From: Employee stock ownership plan and stock price crash risk
Variable | NCSKEW (1) | NCSKEW (2) | DUVOL (3) | DUVOL (4) |
---|---|---|---|---|
Size_ESOP i,t-1 | − 0.003 | − 0.004 | ||
(−0.38) | (−0.62) | |||
Stock_ESOP i,t-1 | −0.003c | −0.006 | ||
(−2.37) | (−4.03) | |||
ESOP i,t-1 | −0.054c | −0.031c | − 0.004b | −0.038c |
(−2.71) | (−4.24) | (−2.08) | (− 3.03) | |
Dturn i,t-1 | 0.008 | 0.008 | 0.007 | 0.007 |
(1.02) | (1.03) | (1.27) | (1.27) | |
Hret i,t-1 | 0.705c | 0.705c | 0.515c | 0.515c |
(11.82) | (11.81) | (10.91) | (10.89) | |
Sigma i,t-1 | −2.79 | −2.779 | −1.02 | − 1.022 |
(−1.33) | (− 1.33) | (−0.65) | (−0.66) | |
MB i,t-1 | 0.016c | 0.016c | 0.009c | 0.009c |
(3.73) | (3.76) | (2.89) | (2.87) | |
Size i,t-1 | −0.012 | −0.011 | −0.021a | − 0.022a |
(−0.73) | (− 0.67) | (−1.73) | (−1.84) | |
Lev i,t-1 | 0.121 | 0.121 | 0.04 | 0.039 |
(1.55) | (1.56) | (0.70) | (0.68) | |
ROA i,t-1 | −0.03c | −0.03c | −0.031c | − 0.031c |
(−4.65) | (−4.62) | (−6.55) | (−6.59) | |
DA i,t-1 | −0.135 | −0.135 | − 0.106 | −0.106 |
(−1.27) | (−1.28) | (−1.34) | (− 1.35) | |
NCSKEW i,t-1 | 0.108c | 0.108c | ||
(6.88) | (6.88) | |||
DUVOL i,t-1 | 0.119c | 0.119c | ||
(7.02) | (7.01) | |||
Intercept | 0.342 | 0.317 | 0.561b | 0.586b |
(0.89) | (0.84) | (1.97) | (2.08) | |
Fix_ind | Yes | Yes | Yes | Yes |
Fix_time | Yes | Yes | Yes | Yes |
Adj-R 2 | 0.1551 | 0.1551 | 0.1799 | 0.1799 |
No. of obs. | 4832 | 4832 | 4832 | 4832 |