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Table 9 Market situation, leveraged ESOPs and crash risk

From: Employee stock ownership plan and stock price crash risk

Variable Pre-disaster In-disaster Post-disaster
NCSKEW (1) NCSKEW (2) DUVOL (3) DUVOL (4) NCSKEW (5) NCSKEW (6) DUVOL (7) DUVOL (8) NCSKEW (9) NCSKEW (10) DUVOL (11) DUVOL (12)
Dum_Lev_ESOP i,t-1 0.087   0.019   0.015b   0.011a   0.08b   0.03a  
(0.89)   (0.23)   (2.21)   (1.72)   (2.44)   (1.73)  
Lev_ESOP i,t-1   −0.003   0.005   −0.004   −0.011   0.026b   0.014a
  (−0.13)   (0.27)   (−0.19)   (−0.78)   (2.57)   (1.83)
ESOP i,t-1 −0.217c −0.188c − 0.16b −0.156c 0.015 0.024 −0.004 0 −0.053a −0.035b − 0.042b −0.039b
(− 2.84) (− 2.64) (− 2.47) (− 2.62) (0.25) (0.46) (− 0.09) (− 0.01) (− 1.89) (− 2.41) (− 2.05) (− 2.12)
Dturn i,t-1 − 0.049a −0.049a − 0.023 −0.022 − 0.047c −0.047c − 0.03c −0.03c 0.014 0.014 0.01 0.01
(− 1.94) (− 1.95) (− 1.07) (− 1.05) (−3.04) (−3.07) (− 2.59) (− 2.61) (1.51) (1.52) (1.53) (1.53)
Hret i,t-1 0.622c 0.63c 0.48c 0.48c 0.866c 0.865c 0.667c 0.667c 1.093c 1.094c 0.859c 0.86c
(7.21) (7.29) (6.25) (6.27) (5.88) (5.88) (5.69) (5.69) (11.43) (11.43) (10.95) (10.96)
Sigma i,t-1 −18.779c − 18.734c − 12.917b − 12.897b 10.535b 10.646b 10.024c 10.086c −2.894 − 2.792 −1.116 −1.061
(− 2.92) (− 2.91) (− 2.36) (− 2.36) (2.28) (2.31) (2.86) (2.89) (−1.15) (−1.11) (−0.60) (− 0.58)
MB i,t-1 0.018 0.018 0.013 0.013 0.018b 0.018b 0.011a 0.011a 0.012b 0.012b 0.007a 0.007a
(1.42) (1.43) (1.23) (1.22) (2.23) (2.24) (1.84) (1.86) (2.37) (2.33) (1.76) (1.73)
Size i,t-1 0.045 0.048 0.052 0.052 0.06 0.06 0.077b 0.077b −0.04b − 0.042b − 0.054c − 0.055c
(0.87) (0.92) (1.18) (1.19) (1.44) (1.44) (2.42) (2.43) (−2.15) (− 2.26) (−3.95) (−4.01)
Lev i,t-1 0.223 0.207 0.029 0.028 0.096 0.097 0.043 0.043 0.099 0.109 0.032 0.035
(0.92) (0.86) (0.14) (0.14) (0.52) (0.52) (0.31) (0.31) (1.08) (1.20) (0.47) (0.52)
ROA i,t-1 −0.028 −0.031 − 0.024 − 0.024 − 0.024 − 0.024a − 0.024b − 0.024b − 0.031c −0.031c − 0.034c −0.034c
(−1.30) (− 1.45) (− 1.33) (− 1.34) (− 1.65) (− 1.66) (−2.19) (−2.17) (− 4.12) (− 4.08) (−6.18) (− 6.16)
DA i,t-1 − 0.082 − 0.086 0.044 0.044 −0.185 − 0.183 − 0.305a − 0.296a − 0.19 − 0.189 − 0.111 −0.11
(−0.22) (−0.23) (0.14) (0.14) (−0.79) (−0.78) (− 1.73) (− 1.67) (− 1.52) (− 1.52) (− 1.22) (− 1.21)
NCSKEW i,t-1 0.184b 0.195b    0.215c 0.215c    0.108c 0.109c   
(2.22) (2.37)    (5.17) (5.17)    (5.97) (6.00)   
DUVOL i,t-1    0.056 0.057    0.252c 0.253c    0.141c 0.141c
   (0.72) (0.73)    (6.04) (6.07)    (6.82) (6.84)
Intercept −1.052 −1.061 −1.476 −1.479 −2.253b −2.257b −2.487c −2.494c 0.961b 1.006b 1.34c 1.354c
(−0.84) (−0.85) (−1.40) (−1.41) (−2.20) (−2.21) (−3.21) (−3.22) (2.16) (2.26) (4.12) (4.17)
Fix_ind Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Fix_time Yes Yes Yes Yes   Yes Yes Yes Yes
Adj-R 2 0.2236 0.2215 0.201 0.2013 0.0949 0.0949 0.1112 0.1121 0.1377 0.1378 0.1453 0.1457
No. of obs. 354 354 354 354 662 662 662 662 3816 3816 3816 3816
  1. Notes. This table presents the influence of ESOP leverage on stock price crash risk over three sub samples: pre-disaster (samples before June 2015), in-disaster (samples from June 2015 to October 2015) and post-disaster (samples after October 2015). 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