Corporate pledgeable asset ownership and stock price crash risk

Jung, Hail; Choi, Sanghak; Lee, Junyoup; Woo, Sanggeum

doi:10.1186/s40854-022-00334-9

Financial Innovation

Table 10 Alternative industry fixed effect: 10-K text-based fixed industry classifications

From: Corporate pledgeable asset ownership and stock price crash risk

	FIC-300			FIC-500
	CRASH_t	NCSKEW_t	DUVOL_t	CRASH_t	NCSKEW_t	DUVOL_t
	(1)	(2)	(3)	(4)	(5)	(6)
CPAO_t−1	− 0.223***	− 0.127***	− 0.069***	− 0.217***	− 0.123***	− 0.069***
CPAO_t−1	(0.002)	(0.000)	(0.001)	(0.003)	(0.000)	(0.001)
DTURN_t−1	0.216***	0.111***	0.074***	0.216***	0.110***	0.073***
DTURN_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.001)	(0.000)
NCSKEW_t−1	0.061***	0.045***	0.028***	0.057***	0.043***	0.027***
NCSKEW_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
SIGMA_t−1	− 4.109***	− 1.430***	− 0.903***	− 4.079***	− 1.423***	− 0.906***
SIGMA_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
RET_t−1	16.510***	14.720***	10.336***	16.356***	14.642***	10.325***
RET_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
SIZE_t−1	0.033***	0.066***	0.042***	0.037***	0.069***	0.044***
SIZE_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
MB_t−1	0.015***	0.028***	0.024***	0.015***	0.028***	0.024***
MB_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
LEV_t−1	− 0.108**	− 0.151***	− 0.112***	− 0.118**	− 0.150***	− 0.111***
LEV_t−1	(0.028)	(0.000)	(0.000)	(0.017)	(0.000)	(0.000)
ROA_t−1	0.100***	0.031**	0.008	0.099***	0.031**	0.008
ROA_t−1	(0.002)	(0.016)	(0.283)	(0.002)	(0.016)	(0.291)
ACC_t−1	0.035	− 0.001	0.002	0.037	− 0.001	0.002
ACC_t−1	(0.147)	(0.923)	(0.834)	(0.129)	(0.963)	(0.786)
R&D_t−1	0.019	− 0.095***	− 0.133***	0.036	− 0.091***	− 0.132***
R&D_t−1	(0.764)	(0.004)	(0.000)	(0.581)	(0.006)	(0.000)
R&D_MISSING_t−1	− 0.059**	− 0.001	0.007	− 0.045*	0.006	0.011
R&D_MISSING_t−1	(0.017)	(0.944)	(0.346)	(0.069)	(0.543)	(0.121)
KUR_t−1	0.030***	0.004***	0.002**	0.029***	0.004***	0.002**
KUR_t−1	(0.000)	(0.004)	(0.019)	(0.000)	(0.006)	(0.016)
GW_t−1	0.207***	0.134***	0.091***	0.209***	0.126***	0.083***
GW_t−1	(0.009)	(0.000)	(0.000)	(0.008)	(0.000)	(0.001)
LOG_FIRM_AGE_t−1	− 0.127***	− 0.081***	− 0.053***	− 0.134***	− 0.084***	− 0.056***
LOG_FIRM_AGE_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Constant	− 1.389***	− 0.165**	− 0.114**	− 1.350***	− 0.173***	− 0.119**
Constant	(0.000)	(0.012)	(0.032)	(0.000)	(0.008)	(0.026)
Year FE	Yes	Yes	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes	Yes	Yes
Observations	86,718	86,718	86,718	86,718	86,718	86,718
Pseudo/Adj. R²	0.035	0.062	0.060	0.038	0.062	0.060

This table reports our baseline regression with industry fixed effect model using 10-K text-based Fixed Industry Classification (FIC). The industry classification method is suggested by Hoberg and Phillips (2016). Column (1)–(3) and Column (4)–(6) report our baseline results using FIC-300 and FIC-500 classification, respectively. All models include controls, year, and FIC industry fixed effects. Reported in parentheses are p values based on standard errors clustered by firm
*, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. All variables are defined in “Appendix B”.

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