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} | −0.003^{c} | −0.006 | ||
(−2.37) | (−4.03) | |||
ESOP _{ i,t-1} | −0.054^{c} | −0.031^{c} | − 0.004^{b} | −0.038^{c} |
(−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} | 0.705^{c} | 0.705^{c} | 0.515^{c} | 0.515^{c} |
(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} | 0.016^{c} | 0.016^{c} | 0.009^{c} | 0.009^{c} |
(3.73) | (3.76) | (2.89) | (2.87) | |
Size _{ i,t-1} | −0.012 | −0.011 | −0.021^{a} | − 0.022^{a} |
(−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} | −0.03^{c} | −0.03^{c} | −0.031^{c} | − 0.031^{c} |
(−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} | 0.108^{c} | 0.108^{c} | ||
(6.88) | (6.88) | |||
DUVOL _{ i,t-1} | 0.119^{c} | 0.119^{c} | ||
(7.02) | (7.01) | |||
Intercept | 0.342 | 0.317 | 0.561^{b} | 0.586^{b} |
(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 |