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Table 8 Leveraged ESOPs and crash risk

From: Employee stock ownership plan and stock price crash risk

Variable

NCSKEW (1)

NCSKEW (2)

DUVOL (3)

DUVOL (4)

Dum_Lev_ESOP i,t-1

0.078c

 

0.028b

 

(2.76)

 

(2.31)

 

Lev_ESOP i,t-1

 

0.018b

 

0.008a

 

(2.18)

 

(1.95)

ESOP i,t-1

− 0.061b

− 0.039a

− 0.05c

− 0.044c

(− 2.52)

(− 1.82)

(− 2.80)

(− 2.76)

Dturn i,t-1

0.008

0.008

0.007

0.007

(1.03)

(1.04)

(1.27)

(1.28)

Hret i,t-1

0.704c

0.703c

0.515c

0.514c

(11.82)

(11.79)

(10.89)

(10.87)

Sigma i,t-1

−2.824

−2.769

−1.034

−1.015

(− 1.35)

(− 1.32)

(− 0.66)

(− 0.65)

MB i,t-1

0.016c

0.016c

0.009c

0.009c

(3.74)

(3.71)

(2.87)

(2.85)

Size i,t-1

−0.009

−0.011

−0.021a

− 0.022a

(− 0.58)

(− 0.67)

(−1.79)

(−1.84)

Lev i,t-1

0.113

0.12

0.036

0.039

(1.45)

(1.54)

(0.63)

(0.67)

ROA i,t-1

−0.029c

−0.029c

−0.031c

− 0.031c

(−4.6)

(−4.61)

(−6.57)

(−6.57)

DA i,t-1

−0.134

−0.136

− 0.106

−0.106

(−1.26)

(−1.28)

(−1.34)

(− 1.35)

NCSKEW i,t-1

0.107c

0.108c

  

(6.81)

(6.83)

  

DUVOL i,t-1

  

0.119c

0.118c

  

(7.00)

(6.99)

Intercept

0.273

0.311

0.569b

0.582b

(0.72)

(0.82)

(2.02)

(2.06)

Fix_ind

Yes

Yes

Yes

Yes

Fix_time

Yes

Yes

Yes

Yes

Adj-R 2

0.1564

0.1559

0.1802

0.1802

No. of obs.

4832

4832

4832

4832

  1. Notes. This table presents the influence of ESOP leverage on stock price crash risk. The empirical test equation is:
  2. \( {CrashRisk}_{i,t}={\alpha}_0+{\alpha}_1\times Dum\_ lev\_{ESOP}_{i,t-1}\left( Lev\_{ESOP}_{i,t-1}\right)+{\alpha}_2\times {ESOP}_{i,t-1}+{\alpha}_3\times Control\kern0.3em {Variables}_{t-1}+{\varepsilon}_{i,t} \)
  3. 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