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Table 12 ESOPs and crash risk: DID model

From: Employee stock ownership plan and stock price crash risk

Variable NCSKEW (1) DUVOL (2)
ESOPi,t-1 × Afteri,t −0.177c −0.143c
(−3.05) (−3.00)
ESOP i,t-1 −0.005 −0.016
(−0.32) (−1.13)
After i,t 0.093b 0.087c
(2.39) (2.73)
Dturn i,t-1 −0.019c − 0.01a
(−2.86) (−1.69)
Hret i,t-1 0.318c 0.22c
(9.97) (7.97)
Sigma i,t-1 −3.959b −2.447a
(−2.40) (−1.78)
MB i,t-1 0.013c 0.012c
(3.78) (4.23)
Size i,t-1 0.036c 0.052c
(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 0.079c  
(5.02)  
DUVOL i,t-1   0.066c
  (3.81)
Intercept −1.362c −1.689c
(−4.90) (−7.37)
Fix_ind Yes Yes
Fix_time No No
Adj-R 2 0.0487 0.0664
No. of obs. 5517 5517
  1. Notes. This table reports the influence of ESOPs on crash risk using a DID model. The empirical test equation is:
  2. \( {CrashRisk}_{i,t}={\alpha}_0+{\alpha}_1\times {ESOP}_{i,t-1}\times {After}_{i,t}+{\alpha}_2\times {ESOP}_{i,t-1}+{\alpha}_3\times {After}_{i,t}+{\alpha}_4\times Control\kern0.3em {Variables}_{t-1}+{\varepsilon}_{i,t} \)
  3. The t-statistics, reported in parentheses, are based on standard errors clustered by both firm and time. Time and industry fixed effects are included. Here a, b, and c indicate statistical significance at the 10%, 5%, and 1% levels, respectively