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Financial Innovation

Table 5 Coefficient stability test (Oster’s δ)

From: Corporate pledgeable asset ownership and stock price crash risk

Oster’s δ

Rmax = 1.3 × \(\tilde{R }\)

Models

Dependent variables

Test variables

Rmax

δ

(1)

NCSKEWt

CPAOt−1

0.081

26.409

(2)

DUVOLt

CPAOt−1

0.079

271.923

Rmax = 2.0 × \(\tilde{R }\)

(1)

NCSKEWt

CPAOt−1

0.124

7.991

(2)

DUVOLt

CPAOt−1

0.121

82.024

Rmax = 3.0 × \(\tilde{R }\)

(1)

NCSKEWt

CPAOt−1

0.186

4.003

(2)

DUVOLt

CPAOt−1

0.182

41.060

  1. This table presents the results of coefficient stability test proposed by Oster (2017). Oster’s (2017) formula provides a proportionality coefficient, δ, that compares the strength of selection on observable variables and unobservable variables, suggesting one as a cutoff δ-value for the comparison. Rmax is the R-squared value from a hypothetical regression including both observable and unobservable controls and \(\tilde{R }\) is the R-squared value from our baseline regression
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