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 | −1.968^{c} | −1.324^{b} | − 1.321^{b} | − 2.187^{c} | − 2.189^{c} | − 0.528 | − 0.3 | −0.292 | − 0.654^{a} | −0.65^{a} |
(−3.59) | (−2.53) | (− 2.52) | (− 4.03) | (− 4.03) | (− 1.38) | (− 0.79) | (− 0.77) | (− 1.71) | (− 1.70) | |
ESOP _{ i,t-1} | − 0.072^{c} | − 0.035 | − 0.019 | − 0.062^{b} | − 0.077 | − 0.054^{a} | ||||
(− 3.05) | (− 0.79) | (− 0.41) | (− 2.33) | (− 1.41) | (− 1.67) | |||||
CAR (0,5) | − 0.98^{c} | − 0.983^{c} | −0.343^{c} | − 0.349^{c} | ||||||
(−15.54) | (− 15.56) | (−7.55) | (−7.69) | |||||||
Stto _{ i,t} | 0.336^{c} | 0.337^{c} | 0.201^{c} | 0.199^{c} | ||||||
(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} | 0.182^{c} | 0.268^{c} | 0.266^{c} | 0.202^{c} | 0.203^{c} | 0.222^{c} | 0.257^{c} | 0.251^{c} | 0.235^{c} | 0.23^{c} |
(3.81) | (5.85) | (5.80) | (4.28) | (4.29) | (6.33) | (7.37) | (7.21) | (6.74) | (6.60) | |
Sigma _{ i,t-1} | −20.149^{c} | −20.094^{c} | − 20.142^{c} | −19.008^{c} | − 18.979^{c} | − 12.7^{c} | − 12.348^{c} | − 12.513^{c} | − 11.938^{c} | − 12.063^{c} |
(− 12.27) | (− 12.84) | (− 12.86) | (− 11.65) | (− 11.62) | (− 10.93) | (− 10.76) | (− 10.90) | (− 10.32) | (− 10.41) | |
MB _{ i,t-1} | 0.032^{c} | 0.017^{b} | 0.018^{b} | 0.03^{c} | 0.03^{c} | 0.012^{b} | 0.005 | 0.007 | 0.01^{a} | 0.011^{a} |
(3.77) | (2.12) | (2.18) | (3.65) | (3.59) | (2.03) | (0.93) | (1.15) | (1.68) | (1.84) | |
Size _{ i,t-1} | 0.099^{c} | 0.07^{c} | 0.07^{c} | 0.104^{c} | 0.104^{c} | 0.037^{b} | 0.025 | 0.026 | 0.039^{b} | 0.039^{b} |
(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 | − 0.246^{c} | − 0.344^{c} | − 0.32^{c} | − 0.39^{c} | − 0.371^{c} |
(0.70) | (− 0.88) | (− 0.79) | (− 0.85) | (− 0.89) | (− 2.70) | (−3.82) | (−3.54) | (−4.23) | (−4.00) | |
ROA _{ i,t-1} | − 0.014^{c} | − 0.008 | − 0.007 | − 0.013^{b} | − 0.013^{b} | − 0.015^{c} | − 0.012^{c} | − 0.012^{c} | − 0.014^{c} | − 0.014^{c} |
(− 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} | 0.124^{c} | 0.065^{c} | 0.067^{c} | 0.124^{c} | 0.123^{c} | |||||
(5.00) | (2.75) | (2.82) | (5.09) | (5.01) | ||||||
DUVOL _{ i,t-1} | 0.045^{a} | 0.069^{c} | 0.062^{b} | 0.042^{a} | 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 |