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 7 Extension of forecasting windows

From: Corporate pledgeable asset ownership and stock price crash risk

	Two-year window [t, t + 1]			Three-year window [t, t + 2]
	CRASH	NCSKEW	DUVOL	CRASH	NCSKEW	DUVOL
	(1)	(2)	(3)	(4)	(5)	(6)
CPAO_t−1	− 0.191***	− 0.138***	− 0.083***	− 0.133	− 0.139***	− 0.078***
CPAO_t−1	(0.006)	(0.000)	(0.000)	(0.108)	(0.000)	(0.000)
DTURN_t−1	0.154***	0.113***	0.050***	0.147***	0.080***	0.027**
DTURN_t−1	(0.001)	(0.000)	(0.000)	(0.004)	(0.004)	(0.026)
NCSKEW_t−1	0.084***	0.055***	0.029***	0.096***	0.061***	0.031***
NCSKEW_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
SIGMA_t−1	− 3.764***	− 1.589***	− 0.743***	− 3.924***	− 1.800***	− 0.738***
SIGMA_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
RET_t−1	18.368***	15.951***	9.753***	18.513***	16.317***	9.237***
RET_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
SIZE_t−1	0.047***	0.083***	0.045***	0.058***	0.094***	0.049***
SIZE_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
MB_t−1	0.010**	0.023***	0.018***	0.009	0.022***	0.015***
MB_t−1	(0.023)	(0.000)	(0.000)	(0.102)	(0.000)	(0.000)
LEV_t−1	− 0.157***	− 0.225***	− 0.143***	− 0.174***	− 0.238***	− 0.144***
LEV_t−1	(0.001)	(0.000)	(0.000)	(0.003)	(0.000)	(0.000)
ROA_t−1	0.106***	0.048***	0.027***	0.099**	0.046***	0.027***
ROA_t−1	(0.001)	(0.000)	(0.000)	(0.017)	(0.000)	(0.000)
ACC_t−1	0.008	0.001	0.003	− 0.011	− 0.003	0.002
ACC_t−1	(0.724)	(0.967)	(0.628)	(0.641)	(0.815)	(0.775)
R&D_t−1	0.157**	0.085*	− 0.021	0.127	0.179***	0.015
R&D_t−1	(0.022)	(0.078)	(0.339)	(0.131)	(0.007)	(0.509)
R&D_MISSING_t−1	− 0.049**	− 0.003	0.011*	− 0.066**	− 0.007	0.009
R&D_MISSING_t−1	(0.048)	(0.801)	(0.098)	(0.028)	(0.603)	(0.191)
KUR_t−1	0.022***	0.002	0.000	0.020***	0.000	− 0.000
KUR_t−1	(0.000)	(0.175)	(0.557)	(0.000)	(0.934)	(0.459)
GW_t−1	0.236***	0.168***	0.075***	0.241**	0.185***	0.062***
GW_t−1	(0.005)	(0.000)	(0.001)	(0.022)	(0.000)	(0.009)
LOG_FIRM_AGE_t−1	− 0.143***	− 0.103***	− 0.053***	− 0.147***	− 0.108***	− 0.053***
LOG_FIRM_AGE_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Constant	− 0.193	− 0.054	− 0.014	0.457	− 0.050	− 0.047
Constant	(0.502)	(0.363)	(0.705)	(0.152)	(0.367)	(0.108)
Year FE	Yes	Yes	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes	Yes	Yes
Observations	80,946	80,946	80,946	72,615	72,615	72,615
Pseudo/Adj. R²	0.035	0.077	0.087	0.041	0.093	0.118

This table reports results of extension of forecasting windows. The sample covers the years of 1988 to 2019. The dependent variables (CRASH, NCSKEW, and DUVOL) measure during the two-year and three-year periods. The number of observations is from 88,248 (Table 2) to 80,946 and 72,615 for two-year and three-year periods, respectively. All models include controls, year, and industry fixed effects as in Table 2. 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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