Table I, Panel B, reports the annual levels of EWCI for conglomerates in both subsamples, and Figure 1, Panel B, plots their trends.
The EWCI of bank-dependent conglomerates decreases steadily from 1984 to 1997.
Three indexes of conglomerate return, EWCI, VWCI, and RI, are used to measure the relative value of conglomerates at the macro level.
EWCI, VWCI, and RI are all negatively correlated with SPPE, M2, EQUITY, and DEBT, and positively correlated with BAA, CPRT, FEDRT, and DSCRT.
I calculate the correlations between the macro variables and EWCI for bank-dependent and bank-independent conglomerates separately.
I find that both EWCI and RI of bank-dependent conglomerates are negatively correlated with SPPE, M2, EQUITY, and DEBT, and positively correlated with BAA, CPRT, FEDRT, and DSCRT.
When I perform Dickey-Fuller tests for unit roots of my time-series variables, the results show that my conglomerate index measures, EWCI and VWCI, are both integrated of order one, i.