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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