Table 1 Details and calculation methods of variables
Variable | Symbol | Details and calculation methods |
|---|---|---|
Explained variable | NCSKEW | Negative coefficient of skewness of firm-specific weekly returns, see Eq. (2) for estimation method |
DUVOL | Down-to-up volatility of firm-specific weekly returns, see Eq.(3) for estimation method | |
Explanatory variable | TREAT·YEAR | The interactive term in the DID model |
NumCAM | The number of CAMs in one audit report | |
DumIdio | Dummy variable, whether corporate-idiosyncratic CAMs are contained in one audit report | |
NumIdio | The number of corporate-idiosyncratic CAMs in one audit report | |
Control variable | Size | Firm size, the natural log of a firm’s total assets |
ABS_DA | Firm transparency, the absolute value of discretionary accruals calculated by the modified Jones model | |
ROA | Return on total assets, calculated as income before extraordinary items divided by total assets | |
Lev | Firm financial leverage, calculated as total liabilities divided by total assets | |
Dturn | Change of annual turnover rate, calculated as the difference between the annual turnover rate for this year and last year divided by the annual turnover rate for last year | |
StdW | Standard deviation of firm-specific weekly return rates | |
MB | book-to-market ratio | |
SOE | Dummy variable, the nature of property right, equals 1 if ultimate controlling owner is the country | |
Top1 | Stock share of the largest shareholder | |
Independent | The proportion of independent directors in the board of directors | |
IND | Industry fixed effect |