From: Corporate pledgeable asset ownership and stock price crash risk
CRASHt | NCSKEWt | DUVOLt | |
---|---|---|---|
(1) | (2) | (3) | |
CPAOt−1 | − 0.241*** | − 0.121*** | − 0.066*** |
(0.000) | (0.000) | (0.001) | |
DTURNt−1 | 0.202*** | 0.106*** | 0.071*** |
(0.000) | (0.001) | (0.000) | |
NCSKEWt−1 | 0.066*** | 0.050*** | 0.031*** |
(0.000) | (0.000) | (0.000) | |
SIGMAt−1 | − 3.813*** | − 1.288*** | − 0.795*** |
(0.000) | (0.000) | (0.000) | |
RETt−1 | 16.830*** | 14.995*** | 10.460*** |
(0.000) | (0.000) | (0.000) | |
SIZEt−1 | 0.035*** | 0.067*** | 0.042*** |
(0.000) | (0.000) | (0.000) | |
MBt−1 | 0.015*** | 0.027*** | 0.024*** |
(0.000) | (0.000) | (0.000) | |
LEVt−1 | − 0.149*** | − 0.171*** | − 0.124*** |
(0.001) | (0.000) | (0.000) | |
ROAt−1 | 0.113*** | 0.033*** | 0.010 |
(0.001) | (0.008) | (0.182) | |
ACCt−1 | 0.030 | − 0.002 | 0.002 |
(0.204) | (0.894) | (0.838) | |
R&Dt−1 | 0.035 | − 0.058* | − 0.111*** |
(0.576) | (0.069) | (0.000) | |
R&D_MISSINGt−1 | − 0.076*** | 0.001 | 0.011* |
(0.001) | (0.904) | (0.093) | |
KURt−1 | 0.030*** | 0.004*** | 0.002** |
(0.000) | (0.005) | (0.021) | |
GWt−1 | 0.214*** | 0.112*** | 0.067*** |
(0.005) | (0.001) | (0.005) | |
LOG_FIRM_AGEt−1 | − 0.137*** | − 0.087*** | − 0.056*** |
(0.000) | (0.000) | (0.000) | |
Constant | − 1.292*** | − 0.186*** | − 0.131*** |
(0.000) | (0.003) | (0.009) | |
Year FE | Yes | Yes | Yes |
Industry FE | Yes | Yes | Yes |
Observations | 88,248 | 88,248 | 88,248 |
Pseudo/Adj. R2 | 0.032 | 0.061 | 0.060 |