From: Employee stock ownership plan and stock price crash risk
Variable | NCSKEW (1) | DUVOL (2) |
---|---|---|
ESOP_{i,t-1} × After_{i,t} | −0.177^{c} | −0.143^{c} |
(−3.05) | (−3.00) | |
ESOP _{ i,t-1} | −0.005 | −0.016 |
(−0.32) | (−1.13) | |
After _{ i,t} | 0.093^{b} | 0.087^{c} |
(2.39) | (2.73) | |
Dturn _{ i,t-1} | −0.019^{c} | − 0.01^{a} |
(−2.86) | (−1.69) | |
Hret _{ i,t-1} | 0.318^{c} | 0.22^{c} |
(9.97) | (7.97) | |
Sigma _{ i,t-1} | −3.959^{b} | −2.447^{a} |
(−2.40) | (−1.78) | |
MB _{ i,t-1} | 0.013^{c} | 0.012^{c} |
(3.78) | (4.23) | |
Size _{ i,t-1} | 0.036^{c} | 0.052^{c} |
(3.10) | (5.46) | |
Lev _{ i,t-1} | 0.046 | −0.054 |
(0.81) | (−1.16) | |
ROA _{ i,t-1} | 0.006 | 0.002 |
(1.25) | (0.62) | |
DA _{ i,t-1} | −0.116 | −0.075 |
(−1.35) | (−1.06) | |
NCSKEW _{ i,t-1} | 0.079^{c} | |
(5.02) | ||
DUVOL _{ i,t-1} | 0.066^{c} | |
(3.81) | ||
Intercept | −1.362^{c} | −1.689^{c} |
(−4.90) | (−7.37) | |
Fix_ind | Yes | Yes |
Fix_time | No | No |
Adj-R ^{2} | 0.0487 | 0.0664 |
No. of obs. | 5517 | 5517 |