Appendix

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COMMON EFFECT MODEL

Dependent Variable: CV?

Method: Pooled Least Squares Date: 04/10/20 Time: 18:26 Sample: 2014 2018

Included observations: 5 Cross-sections included: 26

Total pool (balanced) observations: 130

Variable Coefficient Std. Error t-Statistic Prob.

C 715.2218 1017.312 0.703051 0.4834

SCV? -1.514646 10.22996 -0.148060 0.8825

BS? 31.52959 17.47268 1.804508 0.0736

MO? 0.038027 0.015327 2.481004 0.0140

FS? -65.23418 81.13785 -0.803992 0.4230

ROE? 10.55882 151.1155 0.069873 0.9444

EPS? -0.095283 0.124634 -0.764505 0.4460 SV? -558.0649 2557.881 -0.218175 0.8277 R-squared 0.308722 Mean dependent var 23.64068 Adjusted R-squared 0.289413 S.D. dependent var 244.6317 S.E. of regression 0.336377 Akaike info criterion 13.91250 Sum squared resid 20.25376 Schwarz criterion 14.08897 Log likelihood -57.89223 Hannan-Quinn criter. 13.98421 F-statistic 15.98814 Durbin-Watson stat 2.608147 Prob(F-statistic) 0.000000

FIXED EFFECT MODEL

Method: Pooled Least Squares Date: 04/10/20 Time: 18:28 Sample: 2014 2018

C -352.2081 4235.062 -0.083165 0.9339

SCV? -0.260804 23.15859 -0.011262 0.9910 BS? -0.234318 0.102832 -2.278634 0.0242

MO? 0.053532 0.020735 2.581719 0.0108

FS? 22.39300 309.8363 0.072274 0.9425

ROE? 0.182823 0.293310 0.623309 0.5341

EPS? 0.427483 0.369114 1.158132 0.2487

SV? -330.4142 4820.183 -0.068548 0.9455 Fixed Effects (Cross)

AGRO--C -12.48130

BABP--C 23.79869

BBCA--C -84.06057 BBKP--C -39.98243

BBNI--C -82.29517

BBRI--C -94.29572 BBTN--C -39.41761 BCIC--C -4.509762 BDMN--C -43.78034

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BEKS--C 28.41657

BJBR--C -14.78289

BJTM--C 3.025919

BKSW--C 22.15185

BMAS--C -8.393819 BMRI--C -96.51873

BNBA--C 48.87001

BNGA--C -66.99916 BNII--C -34.03015 BNLI--C -46.77490 BTPN--C -46.33054

BVIC--C 34.88348

INPC--C -6.435541

MCOR--C 117.5149

NISP--C -58.89202

NOBU--C 23.17601

PNBN--C 478.1432

Effects Specification Cross-section fixed (dummy variables)

R-squared 0.685219 Mean dependent var 23.64068 Adjusted R-squared 0.594968 S.D. dependent var 244.6317 S.E. of regression 0.253958 Akaike info criterion 14.11856 Sum squared resid 9.222760 Schwarz criterion 14.84647 Log likelihood 14.87441 Hannan-Quinn criter. 14.41433 F-statistic 7.592311 Durbin-Watson stat 3.101534 Prob(F-statistic) 0.000000

CHOW TEST

Redundant Fixed Effects Tests Pool: PERSAMAAN

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 4.751030 (25,97) 0.0000

Cross-section Chi-square 145.533281 25 0.0000

Cross-section fixed effects test equation:

Method: Panel Least Squares Date: 04/10/20 Time: 18:32 Sample: 2014 2018

C 715.2218 1017.312 0.703051 0.4834

SCV? -1.514646 10.22996 -0.148060 0.8825

BS? 31.52959 17.47268 1.804508 0.0736

MO? 0.038027 0.015327 2.481004 0.0140

FS? -65.23418 81.13785 -0.803992 0.4230

ROE? 10.55882 151.1155 0.069873 0.9444

EPS? -0.095283 0.124634 -0.764505 0.4460 SV? -558.0649 2557.881 -0.218175 0.8277

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R-squared 0.308722 Mean dependent var 23.64068 Adjusted R-squared 0.289413 S.D. dependent var 244.6317 S.E. of regression 0.336377 Akaike info criterion 13.91250 Sum squared resid 20.25376 Schwarz criterion 14.08897 Log likelihood -57.89223 Hannan-Quinn criter. 13.98421 F-statistic 15.98814 Durbin-Watson stat 2.608147 Prob(F-statistic) 0.000000

RANDOM EFFECT MODEL

Method: Pooled EGLS (Cross-section random effects) Date: 04/10/20 Time: 18:35

Sample: 2014 2018 Included observations: 5 Cross-sections included: 26

Swamy and Arora estimator of component variances

C 715.2218 1043.457 0.685435 0.4944

SCV? -1.514646 10.49287 -0.144350 0.8855

BS? 0.012995 0.006392 2.032859 0.0429

MO? 0.403987 0.190364 2.122185 0.0346

FS? -65.23418 83.22308 -0.783847 0.4346

ROE? 10.55882 154.9992 0.068122 0.9458

EPS? -0.095283 0.127837 -0.745350 0.4575 SV? -558.0649 2623.618 -0.212708 0.8319 Random Effects (Cross)

AGRO--C 0.000000

BABP--C 0.000000

BBCA--C 0.000000

BBKP--C 0.000000

BBNI--C 0.000000

BBRI--C 0.000000

BBTN--C 0.000000

BCIC--C 0.000000

BDMN--C 0.000000

BEKS--C 0.000000

BJBR--C 0.000000

BJTM--C 0.000000

BKSW--C 0.000000

BMAS--C 0.000000

BMRI--C 0.000000

BNBA--C 0.000000

BNGA--C 0.000000

BNII--C 0.000000

BNLI--C 0.000000

BTPN--C 0.000000

BVIC--C 0.000000

INPC--C 0.000000

MCOR--C 0.000000

NISP--C 0.000000

NOBU--C 0.000000

PNBN--C 0.000000

Effects Specification

S.D. Rho

Cross-section random 0.000000 0.0000

Idiosyncratic random 252.8776 1.0000

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Weighted Statistics

R-squared 0.249027 Mean dependent var 23.64068 Adjusted R-squared 0.228051 S.D. dependent var 244.6317 S.E. of regression 0.269955 Sum squared resid 7415496.

F-statistic 11.87152 Durbin-Watson stat 2.608147 Prob(F-statistic) 0.000000

Unweighted Statistics

R-squared 0.266636 Mean dependent var 23.64068 Sum squared resid 21.48685 Durbin-Watson stat 2.608147

HAUSMAN TEST

Correlated Random Effects - Hausman Test Pool: PERSAMAAN

Test cross-section random effects

Test Summary

Chi-Sq.

Statistic Chi-Sq. d.f. Prob.

Cross-section random 2.396175 7 0.9347

** WARNING: estimated cross-section random effects variance is zero.

Cross-section random effects test comparisons:

Variable Fixed Random Var(Diff.) Prob.

SCV? -0.260804 -1.514646 426.219823 0.9516

BS? -0.234318 0.012995 361.817878 0.2427

MO? 0.053532 0.403987 150174.128576 0.8493 FS? 22.39300 -65.23418 89072.458755 0.7691 ROE? 0.182823 10.55882 34660.303755 0.8724

EPS? 0.427483 -0.095283 0.042765 0.5912

SV? -330.4142 -558.0649

16350786.9301

34 0.9551

Cross-section random effects test equation:

Method: Panel Least Squares Date: 04/10/20 Time: 18:40 Sample: 2014 2018

C -352.2081 4235.062 -0.083165 0.9339

SCV? -0.260804 23.15859 -0.011262 0.9910

BS? -0.234318 0.102832 -2.278634 0.0242

MO? 0.053532 0.020735 2.581719 0.0108

FS? 22.39300 309.8363 0.072274 0.9425

ROE? 0.182823 0.293310 0.623309 0.5341

EPS? 0.427483 0.369114 1.158132 0.2487

SV? -330.4142 4820.183 -0.068548 0.9455

Effects Specification

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Cross-section fixed (dummy variables)

R-squared 0.685219 Mean dependent var 23.64068 Adjusted R-squared 0.594968 S.D. dependent var 244.6317 S.E. of regression 0.253958 Akaike info criterion 14.11856 Sum squared resid 9.222760 Schwarz criterion 14.84647 Log likelihood 14.87441 Hannan-Quinn criter. 14.41433 F-statistic 7.592311 Durbin-Watson stat 3.101534 Prob(F-statistic) 0.000000

LAGRANGE MULTIPLIER TEST

Lagrange multiplier (LM) test for panel data Date: 04/10/20 Time: 18:04

Sample: 2014 2018

Total panel observations: 130 Probability in ()

Null (no rand. effect) Cross-section Period Both Alternative One-sided One-sided

Breusch-Pagan 129.6116 1.082122 130.6938 (0.0000) (0.2982) (0.0000)

Honda 11.38471 -1.040251 7.314638

(0.0000) (0.8509) (0.0000)

King-Wu 11.38471 -1.040251 1.212676

(0.0000) (0.8509) (0.1126)

GHM -- -- 129.6116

-- -- (0.0000)

DESCRIPTIVE STATISTICS

CV? SCV? BS? MO? FS? ROE? EPS? SV?

Mean 23.64068 1.428521 7.323077 0.003919 13.80742 0.036768 158.0534 0.010086 Median 2.058066 0.412385 7.000000 8.32E-05 13.95436 0.068941 33.05000 0.005989 Maximum 2719.168 12.95928 14.00000 0.401165 15.11291 0.247874 1049.000 0.084776 Minimum -158.1636 0.000950 3.000000 5.50E-08 12.68382 -1.065951 -368.0000 0.000000 Std. Dev. 244.6317 2.689758 2.691403 0.035359 0.706421 0.181551 260.8714 0.011213 Skewness 10.48253 2.716383 0.228296 11.04591 0.080097 -3.374372 1.850157 3.196126 Kurtosis 115.3354 9.993737 2.101988 124.4633 1.829400 16.55166 5.880875 18.25539 Jarque-Bera 70735.06 424.8146 5.497392 82557.50 7.561489 1241.462 119.1220 1481.935 Probability 0.000000 0.000000 0.064011 0.000000 0.022806 0.000000 0.000000 0.000000 Sum 3073.289 185.7078 952.0000 0.509476 1794.965 4.779887 20546.94 1.311210 Sum Sq. Dev. 7719962. 933.2888 934.4308 0.161285 64.37490 4.251927 8778953. 0.016219

Observations 130 130 130 130 130 130 130 130

Cross sections 26 26 26 26 26 26 26 26