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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