Bivariate collenearity of all variables in each sample

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4.4 Multivariate analysis

To determine if the earnings quality and the ownership structure variables each has a distinct effect on cost of equity, the cost of equity is regressed individually on the respective variables as follows. COE = φ + φ 1 SIZE + φ 2 β + φ 3 BTMV + δ COE = φ + φ 1 Earnings quality+ δ COE = φ + φ 1 CFVR + δ COE = φ + φ 2 SSVR + δ The results are given in Table 4.8 ABRES sample and Table 4.11 ABSDATCAABSDATA sample. The coefficients of size, book to market, each of the earnings quality measures are of the expected sign and significant at the least 5 level. The coefficient of substantial shareholders‘ voting rights is negative in both samples and significant. However the coefficient of cash flowvoting rights and beta are not significant in both samples. COE is then regressed on the established risk factors size, beta and book to market ratio and each of earnings quality and ownership structure variables as follows. COE = φ + φ 1 Earnings quality + φ 2 SIZE + φ 3 β + φ 4 BTMV + δ COE = φ + φ 1 CFVR + φ 2 SIZE + φ 3 β + φ 4 BTMV + δ COE = φ + φ 1 SSVR + φ 2 SIZE + φ 3 β + φ 4 BTMV + δ The results are given in Table 4.9 ABRES sample and Table 4.12 ABSDATCAABSDATA sample. The significance and sign of each of the earnings quality and ownership structure variables do not change when these variables are 1243 regressed individually with the risk factors size, beta and book to market ratio for each sample. The results for the full regression is given in Table 4.10 ABRES sample and Table 4.13 ABSDATCAABSDATA sample. The full regression is: COE = φ + φ 1 Earnings quality + φ 2 CFVR + φ 3 SSVR + φ 4 SIZE + φ 5 β + φ 6 BTMV + δ Similar to the results of previous regressions, apart from risk factors size and book to market, all three measures of earnings quality and substantial shareholders‘ voting rights explained significantly the variation in cost of equity. Thus the significance of each of the earnings quality measures and the substantial shareholders‘ voting rights in explaining cost of equity is distinct and not driven by the underlying inter relationship between the explanatory variables. Table 4.8 COE on each of Risk factors together, ABRES, CFVR and SSVR Intercept Size Market value Beta Book to market Earnings Quality Cash flowvoting rights Substantial Shareholders‘ voting rights Predicted sign -ve +ve +ve +ve -ve -+ve R 2 0.15 0.242 -0.013 -0.001 0.022 8.743 -3.832 0.943 2.96 0.04 0.134 0.339 18.074 1.933 0.00 .137 0.020 11.273 0.777 0.05 0.164 -0.193 17.284 -2.835