2007 Annual International CHRIE Conference & Exposition
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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).
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Table 3:
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