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Table 7 Lock-in period, ESOP and crash risk

From: Employee stock ownership plan and stock price crash risk

Variable Lock-in period After lock-in DID test
NCSKEW (1) DUVOL (2) NCSKEW (3) DUVOL (4) NCSKEW (5) DUVOL (6)
Intercept 0.726b 0.837c 0.975 0.603 0.142 0.372
(2.01) (3.11) (0.57) (−0.50) (0.24) (0.85)
ESOP i,t-1      −0.033a − 0.039b
×Block i,t      (− 1.73) (− 2.16)
ESOP i,t-1 −0.036c − 0.046c − 0.043a − 0.288 − 0.463 −0.361
(−2.68) (− 2.92) (− 1.92) (− 1.54) (− 1.45) (− 1.54)
Block i,t      −0.003b −0.002a
     (−2.01) (−1.76)
Dturn i,t-1 0.001 0.005 0.108c 0.04 0.007 0.007
(0.06) (0.61) (2.70) (1.39) (0.72) (0.87)
Hret i,t-1 0.756c 0.556c 1.304c 0.824c 0.823c 0.592c
(12.97) (11.95) (3.81) (2.93) (10.65) (9.72)
Sigma i,t-1 −1.197 −0.1 −6.411 −1.808 −0.922 −0.77
(− 0.57) (− 0.06) (−0.74) (− 0.29) (− 0.34) (−0.38)
MB i,t-1 0.026c 0.016b 0.052 0.027 0.028c 0.017c
(3.08) (2.51) (1.38) (1.01) (3.34) (2.80)
Size i,t-1 −0.031b −0.033c −0.037 − 0.032 −0.021 − 0.025
(−2.01) (−2.87) (−0.50) (− 0.60) (− 0.97) (−1.58)
Lev i,t-1 0.103 0.026 0.387 0.246 0.058 −0.073
(1.28) (0.44) (1.04) (0.94) (0.53) (−0.92)
ROA i,t-1 −0.022c −0.026c − 0.067b −0.063c − 0.038c −0.035c
(−3.33) (−5.41) (−2.38) (−3.16) (−4.44) (−5.49)
DA i,t-1 −0.158 −0.111 − 0.679 −0.448 − 0.21 −0.123
(−1.45) (−1.37) (− 1.39) (− 1.30) (−1.42) (− 1.13)
NCSKEW i,t-1 0.095c   0.079   0.062c  
(5.96)   (1.28)   (2.98)  
DUVOL i,t-1   0.107c   0.111   0.09c
  (6.27)   (1.49)   (4.00)
Fix_ind Yes Yes Yes Yes Yes Yes
Fix_time Yes Yes Yes Yes Yes Yes
Adj-R 2 0.1495 0.1777 0.1292 0.11 0.1623 0.1875
No. of obs. 4517 4517 315 315 4832 4832
  1. Notes. This table presents regression results of the relationship during and after an ESOP’s lock-inperiod. Results (1) to (4) are estimated by regression equation:
  2. CrashRiski, t = α0 + α1 × ESOPi, t − 1 + α2 × Control  Variablest − 1 + εi, t
  3. Results (5) and (6) are estimated by regression equation
  4. \( {CrashRisk}_{i,t}={\alpha}_0+{\alpha}_1\times {ESOP}_{i,t-1}\times {Block}_{i,t}+{\alpha}_2\times {ESOP}_{i,t-1}+{\alpha}_3\times {Block}_{i,t-1}+{\alpha}_4\times Control\kern0.3em {Variables}_{t-1}+{\varepsilon}_{i,t} \)
  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