Supplementary Table: div_struct

The Impact of Liberalizations on Dividend Yields Allowing for Breaks in the Control Variables

Official Liberalization

First Sign

Variable

Intercept

PRE

DURING

POST

AFTER

Intercept

PRE

DURING

POST

AFTER

NUMC

-1.164

0.688

0.641

0.639

1.182

0.159

0.764

-0.094

-0.566

-0.555

-5.06

2.60

2.20

2.26

4.14

0.30

1.32

-0.17

-1.06

-1.03

CONC

-3.806

2.645

0.987

1.858

9.139

-1.728

1.608

1.861

-0.949

1.791

-3.37

1.69

0.49

1.14

4.77

-0.97

0.77

0.74

-0.46

0.88

FLAT

-0.041

0.412

0.560

0.186

0.127

-0.081

0.482

0.531

0.476

0.160

-0.29

2.36

2.75

0.96

0.57

-0.48

2.04

2.22

2.23

0.81

FXV

-5.389

1.659

-1.861

4.157

3.150

-6.622

2.695

-1.526

4.532

5.145

-2.33

0.55

-0.64

1.61

1.16

-2.45

0.77

-0.46

1.53

1.71

XMGDP

-2.502

0.514

0.705

1.047

0.830

-1.272

0.185

-0.737

-0.700

-0.423

-4.15

1.15

1.40

2.15

1.64

-1.60

0.30

-0.98

-0.92

-0.56

CCR

0.510

-0.598

-0.661

-0.338

-0.259

0.298

0.385

-1.321

-0.081

-0.070

1.14

-1.75

-1.47

-0.72

-0.49

0.50

0.59

-1.80

-0.12

-0.10

STD

-1.409

0.269

0.594

1.179

0.220

-0.865

-0.692

-0.497

0.340

0.193

-4.61

0.60

1.20

3.27

0.47

-2.46

-1.10

-0.92

0.86

0.46

Wald

Wald

LIB

-0.717

0.053

-2.499

-6.278

1.11

-3.945

5.076

1.732

0.110

2.72

-0.43

0.03

-1.32

-2.94

0.292

-1.05

1.38

0.50

0.03

0.099

Group-wise heteroskedasticity and autocorrelation-consistent t-statistics are reported below the coefficients. We estimate a model with dummy variables around the liberalization definition. This dummy variable is interacted with all the control variables. The Wald test is whether the dividend yield declines from Pre to Post liberalization. All variable definitions are presented in Table 3.