Table 3.

This table presents dynamic panel regressions for 90 digital companies from January 1 to July 17, 2020. The dependent variable for regressions (1) is the monthly company stock returns, MR, and for (2) is the monthly market-to-book ratio, MtB. The numbers in brackets are the associated 95% confidence intervals.

Parameter	Dependent variable: MR		Parameter	Dependent variable: MtB
	(3)			(4)
	(1)	(2)		(1)	(2)
${\alpha }_0$(Const.)	$0.227$⁎⁎	$0.173$⁎⁎⁎	${\beta }_0$(Const.)	0.215	$-0139$⁎⁎
	[0.191; 0.264]	[0.143; 0.204]		[– 0.111; 0.542]	[– 0.483; –0.204]
${\alpha }_1$(MR)	$0.251$⁎⁎	$0.113$⁎⁎⁎	${\beta }_1$(MR)	$0.920$⁎⁎	$1.018$⁎⁎⁎
	[0.239; 0.261]	[0.106;0.120]		[0.803; 1.037]	[1.018; 1.019]
${\alpha }_2$(MtB)	$0.027$⁎⁎⁎	$0.023$⁎⁎	${\beta }_2$(MtB)	$1.021$⁎⁎⁎	$1.250$⁎⁎
	[0.025; 0.030]	[0.021; 0.026]		[1.021; 1.022]	[1.149; 1.351]
${\alpha }_3$(GC19)	$0.043$⁎⁎⁎		${\beta }_3$(GC19)	$0.241$⁎⁎
	[0.032; 0.055]			[0.232; 0.250]
${\alpha }_4$(GD19)		$0.019$⁎⁎	${\beta }_4$(GD19)		$0.369$⁎⁎⁎
		[0.011; 0.029]			[0.359; 0.378]
${\alpha }_5$(NOSH)	$0.046$⁎⁎	$0.039$⁎⁎⁎	${\beta }_5$(NOSH)	$-0.114$⁎⁎	$3.814$⁎
	[0.041; 0.052]	[0.034; 0.044]		[– 0.166; – 0.062]	[3.681; 3.948]
${\alpha }_6$(BETA)	$-0.206$⁎⁎⁎	$-0.176$⁎⁎	${\beta }_6$(BETA)	$-0.187$⁎⁎⁎	$-0.883$⁎⁎
	[– 0.217; –0.194]	[–0.181; –0.171]		[–1.262; –1.113]	[–0.947; –0.820]
${\alpha }_7$(VOL)	$0.807$⁎⁎	$0.706$⁎⁎	${\beta }_7$(VOL)	$4.955$⁎⁎	$0.814$⁎⁎⁎
	[0.793; 0.821]	[0.694; 0.718]		[4.770; 5.139]	[0.681; 3.948]
Observation	630	630		630	630
F-Statistics	$2.946$⁎⁎	$4.221$⁎⁎⁎		$8.792$⁎⁎	$0.4.553$⁎⁎
Instruments	106	106		106	106
Groups	90	90		90	90
P-value of AR(2)	0.176	0.248		0.612	0.780
P-value of Hansen	0.736	0.114		0.758	0.391

^*Represent 10% significance level.

^**Represent 5% significance level.

^***Represent 1% significance level.