Microsoft Word 2007 ichrie conference Proceedings Final-Final 06-06-07. doc

 
 
Multivariate Analysis 

---

 
2007 Annual International CHRIE Conference & Exposition 
438
The main results of my empirical analysis are presented in Table 3. The book-to-market ratio is winsorized 
to reduce the influence of extreme observations (less than 1%). I report test statistics based on robust standard error 
to mitigate any heteroskedasticity in the data. Multicollinearity is not a concern in my analysis since none of the 
variables exceed a variance inflation factor (VIF) value of 2 (mean VIF = 1.25). I present three alternative 
specifications of my model (Models 1-3), and for comparative purposes, one model using the raw unadjusted 
exposure coefficient (Model 4).
13
Table 3: