Table 9 Market situation, leveraged ESOPs and crash risk

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