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Table 3 Instrumental variable analysis

From: Corporate pledgeable asset ownership and stock price crash risk

 

CPAOt-1

CRASHt

NCSKEWt

DUVOLt

(1)

(2)

(3)

(4)

CPAO_IND_MEANt−1

0.850***

   

(0.000)

   

CPAOt−1

 

− 0.676

− 0.350*

− 0.294*

 

(0.165)

(0.084)

(0.062)

DTURNt−1

 

0.200***

0.105***

0.071***

 

(0.000)

(0.001)

(0.000)

NCSKEWt−1

 

0.066***

0.050***

0.031***

 

(0.000)

(0.000)

(0.000)

SIGMAt−1

 

− 3.757***

− 1.262***

− 0.781***

 

(0.000)

(0.000)

(0.000)

RETt−1

 

16.850***

15.007***

10.467***

 

(0.000)

(0.000)

(0.000)

SIZEt−1

0.005***

0.037***

0.068***

0.043***

(0.000)

(0.000)

(0.000)

(0.000)

MBt−1

− 0.002***

0.014***

0.027***

0.023***

(0.000)

(0.000)

(0.000)

(0.000)

LEVt−1

0.069***

− 0.120**

− 0.156***

− 0.109***

(0.000)

(0.032)

(0.000)

(0.000)

ROAt−1

0.005***

0.116***

0.034***

0.011

(0.000)

(0.000)

(0.006)

(0.130)

ACCt−1

 

0.030

− 0.002

0.001

 

(0.210)

(0.874)

(0.858)

R&Dt−1

− 0.032***

0.022

− 0.065**

− 0.118***

(0.000)

(0.730)

(0.048)

(0.000)

R&D_MISSINGt−1

− 0.011***

− 0.082***

− 0.002

0.008

(0.002)

(0.001)

(0.807)

(0.234)

KURt−1

 

0.030***

0.003***

0.002**

 

(0.000)

(0.005)

(0.023)

GWt−1

− 0.152***

0.151

0.079*

0.034

(0.000)

(0.157)

(0.090)

(0.328)

LOG_FIRM_AGEt−1

0.022***

− 0.127***

− 0.082***

− 0.051***

(0.000)

(0.000)

(0.000)

(0.000)

Constant

− 0.056***

− 1.262***

− 0.181***

− 0.125**

(0.000)

(0.000)

(0.004)

(0.013)

Year FE

No

Yes

Yes

Yes

Industry FE

No

Yes

Yes

Yes

Observations

88,237

88,237

88,237

88,237

Pseudo/Adj. R2

0.248

0.032

0.061

0.060

Kleibergen-Paap rk LM statistic (P-value)

0.000

   

Kleibergen-Paap wald rk F statistic

391.570

   

Anderson-Rubin wald test (P-value)

0.000

   

Stock-Wright LM S statistic (P-value)

0.000

   
  1. This table reports the empirical results of the effect of corporate pledgeable asset ownership on stock price crash risk using the instrumental variable approach. Column (1) reports the first-stage regression. Column (2)-(4) present the results of the second stage regression. The sample covers 88,237 U.S. public firm-year observations in CRSP and Compustat database from 1988 to 2019 with non-missing values for the crash risk measures and all independent variables. 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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