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Table 6 Mediation effect of CAR (0,5) and Stto on the relationship between ESOPs and crash risk

From: Employee stock ownership plan and stock price crash risk

Variable NCSKEW (1) NCSKEW (2) NCSKEW (3) NCSKEW (4) NCSKEW (5) DUVOL (6) DUVOL (7) DUVOL (8) DUVOL (9) DUVOL (10)
Intercept −1.968c −1.324b − 1.321b − 2.187c − 2.189c − 0.528 − 0.3 −0.292 − 0.654a −0.65a
(−3.59) (−2.53) (− 2.52) (− 4.03) (− 4.03) (− 1.38) (− 0.79) (− 0.77) (− 1.71) (− 1.70)
ESOP i,t-1 − 0.072c   − 0.035   − 0.019 − 0.062b   − 0.077   − 0.054a
(− 3.05)   (− 0.79)   (− 0.41) (− 2.33)   (− 1.41)   (− 1.67)
CAR (0,5)   − 0.98c − 0.983c     −0.343c − 0.349c   
  (−15.54) (− 15.56)     (−7.55) (−7.69)   
Stto i,t     0.336c 0.337c     0.201c 0.199c
    (7.10) (7.11)     (6.03) (5.95)
Dturn i,t-1 −0.023 −0.011 −0.011 −0.019 −0.019 −0.017 − 0.013 −0.013 − 0.015 −0.015
(−1.45) (−0.77) (−0.74) (−1.24) (−1.25) (− 1.60) (− 1.24) (−1.17) (− 1.43) (− 1.40)
Hret i,t-1 0.182c 0.268c 0.266c 0.202c 0.203c 0.222c 0.257c 0.251c 0.235c 0.23c
(3.81) (5.85) (5.80) (4.28) (4.29) (6.33) (7.37) (7.21) (6.74) (6.60)
Sigma i,t-1 −20.149c −20.094c − 20.142c −19.008c − 18.979c − 12.7c − 12.348c − 12.513c − 11.938c − 12.063c
(− 12.27) (− 12.84) (− 12.86) (− 11.65) (− 11.62) (− 10.93) (− 10.76) (− 10.90) (− 10.32) (− 10.41)
MB i,t-1 0.032c 0.017b 0.018b 0.03c 0.03c 0.012b 0.005 0.007 0.01a 0.011a
(3.77) (2.12) (2.18) (3.65) (3.59) (2.03) (0.93) (1.15) (1.68) (1.84)
Size i,t-1 0.099c 0.07c 0.07c 0.104c 0.104c 0.037b 0.025 0.026 0.039b 0.039b
(3.98) (2.94) (2.96) (4.22) (4.21) (2.12) (1.47) (1.52) (2.24) (2.28)
Lev i,t-1 0.091 −0.109 − 0.099 − 0.112 − 0.118 − 0.246c − 0.344c − 0.32c − 0.39c − 0.371c
(0.70) (− 0.88) (− 0.79) (− 0.85) (− 0.89) (− 2.70) (−3.82) (−3.54) (−4.23) (−4.00)
ROA i,t-1 − 0.014c − 0.008 − 0.007 − 0.013b − 0.013b − 0.015c − 0.012c − 0.012c − 0.014c − 0.014c
(− 2.83) (−1.58) (− 1.56) (− 2.55) (− 2.56) (− 4.16) (− 3.57) (− 3.51) (− 4.00) (− 3.97)
DA i,t-1 − 0.061 − 0.119 − 0.117 − 0.036 − 0.037 0.012 − 0.009 − 0.006 0.025 0.027
(− 0.70) (− 1.43) (− 1.42) (− 0.42) (− 0.43) (0.20) (− 0.15) (− 0.11) (0.41) (0.44)
NCSKEW i,t-1 0.124c 0.065c 0.067c 0.124c 0.123c      
(5.00) (2.75) (2.82) (5.09) (5.01)      
DUVOL i,t-1       0.045a 0.069c 0.062b 0.042a 0.038
      (1.80) (2.78) (2.51) (1.70) (1.50)
Fix_ind Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Fix_time Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Adj-R 2 0.1018 0.1827 0.1825 0.1199 0.1196 0.0715 0.0913 0.0931 0.0837 0.0844
No. of obs. 1421 1421 1421 1421 1421 1421 1421 1421 1421 1421
  1. Notes. This table presents the regression results of the mediation effect of CAR(0,5) and Stto on the relationship between ESOPs and crash risk, estimated by regression equations system:
  2. CrashRiski, t = α0 + α1 × ESOPi, t − 1 + α2 × Control  Variablest − 1 + εi, t
  3. CrashRiski, t = α0 + α1 × Car(0, 5)/Sttoi, t + α2 × Control  Variablest − 1 + εi, t
  4. CrashRiski, t = α0 + α1 × ESOPi, t − 1 + α2 × Car(0, 5)/Sttoi, t + α3 × Control  Variablest − 1 + εi, t
  5. 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