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 | 0.015^{b} | 0.011^{a} | 0.08^{b} | 0.03^{a} | ||||||
(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 | 0.026^{b} | 0.014^{a} | ||||||
(−0.13) | (0.27) | (−0.19) | (−0.78) | (2.57) | (1.83) | |||||||
ESOP _{ i,t-1} | −0.217^{c} | −0.188^{c} | − 0.16^{b} | −0.156^{c} | 0.015 | 0.024 | −0.004 | 0 | −0.053^{a} | −0.035^{b} | − 0.042^{b} | −0.039^{b} |
(− 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} | − 0.049^{a} | −0.049^{a} | − 0.023 | −0.022 | − 0.047^{c} | −0.047^{c} | − 0.03^{c} | −0.03^{c} | 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} | 0.622^{c} | 0.63^{c} | 0.48^{c} | 0.48^{c} | 0.866^{c} | 0.865^{c} | 0.667^{c} | 0.667^{c} | 1.093^{c} | 1.094^{c} | 0.859^{c} | 0.86^{c} |
(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} | −18.779^{c} | − 18.734^{c} | − 12.917^{b} | − 12.897^{b} | 10.535^{b} | 10.646^{b} | 10.024^{c} | 10.086^{c} | −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 | 0.018^{b} | 0.018^{b} | 0.011^{a} | 0.011^{a} | 0.012^{b} | 0.012^{b} | 0.007^{a} | 0.007^{a} |
(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 | 0.077^{b} | 0.077^{b} | −0.04^{b} | − 0.042^{b} | − 0.054^{c} | − 0.055^{c} |
(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 | − 0.024^{a} | − 0.024^{b} | − 0.024^{b} | − 0.031^{c} | −0.031^{c} | − 0.034^{c} | −0.034^{c} |
(−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 | − 0.305^{a} | − 0.296^{a} | − 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} | 0.184^{b} | 0.195^{b} | 0.215^{c} | 0.215^{c} | 0.108^{c} | 0.109^{c} | ||||||
(2.22) | (2.37) | (5.17) | (5.17) | (5.97) | (6.00) | |||||||
DUVOL _{ i,t-1} | 0.056 | 0.057 | 0.252^{c} | 0.253^{c} | 0.141^{c} | 0.141^{c} | ||||||
(0.72) | (0.73) | (6.04) | (6.07) | (6.82) | (6.84) | |||||||
Intercept | −1.052 | −1.061 | −1.476 | −1.479 | −2.253^{b} | −2.257^{b} | −2.487^{c} | −2.494^{c} | 0.961^{b} | 1.006^{b} | 1.34^{c} | 1.354^{c} |
(−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 |