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Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power over the IV.

To determine this I also performed a FE regression based on countries. The result are more or less in line with FE for the whole sample (with firmID as dummy) and OLS regression. The suprising thing actually is that for the whole sample period (so still with country dummies) some of the variables seem to be insignificant, while on the contrary, if the sample is split up in 2 sub-periods, they show to have a significant effect in both the periods.

I find this rather strange that a variable is significant for both the sub-periods, but fail to do so for the whole sample period. What could be the reason the reason for this? Is this a finance problem or should I be looking more in the statistical direction? For those with an finance background, the variables which show this pattern are market capitalization, price-to-book ratio and dividend yield.

I've uploaded the FE regression result for the Australian market. Hopefully this works clarifying.

Thanks in advance!

PS. Lagrange and Hausman test favored FE model.

Whole sample regression 2002-2012; http://www.freeimagehosting.net/newuploads/pyjot.png

Sub period 1 (2002-2012); http://www.freeimagehosting.net/newuploads/d3ull.png

Sub period 2 (2008-2012); http://www.freeimagehosting.net/newuploads/betwt.png

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