APPENDICES
Shareholder vs. Efficiency Performance of European Firms
Wesley Kaufmann
RijksUniversiteit Groningen Faculty of Economics Master Thesis for Msc IE&B
Dr. Ir. D. J. Bezemer July 19th , 2006
APPENDIX 1: Overview of secondary tables used in thesis
Table 1: Stylized portrayal of different approaches: key differences and similarities
Source:Allen, M. (2004) “The varieties of capitalism paradigm: not enough variety?”, Socio-Economic Review, (2004) 2, page 90
Table 2: Characteristics of the post-war varieties of capitalism (1950s-1970s)
Source: Schmidt, V. (2003) “French capitalism transformed, yet still a third variety of capitalism”, Economy and Society vol. 32, no. 4, page 529
APPENDIX 2: Overview of pictures used in thesis
Picture 1: Shareholder and efficiency performance scales
Shareholder performance
UK --- France --- Germany Best Worst
Efficiency performance
Germany --- France --- UK Best Worst
Picture 2: Learning curve
Source: Besanko, D. et al. (2004) “Economic of Strategy, 3rd edition”, John Wiley & Sons, Inc. 2004, Hoboken, page 96
APPENDIX 3: Overview of analysis tables
Table 3: Overview and definition of variables
Dependent variables:
Stock performance: (share price at end of sample period – share price at beginning of sample period) / share price at beginning of sample period * 100 All share prices are year end share prices
Return on assets performance: (return on assets at end of sample period – return on assets at beginning of sample period) / return on assets at beginning of sample period * 100
Definition of return on assets: (Net Income before Preferred Dividends + ((Interest Expense on Debt-Interest Capitalized) * (1-Tax Rate))) / Last Year’s Total Assets * 100
Return on equity performance: (return on equity at end of sample period – return on equity at beginning of sample period) / return on equity at beginning of sample period * 100
Definition of return on equity: Earnings Per Share / Last Year’s Book Value Per Share * 100
Asset efficiency performance: (asset efficiency at end of sample period – asset efficiency at beginning of sample period) / asset efficiency at beginning of sample period* 100 Definition of asset efficiency: sales / total assets (also see remainder of table)
Volatility of stock performance: standard deviation of stock performance variable
Volatility of return on assets performance: standard deviation return on assets performance variable Volatility of return on equity performance: standard deviation of return on equity performance variable Volatility of asset efficiency performance: standard deviation of asset efficiency variable
Independent variables:
Assets: represent the total assets of the company converted to U.S. dollars using the fiscal year end exchange rate
Book-to-market value: (1 / Market-to-book value) Definition of market-to-book value: Market price compared to the price of the company on its books
D1 – D8 Industry dummies: created manually by making use of the first digit of the Primary SIC code. Hence, d1 captures all the firms that have a SIC code starting with 1, etc. Definition of Primary SIC code: The Industry Classification Code is a four-digit system of classification that identifies a company’s primary operations.
Standard & Poor’s Compustat assigns these codes by analyzing the sales breakdown from a company’s 10K (annual report required by the Securities and Exchange Commission each year) and annual report. The assigned classification is reviewed each year when the company is updated by analyzing the product-line breakout in the 10K or annual report.
Employees: represent the number of both full and part time employees of the company. It excludes: (1) Seasonal employees (2) Emergency employees
France / Germany / UK Country dummies: created manually based on Incorporation Code-Foreign (Country Incorporation Code)
Long term debt / assets ratio: calculated manually by dividing long term debt over assets. Definition assets: see above
Definition long term debt: represents all interest bearing financial obligations, excluding amounts due within one year. It is shown net of premium (present value > face amount) or discount (present value < face amount) : it is the net figure.
Market capitalization: Market Price-Year End * Common Shares Outstanding in USD Number of years active: ( Year of beginning of sample period – Year company founded)
PE-ratio: Market Price-Year End / Earnings Per Share
Sales: represents the net sales or revenues of the company converted to U.S. dollars using the fiscal year end exchange rate.
Sales growth: (Current Year’s Net Sales or Revenues / Last Year’s Total Net Sales or Revenues - 1) * 100
Total debt: represents all interest bearing and capitalized lease obligations. It is the sum of long and short term debt
Table 4: Overview of key statistics for variables
1990-1994
Mean Median Maximum Minimum Std.dev. Observations
Stockperf 54,08 30,9 947,62 -98,17 109,63 1073 ROAperf -29,84 -25,74 889,95 -929,85 141,59 935 ROEperf -29,64 -26,62 948,91 -898,38 164,87 873 Asseteffperf 1,82 -4,86 927,26 -100 63,08 1007 Volstock 52,99 40,95 631,83 0,046 56,55 1073 VolROA 53,98 25,38 650,39 0,052 84,3 935 VolROE 63,57 28,06 691,94 0,042 97,7 873 Volasseteff 19,65 11,54 654,38 0,078 40,04 1007
Assets 4741,5 164,42 309936,8 0,37 24109,61 1018 Employees 10662,57 1098,8 398100 0 29938,63 939 Ltdebt/assets 7,8 5,6 61 0 8 1018 Marketcap 1108,45 125,81 36935,12 1,34 3312,37 993 Peratio 22,16 14,86 1750,73 -542,98 73,75 860 Sales 1824,33 127,5 55729,1 0,032 5517,18 1012 Salesgrowth 568,94 6,82 490841,2 -53,79 16027,98 940 Total debt 945,4 18,37 105512,5 0 6893,13 1018 Yearsactive 55,99 34 208 5 47,41 1329
1995-1999
Mean Median Maximum Minimum Std.dev. Observations
Stockperf 76,07 34,88 983,33 -94,74 158,22 1372 ROAperf -13,25 -14,13 938,62 -998,83 181,47 1167 ROEperf 8,31 -7,71 983,33 -898,02 201,01 1082 Asseteffperf 4,68 -5,72 966,21 -100 80,5 1253 Volstock 73,41 55,35 641,53 0,047 84,41 1372 VolROA 69,37 31,75 696,91 0,0099 104,52 1167 VolROE 83,63 43,19 689,44 0,01 114,9 1082 Volasseteff 24,39 13,46 679,9 0,056 51,42 1253
Assets 7123,18 226,27 640797,1 0,36 39664,51 1264 Employees 10929,87 1215,8 398800 0 30988,19 1126 Ltdebt/assets 11 6 3230 0 91 1262 Marketcap 2116,16 184,03 150647,5 1,83 8066,85 1188
Peratio 20,28 14,83 589,14 -457,08 37,55 1115 Sales 2416,22 178,41 137170,7 0 8536,17 1264 Salesgrowth 31,58 8,84 4604,11 -49,66 203,67 1192 Total debt 1572,36 26,09 240232,4 0 12485,07 1262 Yearsactive 60,99 39 213 10 47,41 1329
2000-2004
Mean Median Maximum Minimum Std.dev. Observations
Stockperf 3,3 -22,36 830,6 -99,98 106,26 2614 ROAperf -47,7 -42,98 991,91 -989,4 174,088 2207 ROEperf -45,4 -42,09 964,27 -989,9 190,52 1922 Asseteffperf 32,33 4,31 984,96 -283,03 116,74 2444 Volstock 51,46 42,45 585 0,011 54,74 2614 VolROA 67,87 37,24 665,88 0,021 90,3 2193 VolROE 75,07 39 667,86 0,046 99,79 1909 Volasseteff 46,06 28,5 673,61 0,017 68,5 2444
Assets 6950,07 112,4 924231,5 0,12 53469,47 2525 Employees 8090,82 517,2 440760 0 30667,46 2244 Ltdebt/assets 9,4 5,8 132 0 11 2510 Marketcap 1761,68 88,3 185678,3 0,83 9806,52 2394 Peratio 16,92 11,83 1261,89 -458,79 56,18 2106 Sales 1983,29 75,95 212572,3 -2,29 9906,96 2526 Salesgrowth 76,12 8,18 30828,25 -71,25 903,08 2255 Total debt 1656,04 11,72 343476,2 0 14731,33 2515 Yearsactive 65,99 44 218 14 47,41 1329
1990-2004
Mean Median Maximum Minimum Std.dev. Observations
Stockperf 139,23 82,57 996,72 -99,99 224,49 1030 ROAperf -27,21 -38,66 985,53 -979,78 162,7 911 ROEperf -24,62 -36,82 979,52 -972,46 193,42 842 Asseteffperf -1,54 -12,35 979,81 -100 75,7 984 Volstock 121,96 107,14 606,34 0,5 101,53 1030 VolROA 65,83 34,12 716,12 0,17 94,33 911 VolROE 79,44 39,91 710 0,004 111,3 842 Volasseteff 31,13 21,78 693,92 0,066 43,54 984
Assets 9321,59 286,93 624988,5 0,33 49353,83 979 Employees 12930,61 1540,07 412553,3 0 33156,22 864 Ltdebt/assets 9,8 6,4 1094 0 40 779 Marketcap 2166,47 202,99 104833,7 1,58 7300,4 946 Peratio 20,39 15,46 246,65 -140,03 25,66 744 Sales 2687,04 199,58 113183,9 0,018 8301,53 975 Salesgrowth 220,4 6,86 163617,3 -21,55 5472,91 897 Total debt 2090,82 37,27 202704,6 0 14141,37 978 Yearsactive 55,99 34 208 5 47,41 1329
Stock performance, ROA performance, ROE performance and Asset efficiency performance are given in %;
Volatility of Stock, ROA, ROE and Assetefficiency performance are the standard deviations of the respective performance measures; Assets, Marketcapitalization, Sales and Total Debt need to be multiplied by 1 million;
LTdebt/assets, Salesgrowth and PEratio are in %; Yearsactive is in years. Country and industry dummies have been excluded from this table, due to lack of explanatory power in this setting.
Table 5: Summary of outliers excluded from first analysis (log-type at 1000% outlier- boundary)
Number of excluded outliers (total sample)
1990-1994
Stock performance 3 (1077)
Roa performance 17 (953)
Roe performance 44 (918)
Asset efficiency performance 6 (1014) 1995-1999
Stock performance 24 (1397)
Roa performance 35 (1203)
Roe performance 58 (1141)
Asset efficiency performance 7 (1261) 2000-2004
Stock performance 8 (2623)
Roa performance 81 (2289)
Roe performance 118 (2041)
Asset efficiency performance 54 (2499) 1990-2004
Stock performance 48 (1079)
Roa performance 27 (939)
Roe performance 44 (887)
Asset efficiency performance 12 (997)
Table 6: Summary of outliers excluded from second analysis (standardized variables at 250%
outlier-boundary)
Number of excluded outliers (total sample)
1990-1994
Stock performance 60 (1077)
Roa performance 102 (953)
Roe performance 128 (918)
Asset efficiency performance 29 (1014) 1995-1999
Stock performance 153 (1397)
Roa performance 151 (1203)
Roe performance 187 (1141)
Asset efficiency performance 25 (1261) 2000-2004
Stock performance 98 (2623)
Roa performance 301 (2289)
Roe performance 341 (2041)
Asset efficiency performance 174 (2499) 1990-1999
Stock performance 256 (1069)
Roa performance 107 (956)
Roe performance 153 (916)
Asset efficiency performance 27 (1017) 1990-2004
Stock performance 292 (1079)
Roa performance 100 (939)
Roe performance 140 (887)
Asset efficiency performance 24 (997)
Table 7: Summary of Goldfeld-Quandt tests1
Indep. Variable Dep. Variable Goldfeld-Quandt F-statistic Critical F-statistic (at 10%
significance)
Assets Stock performance 1990-2004 0,97 1,12
Stock performance 1990-1994 0,86 1,12
Sales Stock performance 1990-2004 0,55 1,12
Sales growth ROA performance 1990-1994 1,38 1,12
Stock performance 1990-1994 0,71 1,12
ROE performance 1990-1994 1,13 1,12
Table 8a: Histogram of normality for 1990-19942
1 GQ F-statistics that are significantly larger than the critical F-statistic at the 10% significance level are in bold
2 Recall that tables 8a-8d are relevant for the log-form analysis
Stock performance ROA performance
0 4 8 12 16 20 24
-3 -2 -1 0 1 2
Series: Residuals Sample 11 3746 Observations 215
Mean 5.21e-16 Median 0.094114 Maximum 2.309393 Minimum -3.117667 Std. Dev. 1.091257 Skewness -0.364538 Kurtosis 2.714701
Jarque-Bera 5.491000 Probability 0.064216
0 5 10 15 20 25 30
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 59 3734 Observations 263
Mean -8.03e-16 Median 0.009803 Maximum 3.720838 Minimum -4.944217 Std. Dev. 1.377602 Skewness -0.349604 Kurtosis 3.631952
Jarque-Bera 9.733807 Probability 0.007697
ROE performance Asset efficiency performance
0 4 8 12 16 20
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 8 3734 Observations 217
Mean 3.79e-16 Median 0.054065 Maximum 3.186538 Minimum -5.716241 Std. Dev. 1.505592 Skewness -0.769861 Kurtosis 4.193727
Jarque-Bera 34.31971 Probability 0.000000
0 4 8 12 16 20
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 51 3728 Observations 160
Mean -1.35e-15 Median 0.131260 Maximum 4.107080 Minimum -5.549127 Std. Dev. 1.186131 Skewness -0.746406 Kurtosis 5.935119
Jarque-Bera 72.28940 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 10 20 30 40 50 60
-5.00 -3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 11 3746 Observations 339
Mean 4.57e-16 Median 0.234203 Maximum 2.406219 Minimum -5.687999 Std. Dev. 1.113649 Skewness -2.051866 Kurtosis 9.211462
Jarque-Bera 782.8482 Probability 0.000000
0 10 20 30 40 50
-3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 11 3746 Observations 390
Mean -5.44e-16 Median 0.128005 Maximum 2.918140 Minimum -3.779082 Std. Dev. 1.199634 Skewness -0.386975 Kurtosis 3.476668
Jarque-Bera 13.42594 Probability 0.001215
Volatility ROE performance Volatility asset efficiency performance
0 10 20 30 40 50
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 324
Mean 4.25e-17 Median 0.050413 Maximum 3.341115 Minimum -5.886181 Std. Dev. 1.288012 Skewness -0.512375 Kurtosis 4.698875
Jarque-Bera 53.13990 Probability 0.000000
0 10 20 30 40 50 60
-2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 395
Mean -2.46e-16 Median 0.136841 Maximum 4.166633 Minimum -4.471231 Std. Dev. 1.108318 Skewness -0.577108 Kurtosis 4.213127
Jarque-Bera 46.14742 Probability 0.000000
Table 8b: Histogram of normality for 1995-1999
Stock performance ROA performance
0 10 20 30 40
-5.00 -3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 64 3746 Observations 301
Mean -6.81e-16 Median 0.155434 Maximum 2.485236 Minimum -5.420601 Std. Dev. 1.184089 Skewness -0.901710 Kurtosis 5.208504
Jarque-Bera 101.9614 Probability 0.000000
0 4 8 12 16 20 24
-3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 94 3689 Observations 211
Mean 3.16e-17 Median 0.048176 Maximum 3.182665 Minimum -4.016866 Std. Dev. 1.375319 Skewness -0.306413 Kurtosis 3.033310
Jarque-Bera 3.311516 Probability 0.190947
ROE performance Asset efficiency performance
0 4 8 12 16 20 24
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 38 3746 Observations 220
Mean 1.78e-16 Median 0.119844 Maximum 3.640598 Minimum -6.162114 Std. Dev. 1.396464 Skewness -0.701277 Kurtosis 4.595207
Jarque-Bera 41.35854 Probability 0.000000
0 10 20 30 40 50
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 8 3732 Observations 438
Mean 6.08e-16 Median 0.106137 Maximum 4.034019 Minimum -4.795107 Std. Dev. 1.367474 Skewness -0.479238 Kurtosis 4.227759
Jarque-Bera 44.27574 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 10 20 30 40 50 60 70 80
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 444
Mean -3.74e-16 Median 0.164275 Maximum 2.757492 Minimum -6.598553 Std. Dev. 1.069459 Skewness -1.434493 Kurtosis 8.788256
Jarque-Bera 772.0973 Probability 0.000000
0 10 20 30 40 50
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 493
Mean -8.62e-16 Median 0.041456 Maximum 3.583436 Minimum -5.653893 Std. Dev. 1.395930 Skewness -0.476855 Kurtosis 4.048238
Jarque-Bera 41.25516 Probability 0.000000
Volatility ROE performance Volatility asset efficiency performance
0 10 20 30 40 50 60 70 80
-8 -6 -4 -2 0 2
Series: Residuals Sample 11 3746 Observations 448
Mean 1.38e-15 Median 0.168956 Maximum 3.438968 Minimum -8.145013 Std. Dev. 1.420214 Skewness -0.875146 Kurtosis 5.451539
Jarque-Bera 169.3733 Probability 0.000000
0 10 20 30 40 50 60 70
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 512
Mean 5.08e-16 Median 0.178453 Maximum 3.878451 Minimum -5.212051 Std. Dev. 1.116633 Skewness -0.891976 Kurtosis 5.303169
Jarque-Bera 181.0576 Probability 0.000000
Table 8c: Histogram of normality for 2000-2004
Stock performance ROA performance
0 10 20 30 40
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 390
Mean -3.24e-16 Median 0.094625 Maximum 3.052827 Minimum -6.108330 Std. Dev. 1.275054 Skewness -0.772952 Kurtosis 4.515180
Jarque-Bera 76.14089 Probability 0.000000
0 10 20 30 40
-8 -6 -4 -2 0 2
Series: Residuals Sample 41 3719 Observations 258
Mean -6.12e-16 Median 0.134512 Maximum 3.320433 Minimum -7.628250 Std. Dev. 1.488873 Skewness -1.065581 Kurtosis 6.444668
Jarque-Bera 176.3816 Probability 0.000000
ROE performance Asset efficiency performance
0 5 10 15 20 25 30
-3 -2 -1 0 1 2 3
Series: Residuals Sample 40 3652 Observations 240
Mean -4.18e-16 Median -0.040172 Maximum 2.821038 Minimum -3.445486 Std. Dev. 1.213529 Skewness -0.278245 Kurtosis 2.968385
Jarque-Bera 3.106799 Probability 0.211528
0 10 20 30 40 50
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 14 3746 Observations 565
Mean 1.41e-16 Median 0.132861 Maximum 3.113942 Minimum -6.037190 Std. Dev. 1.397892 Skewness -0.691907 Kurtosis 4.191220
Jarque-Bera 78.48670 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 40 80 120 160 200
-5.00 -3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 7 3746 Observations 961
Mean 1.92e-16 Median 0.244557 Maximum 2.857311 Minimum -4.829664 Std. Dev. 1.072136 Skewness -1.111726 Kurtosis 5.347348
Jarque-Bera 418.5867 Probability 0.000000
0 40 80 120 160 200
-6 -4 -2 0 2
Series: Residuals Sample 11 3746 Observations 960
Mean 3.70e-18 Median 0.060602 Maximum 3.279262 Minimum -7.091693 Std. Dev. 1.259377 Skewness -0.616385 Kurtosis 4.578647
Jarque-Bera 160.4738 Probability 0.000000
Volatility ROE performance Volatility asset efficiency performance
0 10 20 30 40 50 60 70 80
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 16 3746 Observations 797
Mean -6.52e-16 Median 0.110393 Maximum 3.519701 Minimum -5.494568 Std. Dev. 1.306582 Skewness -0.590360 Kurtosis 4.052680
Jarque-Bera 83.09511 Probability 0.000000
0 40 80 120 160
-5.00 -3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 7 3746 Observations 1014
Mean -1.21e-16 Median 0.104844 Maximum 3.030872 Minimum -4.930867 Std. Dev. 1.018461 Skewness -0.721531 Kurtosis 5.307216
Jarque-Bera 312.8896 Probability 0.000000
Table 8d: Histogram of normality for 1990-2004
Stock performance ROA performance
0 4 8 12 16 20
-3 -2 -1 0 1 2
Series: Residuals Sample 11 3746 Observations 150
Mean 5.79e-16 Median 0.071359 Maximum 2.150150 Minimum -3.122306 Std. Dev. 1.003839 Skewness -0.556038 Kurtosis 3.495047
Jarque-Bera 9.261138 Probability 0.009749
0 4 8 12 16 20 24 28 32
-6 -4 -2 0 2
Series: Residuals Sample 8 3732 Observations 186
Mean -4.82e-16 Median 0.135493 Maximum 3.455092 Minimum -7.471077 Std. Dev. 1.478386 Skewness -1.077318 Kurtosis 6.241812
Jarque-Bera 117.4265 Probability 0.000000
ROE performance Asset efficiency performance
0 4 8 12 16 20 24
-3 -2 -1 0 1 2
Series: Residuals Sample 110 3732 Observations 163
Mean 7.63e-17 Median 0.058877 Maximum 2.558047 Minimum -3.032812 Std. Dev. 1.187390 Skewness -0.215280 Kurtosis 2.751259
Jarque-Bera 1.679262 Probability 0.431870
0 2 4 6 8 10 12
-2.5 0.0 2.5
Series: Residuals Sample 110 3610 Observations 86
Mean 2.07e-17 Median 0.055293 Maximum 3.757119 Minimum -4.711518 Std. Dev. 1.435226 Skewness -0.598488 Kurtosis 4.469553
Jarque-Bera 12.87254 Probability 0.001602
Volatility stock performance Volatility ROA performance
0 5 10 15 20 25 30
-3.75 -2.50 -1.25 0.00 1.25 2.50
Series: Residuals Sample 11 3746 Observations 195
Mean -1.42e-15 Median 0.169702 Maximum 2.294719 Minimum -4.513678 Std. Dev. 1.072422 Skewness -1.202980 Kurtosis 5.684030
Jarque-Bera 105.5654 Probability 0.000000
0 4 8 12 16 20 24 28 32
-3 -2 -1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 228
Mean -1.17e-17 Median 0.116156 Maximum 2.926416 Minimum -3.365279 Std. Dev. 1.098049 Skewness -0.291579 Kurtosis 3.370633
Jarque-Bera 4.535696 Probability 0.103535
Volatility ROE performance Volatility asset efficiency performance
0 10 20 30 40
-8 -6 -4 -2 0 2
Series: Residuals Sample 110 3746 Observations 193
Mean 1.50e-16 Median 0.047298 Maximum 2.687386 Minimum -8.033914 Std. Dev. 1.378500 Skewness -1.506851 Kurtosis 9.103267
Jarque-Bera 372.5886 Probability 0.000000
0 5 10 15 20 25 30 35
-5.0 -2.5 0.0 2.5
Series: Residuals Sample 11 3746 Observations 230
Mean 1.54e-17 Median 0.117755 Maximum 3.399372 Minimum -5.139967 Std. Dev. 1.131827 Skewness -0.888204 Kurtosis 5.881166
Jarque-Bera 109.7938 Probability 0.000000
Table 9a: Histogram of normality for 1990-19943
3 Recall that tables 9a-9d are relevant for the standardized analysis
Stock performance ROA performance
0 10 20 30 40 50 60
-1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 331
Mean -7.85e-17 Median -0.092048 Maximum 2.879905 Minimum -1.631768 Std. Dev. 0.782434 Skewness 0.887566 Kurtosis 4.122885
Jarque-Bera 60.84832 Probability 0.000000
0 10 20 30 40 50 60
-2.50 -1.25 0.00 1.25 2.50 3.75
Series: Residuals Sample 11 3746 Observations 368
Mean -4.36e-17 Median 0.011153 Maximum 3.509156 Minimum -2.881355 Std. Dev. 0.951634 Skewness -0.043517 Kurtosis 4.611047
Jarque-Bera 39.91338 Probability 0.000000
ROE performance Asset efficiency performance
0 4 8 12 16 20 24 28 32
-3 -2 -1 0 1 2
Series: Residuals Sample 11 3689 Observations 149
Mean 9.91e-17 Median 0.008777 Maximum 2.445358 Minimum -2.850203 Std. Dev. 0.776823 Skewness -0.090802 Kurtosis 4.799404
Jarque-Bera 20.30644 Probability 0.000039
0 10 20 30 40 50 60 70 80
-2.50 -1.25 0.00 1.25 2.50 3.75
Series: Residuals Sample 11 3746 Observations 394
Mean 2.48e-17 Median -0.028538 Maximum 4.720906 Minimum -2.756080 Std. Dev. 0.869262 Skewness 1.014576 Kurtosis 8.369001
Jarque-Bera 540.8246 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 10 20 30 40 50
-1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 331
Mean 5.13e-17 Median -0.141498 Maximum 3.198284 Minimum -1.348566 Std. Dev. 0.822620 Skewness 1.037661 Kurtosis 4.218245
Jarque-Bera 79.86864 Probability 0.000000
0 10 20 30 40 50 60 70
-1 0 1 2 3 4
Series: Residuals Sample 11 3746 Observations 368
Mean -1.57e-17 Median -0.264884 Maximum 3.775303 Minimum -1.297576 Std. Dev. 0.942859 Skewness 1.630518 Kurtosis 5.570932
Jarque-Bera 264.4088 Probability 0.000000
Volatility ROE performance Volatility asset efficiency performance
0 5 10 15 20 25 30 35
-1 0 1 2 3
Series: Residuals Sample 11 3689 Observations 149
Mean -5.81e-17 Median -0.197536 Maximum 3.292688 Minimum -1.160475 Std. Dev. 0.803217 Skewness 1.677370 Kurtosis 6.141445
Jarque-Bera 131.1384 Probability 0.000000
0 10 20 30 40 50 60 70 80 90
-1.25 0.00 1.25 2.50 3.75 5.00
Series: Residuals Sample 11 3746 Observations 394
Mean 8.84e-17 Median -0.221282 Maximum 5.467846 Minimum -1.255884 Std. Dev. 0.864393 Skewness 2.447248 Kurtosis 11.59092
Jarque-Bera 1604.893 Probability 0.000000
Table 9b: Histogram of normality for 1995-1999
Stock performance ROA performance
0 10 20 30 40 50 60
-2 -1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 407
Mean 1.02e-16 Median -0.115717 Maximum 3.304964 Minimum -2.311279 Std. Dev. 0.855861 Skewness 0.637857 Kurtosis 3.535676
Jarque-Bera 32.46494 Probability 0.000000
0 10 20 30 40 50 60
-3 -2 -1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 432
Mean -8.74e-18 Median -0.026142 Maximum 3.043013 Minimum -3.012534 Std. Dev. 0.979632 Skewness 0.180273 Kurtosis 3.952314
Jarque-Bera 18.66409 Probability 0.000089
ROE performance Asset efficiency performance
0 5 10 15 20 25 30
-2 -1 0 1 2
Series: Residuals Sample 11 3746 Observations 195
Mean 1.38e-16 Median 2.25e-14 Maximum 2.501175 Minimum -2.503690 Std. Dev. 0.962674 Skewness 0.066929 Kurtosis 3.137992
Jarque-Bera 0.300300 Probability 0.860579
0 20 40 60 80 100
-2.5 0.0 2.5 5.0
Series: Residuals Sample 11 3746 Observations 505
Mean -7.04e-18 Median -0.047236 Maximum 6.851518 Minimum -2.464112 Std. Dev. 0.863822 Skewness 1.685622 Kurtosis 13.19635
Jarque-Bera 2426.753 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 10 20 30 40 50 60
-2 -1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 407
Mean 1.47e-16 Median -0.128051 Maximum 3.597658 Minimum -1.819027 Std. Dev. 0.935406 Skewness 0.911512 Kurtosis 4.037744
Jarque-Bera 74.62223 Probability 0.000000
0 10 20 30 40 50 60 70
-1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 432
Mean 2.81e-17 Median -0.272974 Maximum 3.234237 Minimum -1.477709 Std. Dev. 0.953615 Skewness 1.173599 Kurtosis 3.798311
Jarque-Bera 110.6395 Probability 0.000000
Volatility ROE performance Volatility asset efficiency performance
0 4 8 12 16 20 24 28
-1 0 1 2
Series: Residuals Sample 11 3746 Observations 195
Mean -1.01e-16 Median -0.198953 Maximum 2.665701 Minimum -1.571479 Std. Dev. 0.928800 Skewness 0.929173 Kurtosis 3.341115
Jarque-Bera 29.00472 Probability 0.000001
0 40 80 120 160 200 240
-4 -2 0 2 4 6
Series: Residuals Sample 11 3746 Observations 505
Mean 4.13e-17 Median -0.147500 Maximum 7.156982 Minimum -3.719249 Std. Dev. 0.843504 Skewness 2.529835 Kurtosis 17.41283
Jarque-Bera 4909.650 Probability 0.000000
Table 9c: Histogram of normality for 2000-2004
Stock performance ROA performance
0 20 40 60 80 100 120 140 160
-2 -1 0 1 2 3
Series: Residuals Sample 7 3746 Observations 931
Mean -7.62e-17 Median -0.178168 Maximum 3.658763 Minimum -1.844343 Std. Dev. 0.882247 Skewness 1.078174 Kurtosis 4.385881
Jarque-Bera 254.8808 Probability 0.000000
0 20 40 60 80 100 120 140
-2.50 -1.25 0.00 1.25 2.50 3.75
Series: Residuals Sample 11 3746 Observations 869
Mean -4.98e-17 Median -0.058551 Maximum 3.754626 Minimum -2.598973 Std. Dev. 0.934983 Skewness 0.540031 Kurtosis 4.438518
Jarque-Bera 117.1653 Probability 0.000000
ROE performance Asset efficiency performance
0 10 20 30 40 50 60 70 80
-2 -1 0 1 2 3
Series: Residuals Sample 16 3746 Observations 510
Mean 2.30e-17 Median -0.039144 Maximum 3.093965 Minimum -2.551233 Std. Dev. 0.945903 Skewness 0.389095 Kurtosis 3.780924
Jarque-Bera 25.82773 Probability 0.000002
0 40 80 120 160 200
-2.50 -1.25 0.00 1.25 2.50 3.75
Series: Residuals Sample 7 3746 Observations 967
Mean -7.18e-18 Median -0.115051 Maximum 4.407312 Minimum -2.518816 Std. Dev. 0.894569 Skewness 1.296609 Kurtosis 6.605603
Jarque-Bera 794.7594 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 10 20 30 40 50 60 70 80 90
-2 -1 0 1 2
Series: Residuals Sample 7 3746 Observations 829
Mean -1.67e-17 Median 0.078952 Maximum 2.105537 Minimum -1.903850 Std. Dev. 0.903523 Skewness -0.032615 Kurtosis 1.954301
Jarque-Bera 37.91782 Probability 0.000000
0 20 40 60 80 100 120 140
-1 0 1 2 3 4
Series: Residuals Sample 11 3746 Observations 869
Mean 1.17e-16 Median -0.250119 Maximum 3.785808 Minimum -1.345361 Std. Dev. 0.949325 Skewness 1.380990 Kurtosis 4.966743
Jarque-Bera 416.2731 Probability 0.000000
Volatility ROE performance Volatility asset efficiency performance
0 10 20 30 40 50 60 70 80 90
-1 0 1 2 3
Series: Residuals Sample 16 3746 Observations 510
Mean -9.58e-18 Median -0.188205 Maximum 3.616061 Minimum -1.522513 Std. Dev. 0.950064 Skewness 1.171028 Kurtosis 4.070113
Jarque-Bera 140.8953 Probability 0.000000
0 40 80 120 160 200
-1.25 0.00 1.25 2.50 3.75 5.00
Series: Residuals Sample 7 3746 Observations 967
Mean 4.91e-17 Median -0.223222 Maximum 5.429385 Minimum -1.354204 Std. Dev. 0.922434 Skewness 2.184280 Kurtosis 9.317768
Jarque-Bera 2377.148 Probability 0.000000
Table 9d: Histogram of normality for 1990-2004
Stock performance ROA performance
0 2 4 6 8 10 12
-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0
Series: Residuals Sample 11 3689 Observations 136
Mean 3.16e-16 Median -0.006636 Maximum 1.919223 Minimum -1.925178 Std. Dev. 0.793984 Skewness 0.168216 Kurtosis 2.509985
Jarque-Bera 2.002044 Probability 0.367504
0 5 10 15 20 25 30 35
-2 -1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 218
Mean 5.37e-17 Median -0.110572 Maximum 2.929664 Minimum -2.431160 Std. Dev. 0.907502 Skewness 0.553489 Kurtosis 4.051357
Jarque-Bera 21.17101 Probability 0.000025
ROE performance Asset efficiency performance
0 4 8 12 16
-2 -1 0 1 2
Series: Residuals Sample 110 3689 Observations 89
Mean 8.98e-17 Median 2.55e-15 Maximum 2.577124 Minimum -2.181908 Std. Dev. 0.971059 Skewness 0.578195 Kurtosis 3.877943
Jarque-Bera 7.817248 Probability 0.020068
0 10 20 30 40 50
-2 -1 0 1 2 3 4
Series: Residuals Sample 11 3746 Observations 227
Mean 5.23e-17 Median -0.073252 Maximum 4.138273 Minimum -1.860157 Std. Dev. 0.805136 Skewness 1.614543 Kurtosis 9.783998
Jarque-Bera 533.9194 Probability 0.000000
Volatility stock performance Volatility ROA performance
0 4 8 12 16 20
-2 -1 0 1 2
Series: Residuals Sample 11 3689 Observations 136
Mean 8.92e-17 Median -0.053373 Maximum 2.288769 Minimum -1.904822 Std. Dev. 0.890194 Skewness 0.353034 Kurtosis 2.445484
Jarque-Bera 4.567441 Probability 0.101904
0 4 8 12 16 20 24 28 32 36
-1 0 1 2 3
Series: Residuals Sample 11 3746 Observations 218
Mean -1.22e-17 Median -0.224019 Maximum 3.596533 Minimum -1.310413 Std. Dev. 0.971812 Skewness 1.367181 Kurtosis 4.904808
Jarque-Bera 100.8707 Probability 0.000000
Volatility ROE performance Volatility asset efficiency performance
0 2 4 6 8 10 12 14 16
-2 -1 0 1 2 3
Series: Residuals Sample 110 3689 Observations 89
Mean -1.87e-16 Median -0.224064 Maximum 3.343033 Minimum -1.880855 Std. Dev. 1.052455 Skewness 1.149339 Kurtosis 4.008190
Jarque-Bera 23.36385 Probability 0.000008
0 10 20 30 40 50
-1.25 0.00 1.25 2.50 3.75 5.00
Series: Residuals Sample 11 3746 Observations 227
Mean -9.98e-17 Median -0.108633 Maximum 5.386162 Minimum -1.760496 Std. Dev. 0.879869 Skewness 2.692271 Kurtosis 15.57254 Jarque-Bera 1769.296 Probability 0.000000
