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Table 4 CAMs and stock price positive jump

From: Critical audit matters and stock price crash risk

 

(1) Probit

Full sample

(2) Logit

Full sample

(3) Probit

Subsample

(4) Logit

Subsample

Variable

Jump

Jump

Jump

Jump

CAM_TREATt-1

0.322a

0.630a

0.685

1.346

 

(0.183)

(0.329)

(0.598)

(0.985)

CAM_YEARt-1

0.610c

1.149c

0.672c

1.265c

 

(0.0700)

(0.134)

(0.186)

(0.356)

TREAT·YEARt-1

−0.0933

− 0.268

− 1.236

−2.227

 

(0.240)

(0.413)

(0.872)

(1.497)

Sizet-1

0.120c

0.218c

0.248c

0.411b

 

(0.0332)

(0.0612)

(0.0961)

(0.173)

ABS_DAt-1

−0.899b

−1.484a

−1.079

− 1.822

 

(0.426)

(0.797)

(1.140)

(2.110)

ROAt-1

0.969

1.643

1.290

1.837

 

(0.603)

(1.126)

(1.798)

(3.237)

Levt-1

−0.257

−0.471

− 0.529

− 1.003

 

(0.179)

(0.333)

(0.557)

(1.029)

Dturnt-1

0.0791b

0.140b

−0.109

− 0.174

 

(0.0345)

(0.0622)

(0.112)

(0.206)

StdWt-1

−1.384

−2.454

−2.903

−5.363

 

(1.424)

(2.607)

(3.519)

(6.461)

MBt-1

0.0437b

0.0823c

0.131c

0.238c

 

(0.0174)

(0.0315)

(0.0460)

(0.0825)

SOEt-1

0.0607

0.104

0.556b

0.970b

 

(0.0616)

(0.114)

(0.222)

(0.386)

Top1t-1

0.000107

0.000254

0.00245

0.00607

 

(0.00189)

(0.00352)

(0.00513)

(0.00973)

Independentt-1

−0.590

−1.001

−0.615

−1.309

 

(0.510)

(0.945)

(1.117)

(2.103)

Constant

−4.165c

−7.457c

−6.728c

−11.31c

 

(0.752)

(1.398)

(2.191)

(3.943)

IND

Yes

Yes

Yes

Yes

No. of obs.

3964

3964

691

691

  1. Notes. a, b and c represent the significance levels of 10%, 5%, and 1%, respectively