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 |