1. * adjust path to your file

  2. use LBO_HLP, clear

3

4

  1. *Table 1

  2. sum volume scaledvolume assetvalue riskpremium EbitdaSpread ///

  3. HYSpread GZSpread ///

  4. if inrange(dateq,yq(1982,4),yq(2011,4)), f separator(0)

9

10

  1. *Table 2

  2. local regressors = `" "riskpremium" "EbitdaSpread" "' ///

13 + `" "riskpremium EbitdaSpread" "HYSpread" "riskpremium HYSpread" "' ///

14 + `" "GZSpread" "riskpremium GZSpread" "' ///

15 + `" "EbitdaSpread HYSpread GZSpread" "' ///

16 + `" "riskpremium EbitdaSpread HYSpread GZSpread" "'

17

  1. * Panel a

  2. qui foreach regressor of local regressors{

  3. eststo: ivreg2 scaledvolume `regressor' i.quarter ///

21 if inrange(dateq,yq(1982,4),yq(2011,4)) ///

22 , kernel(bar) bw(5) robust

23 }

24

  1. esttab, b(%8.2f) se compress drop(*quarter) title("Volume")

  2. eststo clear

27

  1. * Panel b

  2. qui foreach regressor of local regressors{

  3. eststo: ivreg2 assetvalue `regressor' i.quarter ///

31 if inrange(dateq,yq(1982,4),yq(2011,4)) ///

32 , kernel(bar) bw(5) robust

33 }

34

  1. esttab, b(%8.2f) se compress drop(*quarter) title("Value")

  2. eststo clear

37

38

39

40