6174 DUMMY -0.273481 1.505869 -0.181610 0.8561 C 2.430080 1.434022 1.694590 0.0923*
In this paper, we mainly analyze whether the sensitivity of credit spread changes to the firms that switch their locations is significant. Using data of 34 firms that switched from the American Stock Exchange (AMEX) to the New York Stock Exchange (NYSE) and from the National Association of Securities Dealers’
Automated Quotations system (NASDAQ) to the NYSE during the period 1998 -2003, we first examine the changes in credit spreads of individual 34 firms that switching to NYSE by adopting a multivariate time-series regression approach. The regression also includes several economic and financial variables to capture effects of determinants on credit spreads changes.
First, we find the dummy variable is statistically significant for almost all firms in the multivariate analyses. The sign, as expected, indicates that after these firms switch to NYSE, which has stricter restriction of listing, triggers a decrease in credit spreads. Second, we find the firm equity return is negative for most firms in the multivariate analyses. It is consistent with the results of Collin-Dufresne, Goldstein, and Martin (2001). Third, we find that an increase in the risk-free rate lowers the credit spread for all bonds. It is consistent with the empirical findings of Longstaff and Schwartz (1995) and Duffee (1998). Fourth, the slope of the term structure is statistically significant for most firms in the multivariate analyses. As expected, it has a negative impact. Fifth, the estimated coefficients of the return of the S&P 500 have the same sign for all firms. As expected, it has a negative impact.
Finally, we analyze if there exists difference between switching of two situations, from the NASDAQ to the NYSE and from the AMEX to the NYSE. In the
cross-sectional regression, the dummy variable is statistically insignificant. The evidence indicates that there is no difference in credit spreads no matter which exchange the switching originated from. They both switch to the same terminus.
This result is also intuitive.
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Appendix
Table 1
Table 2
Company Name: ALLIED WASTE INDUSTRIES INC (11108) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -1.003842 0.425169 -2.361041 0.0182**
DR10 -0.178302 0.280097 -0.636573 0.5244 DR10_2 4.120822 2.490700 1.654483 0.0981*
R10_R2 -0.458060 0.020632 -22.20114 0.0000***
S_P_RETURN -0.446828 1.420168 -0.314630 0.7531 DUMMY -2.960317 0.036855 -80.32400 0.0000***
C 1.497497 0.026532 56.44123 0.0000***
R-squared 0.456632 Durbin-Watson stat 0.020086 Adjusted R-squared 0.456225 F-statistic 1121.059 Log likelihood -14402.55 Prob(F-statistic) 0.000000
Company Name: TOYOTA MOTOR CORP (4521)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.655311 0.326475 -2.007233 0.0447**
DR10 -0.255523 0.142587 -1.792045 0.0731*
DR10_2 0.315343 1.295599 0.243396 0.8077 R10_R2 -0.095941 0.010552 -9.092572 0.0000***
S_P_RETURN -0.824065 0.715737 -1.151351 0.2496 DUMMY -0.390127 0.030990 -12.58877 0.0000***
C 0.384637 0.025544 15.05807 0.0000***
R-squared 0.009876 Durbin-Watson stat 0.010625 Adjusted R-squared 0.009556 F-statistic 30.83773 Log likelihood -29452.09 Prob(F-statistic) 0.000000
Table 3
Company Name: ENBRIDGE INC (2381)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.061292 0.505363 -0.121283 0.9035 DR10 -0.342085 0.147431 -2.320311 0.0203**
DR10_2 -0.581783 1.364270 -0.426443 0.6698 R10_R2 0.451428 0.019426 23.23867 0.0000***
S_P_RETURN -1.383366 0.687918 -2.010948 0.0443**
DUMMY -0.287029 0.039699 -7.230131 0.0000***
C 1.470314 0.014307 102.7662 0.0000***
R-squared 0.030457 Durbin-Watson stat 0.004895 Adjusted R-squared 0.030333 F-statistic 245.0523 Log likelihood -96660.94 Prob(F-statistic) 0.000000
Table 4
Company Name: S F X ENTERTAINMENT INC (16061) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.007279 0.002389 -3.046574 0.0029***
DR10 -1.279810 0.720358 -1.776631 0.0784*
DR10_2 -13.78461 8.127695 -1.696005 0.0928*
R10_R2 2.688810 0.151199 17.78325 0.0000***
S_P_RETURN -1.085748 2.917725 -0.372121 0.7105 DUMMY -1.176969 0.064988 -18.11043 0.0000***
C 3.167933 0.045031 70.34931 0.0000***
Adjusted R-squared 0.878483 R-squared 0.884879 Log likelihood -21.08617 F-statistic 138.3567 Durbin-Watson stat 0.707395 Prob(F-statistic) 0.000000
Table 5
Company Name: ALARIS MEDICAL SYSTEMS INC (22031) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -1.894951 2.073616 -0.913839 0.3611 DR10 -0.643887 1.337969 -0.481242 0.6305 DR10_2 14.98827 11.75204 1.275377 0.2025 R10_R2 1.777131 0.273725 6.492395 0.0000***
S_P_RETURN -4.460996 7.665960 -0.581923 0.5608 DUMMY -3.484373 0.218063 -15.97877 0.0000***
C -1.314353 0.571143 -2.301268 0.0216**
Adjusted R-squared 0.378078 R-squared 0.382266 Log likelihood -2100.835 F-statistic 91.27609 Durbin-Watson stat 0.012422 Prob(F-statistic) 0.000000
Table 6
Company Name: N B T Y INC (5651)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.805781 0.672869 -1.197531 0.2313 DR10 -0.043372 0.483863 -0.089637 0.9286 DR10_2 9.289033 4.547345 2.042737 0.0413**
R10_R2 -0.149044 0.030512 -4.884786 0.0000***
S_P_RETURN -0.450778 2.281521 -0.197578 0.8434 DUMMY -0.961356 0.141638 -6.787442 0.0000***
C 4.627431 0.042271 109.4693 0.0000***
Adjusted R-squared 0.063696 R-squared 0.067494 Log likelihood -2243.983 F-statistic 17.76907 Durbin-Watson stat 0.025271 Prob(F-statistic) 0.000000
Table 7
Company Name: STAR GAS PARTNERS LP (14237) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.010355 0.010953 -0.945356 0.3452 DR10 -0.278667 0.874999 -0.318476 0.7503 DR10_2 11.39779 10.46599 1.089032 0.2770 R10_R2 -5.550929 0.196227 -28.28825 0.0000***
S_P_RETURN -2.625212 4.456374 -0.589092 0.5562 DUMMY -1.040966 0.126032 -8.259572 0.0000***
C 7.525547 0.086330 87.17148 0.0000***
Adjusted R-squared 0.728185 R-squared 0.733363 Log likelihood -341.5032 F-statistic 141.6464 Durbin-Watson stat 0.242723 Prob(F-statistic) 0.000000
Table 8
Company Name: C H S ELECTRONICS INC (13665) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -13.21044 29.12582 -0.453565 0.6509 DR10 -11.84481 67.37280 -0.175810 0.8607 DR10_2 388.0689 569.9702 0.680858 0.4972 R10_R2 -187.6909 22.11034 -8.488827 0.0000***
S_P_RETURN -462.9410 257.7753 -1.795909 0.0749*
DUMMY -75.01070 15.58657 -4.812520 0.0000***
C 14.06040 14.51335 0.968791 0.3345 Adjusted R-squared 0.371447 R-squared 0.399591
Log likelihood -696.3906 F-statistic 14.19803 Durbin-Watson stat 0.157216 Prob(F-statistic) 0.000000
Table 9
Company Name: FRIEDE GOLDMAN INTERNATIONAL INC (15602) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -12.13866 3.208178 -3.783662 0.0002***
DR10 -3.675929 3.342856 -1.099637 0.2726 DR10_2 106.2136 30.91533 3.435628 0.0007***
R10_R2 -2.062926 0.837010 -2.464638 0.0145**
S_P_RETURN -13.68298 17.43658 -0.784728 0.4334 DUMMY -10.52311 0.374335 -28.11146 0.0000***
C 2.914086 0.308007 9.461089 0.0000***
Adjusted R-squared 0.788079 R-squared 0.793513 Log likelihood -570.7901 F-statistic 146.0310 Durbin-Watson stat 0.317837 Prob(F-statistic) 0.000000
Table 10
Company Name: K V PHARMACEUTICAL CO (2589) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.652810 2.832557 -0.230467 0.8178 DR10 -1.356061 1.357575 -0.998884 0.3181 DR10_2 -9.980395 11.08418 -0.900418 0.3682 R10_R2 -1.813234 0.530024 -3.421043 0.0007***
S_P_RETURN -0.525127 8.083427 -0.064963 0.9482 DUMMY -5.958353 0.996725 -5.977933 0.0000***
C 2.546704 0.287756 8.850236 0.0000***
Adjusted R-squared 0.239881 R-squared 0.245409 Log likelihood -1861.288 F-statistic 44.39272 Durbin-Watson stat 0.024027 Prob(F-statistic) 0.000000
Table 11
Company Name: MCCORMICK & CO INC (2801)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.099259 0.311532 -0.318615 0.7500 DR10 -0.418296 0.087483 -4.781472 0.0000***
DR10_2 2.360247 0.833533 2.831617 0.0046***
R10_R2 0.072286 0.006147 11.75989 0.0000***
S_P_RETURN -0.865748 0.420767 -2.057548 0.0396**
DUMMY -0.563111 0.012309 -45.74971 0.0000***
C 1.237294 0.009276 133.3888 0.0000***
Adjusted R-squared 0.131800 R-squared 0.132018 Log likelihood -28282.82 F-statistic 604.4378 Durbin-Watson stat 0.032057 Prob(F-statistic) 0.000000
Table 12
Company Name: WESTPOINT STEVENS INC (12318) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -3.740239 5.319494 -0.703119 0.4824 DR10 -1.642038 5.816522 -0.282306 0.7778 DR10_2 -32.01164 55.62536 -0.575486 0.5653 R10_R2 13.19793 0.393185 33.56673 0.0000***
S_P_RETURN -1.993312 23.73935 -0.083967 0.9331 DUMMY -6.547389 0.777846 -8.417336 0.0000***
C 0.181561 0.675547 0.268762 0.7882 Adjusted R-squared 0.771356 R-squared 0.774577
Log likelihood -1431.645 F-statistic 240.5271 Durbin-Watson stat 0.238519 Prob(F-statistic) 0.000000
Table 13
Company Name: GLOBAL TELESYSTEMS GRP INC (15946) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.329215 3.202537 -0.102798 0.9183 DR10 -1.091962 3.086766 -0.353756 0.7240 DR10_2 100.1578 31.44124 3.185555 0.0017***
R10_R2 -2.104894 0.997571 -2.110020 0.0364**
S_P_RETURN -22.82828 12.04029 -1.895991 0.0598*
DUMMY -1.023206 0.409343 -2.499633 0.0135**
C 5.144349 0.248645 20.68956 0.0000***
Adjusted R-squared 0.122637 R-squared 0.154736 Log likelihood -352.1071 F-statistic 4.820629 Durbin-Watson stat 0.398988 Prob(F-statistic) 0.000152
Table 14
Company Name: CHARTER ONE FINANCIAL INC (9662) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN 0.073043 0.652287 0.111980 0.9109 DR10 -0.305453 0.268605 -1.137182 0.2558 DR10_2 -2.308288 2.400227 -0.961695 0.3365 R10_R2 1.693512 0.072804 23.26121 0.0000***
S_P_RETURN -1.212264 1.481856 -0.818072 0.4136 DUMMY -0.399391 0.062597 -6.380337 0.0000***
C 1.193801 0.030446 39.21012 0.0000***
Adjusted R-squared 0.395952 R-squared 0.400377 Log likelihood -439.0656 F-statistic 90.47527 Durbin-Watson stat 0.063728 Prob(F-statistic) 0.000000
Table 15
Company Name: QWEST COMMUNICATIONS INTL INC (15545) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.002775 0.014176 -0.195722 0.8448 DR10 -0.017007 0.347087 -0.048999 0.9609 DR10_2 8.281434 3.457323 2.395331 0.0166**
R10_R2 1.613494 0.023655 68.21030 0.0000***
S_P_RETURN -0.325332 1.531136 -0.212477 0.8317 DUMMY -0.115407 0.046084 -2.504262 0.0123**
C 1.966848 0.035702 55.09033 0.0000***
Adjusted R-squared 0.466023 R-squared 0.466484 Log likelihood -13205.95 F-statistic 1011.343 Durbin-Watson stat 0.103942 Prob(F-statistic) 0.000000
Table 16
Company Name: NORTHWEST NATURAL GAS CO (3306) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.308195 0.412034 -0.747984 0.4545 DR10 -0.310802 0.110857 -2.803629 0.0051***
DR10_2 1.396296 1.031535 1.353610 0.1759 R10_R2 0.203844 0.010124 20.13386 0.0000***
S_P_RETURN -0.923668 0.543474 -1.699563 0.0892*
DUMMY -0.592285 0.020647 -28.68629 0.0000***
C 1.482266 0.011257 131.6708 0.0000***
Adjusted R-squared 0.117227 R-squared 0.117369 Log likelihood -61394.53 F-statistic 821.7303 Durbin-Watson stat 0.010631 Prob(F-statistic) 0.000000
Table 17
Company Name: EVERGREEN RESOURCES INC (5238) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.554699 0.675424 -0.821260 0.4116 DR10 -0.623574 0.333365 -1.870546 0.0615*
DR10_2 7.853321 2.989108 2.627313 0.0086***
R10_R2 0.100903 0.031394 3.214106 0.0013***
S_P_RETURN -0.391316 1.591040 -0.245950 0.8057 DUMMY -0.452398 0.061465 -7.360216 0.0000***
C 2.914535 0.032372 90.03244 0.0000***
Adjusted R-squared 0.073029 R-squared 0.074722 Log likelihood -5038.437 F-statistic 44.11994 Durbin-Watson stat 0.014273 Prob(F-statistic) 0.000000
Table 18
Company Name: OXFORD HEALTH PLANS INC (11070) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.132386 0.743643 -0.178023 0.8587 DR10 -0.220789 0.389868 -0.566317 0.5712 DR10_2 2.312423 3.528467 0.655362 0.5123 R10_R2 0.243813 0.058346 4.178770 0.0000***
S_P_RETURN -0.224246 1.891036 -0.118584 0.9056 DUMMY -0.730106 0.126104 -5.789734 0.0000***
C 1.350867 0.044091 30.63791 0.0000***
Adjusted R-squared 0.136805 R-squared 0.138212 Log likelihood -6515.983 F-statistic 98.20500 Durbin-Watson stat 0.018865 Prob(F-statistic) 0.000000
Table 19
Company Name: BRASCAN CORP (32056)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -0.010063 0.007173 -1.403016 0.1608 DR10 -0.276256 0.175343 -1.575513 0.1153 DR10_2 0.256787 1.661173 0.154582 0.8772 R10_R2 -0.355753 0.022983 -15.47911 0.0000***
S_P_RETURN -0.367927 0.816036 -0.450871 0.6521 DUMMY -1.534557 0.047462 -32.33213 0.0000***
C 1.210078 0.014915 81.13282 0.0000***
Adjusted R-squared 0.491689 R-squared 0.493176 Log likelihood -1372.956 F-statistic 331.6557 Durbin-Watson stat 0.046289 Prob(F-statistic) 0.000000
Table 20
Company Name: E TRADE GROUP INC (14915)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -4.471458 4.308650 -1.037786 0.2998 DR10 -1.578867 2.840852 -0.555772 0.5786 DR10_2 -25.57000 25.79407 -0.991313 0.3219 R10_R2 -1.920075 0.344206 -5.578273 0.0000***
S_P_RETURN -23.91885 16.02998 -1.492133 0.1362 DUMMY -11.06217 0.755940 -14.63366 0.0000***
C 1.685393 0.306987 5.490118 0.0000***
Adjusted R-squared 0.423130 R-squared 0.428823 Log likelihood -1739.235 F-statistic 75.32740 Durbin-Watson stat 0.058044 Prob(F-statistic) 0.000000
Table 21
Company Name: CROWN CASTLE INTERNATIONAL CORP (16268) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -2.828522 1.974813 -1.432299 0.1522 DR10 -1.428096 1.484367 -0.962091 0.3361 DR10_2 -7.093392 13.85520 -0.511966 0.6087 R10_R2 -1.833114 0.212636 -8.620883 0.0000***
S_P_RETURN -3.835661 7.918578 -0.484388 0.6282 DUMMY -7.699108 0.499997 -15.39831 0.0000***
C 4.509523 0.155784 28.94729 0.0000***
Adjusted R-squared 0.199539 R-squared 0.202092 Log likelihood -5188.865 F-statistic 79.14936 Durbin-Watson stat 0.030184 Prob(F-statistic) 0.000000
Table 22
Company Name: ALAMOSA HOLDINGS INC (17927) Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN -1.634623 3.422656 -0.477589 0.6332 DR10 -15.54375 4.786174 -3.247636 0.0013***
DR10_2 119.6268 49.42488 2.420377 0.0159**
R10_R2 2.478028 0.441647 5.610877 0.0000***
S_P_RETURN -9.161650 20.99894 -0.436291 0.6629 DUMMY -2.794500 0.954450 -2.927865 0.0036***
C 7.800267 0.374316 20.83874 0.0000***
Adjusted R-squared 0.304193 R-squared 0.314133 Log likelihood -1306.659 F-statistic 31.60265 Durbin-Watson stat 0.247175 Prob(F-statistic) 0.000000
Table 23
Company Name: MICHAELS STORES INC (6959)
Variable Coefficient Std. Error t-Statistic Prob.
EQUITY_RETURN 0.054605 1.000759 0.054563 0.9565 DR10 -0.099826 0.454037 -0.219862 0.8261 DR10_2 0.167400 3.823610 0.043781 0.9651 R10_R2 -0.253459 0.119245 -2.125530 0.0340**
S_P_RETURN -2.739742 2.576340 -1.063424 0.2880 DUMMY -1.149146 0.107235 -10.71614 0.0000***
C 5.752358 0.241399 23.82924 0.0000***
Adjusted R-squared 0.214011 R-squared 0.222358 Log likelihood -568.5189 F-statistic 26.63998
Adjusted R-squared 0.214011 R-squared 0.222358 Log likelihood -568.5189 F-statistic 26.63998