From: Employee stock ownership plan and stock price crash risk
Variable | NCSKEW (1) | NCSKEW (2) | DUVOL (3) | DUVOL (4) |
---|---|---|---|---|
Price_ESOP i,t-1 | 0.002a | 0.001 | ||
(1.70) | (1.17) | |||
R_Price_ESOP i,t-1 | − 0.039 | −0.033 | ||
(−1.34) | (−1.52) | |||
ESOP i,t-1 | −0.057b | −0.011c | − 0.054c | −0.015c |
(−2.06) | (−3.05) | (− 2.63) | (−5.70) | |
Dturn i,t-1 | 0.008 | 0.007 | 0.007 | 0.007 |
(1.03) | (0.99) | (1.27) | (1.22) | |
Hret i,t-1 | 0.705c | 0.709c | 0.514c | 0.518c |
(11.82) | (11.88) | (10.88) | (10.96) | |
Sigma i,t-1 | −2.931 | −2.697 | −1.103 | −0.942 |
(−1.40) | (− 1.29) | (− 0.71) | (− 0.60) | |
MB i,t-1 | 0.015c | 0.016c | 0.009c | 0.009c |
(3.63) | (3.73) | (2.79) | (2.86) | |
Size i,t-1 | −0.009 | −0.012 | −0.021a | − 0.023a |
(−0.54) | (− 0.72) | (−1.75) | (−1.89) | |
Lev i,t-1 | 0.113 | 0.121 | 0.035 | 0.039 |
(1.45) | (1.56) | (0.61) | (0.68) | |
ROA i,t-1 | −0.031c | −0.029c | −0.032c | − 0.031c |
(−4.83) | (−4.61) | (−6.69) | (−6.56) | |
DA i,t-1 | −0.131 | −0.133 | − 0.104 | −0.104 |
(−1.23) | (−1.25) | (−1.32) | (− 1.33) | |
NCSKEW i,t-1 | 0.107c | 0.109c | ||
(6.75) | (6.90) | |||
DUVOL i,t-1 | 0.117c | 0.119c | ||
(6.92) | (7.04) | |||
Intercept | 0.282 | 0.333 | 0.567b | 0.596b |
(0.74) | (0.88) | (2.01) | (2.11) | |
Fix_ind | Yes | Yes | Yes | Yes |
Fix_time | Yes | Yes | Yes | Yes |
Adj-R 2 | 0.1556 | 0.1554 | 0.1801 | 0.1803 |
No. of obs. | 4832 | 4832 | 4832 | 4832 |