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 |