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 |