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Table 3 Impact of ESOPs on stock price crash risk

From: Employee stock ownership plan and stock price crash risk

Variable Full samples Paired samples
NCSKEW (1) DUVOL (2) NCSKEW (3) DUVOL (4)
ESOP i,t-1 −0.104c (−3.16) − 0.109c (−4.19) − 0.025b (− 2.22) − 0.038b (− 2.47)
Dturn i,t-1 0.003 (0.63) 0.004 (0.91) 0.007 (0.99) 0.007 (1.25)
Hret i,t-1 0.238c (22.09) 0.151c (16.87) 0.705c (11.83) 0.515c (10.9)
Sigma i,t-1 −6.928c (−21) −5.675c (− 21.66) −2.785 (− 1.33) −1.021 (−0.65)
MB i,t-1 0.02c (5.96) 0.015c (5.77) 0.016c (3.76) 0.009c (2.88)
Size i,t-1 −0.042c (−9.29) − 0.029c (−8.15) −0.011 (−0.70) − 0.022a (−1.85)
Lev i,t-1 0.028b (2.39) 0.018b (2.01) 0.128 (1.64) 0.041 (0.71)
ROA i,t-1 0.000 (−0.08) 0.000 (−0.10) −0.03c (−4.69) −0.031c (−6.60)
DA i,t-1 0.000 (−0.02) 0.000 (−0.11) −0.138 (−1.30) −0.107 (−1.35)
NCSKEW i,t-1 0.067c (10.12)   0.108c (6.87)  
DUVOL i,t-1   0.077c (10.82)   0.119c (7.01)
Intercept 0.938c (8.72) 0.68c (7.98) 0.075 (0.18) 0.524a (1.69)
Fix_ind Yes Yes Yes Yes
Fix_time Yes Yes Yes Yes
Adj-R2 0.0541 0.0665 0.1554 0.1799
No. of obs. 25,391 25,391 4,832 4,832
  1. Notes. This table presents the results of the impact of ESOPs on stock price crash risk using both full samples and paired samples. Full samples cover firms in China A-share markets from 2014 to 2017 with non-missing values for crash risk, ESOPs and control variables. Paired samples cover firms adopting ESOPs and their matched firms through PSM. The empirical test model is
  2. CrashRiski, t = α0 + α1 × ESOPi, t − 1 + α2 × Control  Variablest − 1 + εi, 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