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 8 Alternative variables of corporate pledgeable asset ownership

From: Corporate pledgeable asset ownership and stock price crash risk

	CPAO (PPE) = (Building + Land + Construction)/PPE			CPAO(Asset) = PPE/Asset
	CRASH_t	NCSKEW_t	DUVOL_t	CRASH_t	NCSKEW_t	DUVOL_t
	(1)	(2)	(3)	(4)	(5)	(6)
CPAO(PPE)_t−1	− 0.065***	− 0.046***	− 0.032***
CPAO(PPE)_t−1	(0.005)	(0.000)	(0.000)
CPAO(Asset)_t−1				− 0.269***	− 0.052**	− 0.017
CPAO(Asset)_t−1				(0.000)	(0.023)	(0.324)
DTURN_t−1	0.203***	0.105***	0.071***	0.201***	0.105***	0.071***
DTURN_t−1	(0.000)	(0.001)	(0.000)	(0.000)	(0.001)	(0.000)
NCSKEW_t−1	0.066***	0.050***	0.031***	0.067***	0.050***	0.031***
NCSKEW_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
SIGMA_t−1	− 3.872***	− 1.308***	− 0.812***	− 3.801***	− 1.268***	− 0.783***
SIGMA_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
RET_t−1	16.966***	14.908***	10.389***	16.792***	14.989***	10.460***
RET_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
SIZE_t−1	0.034***	0.066***	0.042***	0.036***	0.067***	0.042***
SIZE_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
MB_t−1	0.014***	0.029***	0.025***	0.014***	0.027***	0.024***
MB_t−1	(0.001)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
LEV_t−1	− 0.160***	− 0.178***	− 0.128***	− 0.123***	− 0.172***	− 0.127***
LEV_t−1	(0.000)	(0.000)	(0.000)	(0.008)	(0.000)	(0.000)
ROA_t−1	0.114***	0.036***	0.010	0.112***	0.033***	0.010
ROA_t−1	(0.002)	(0.005)	(0.164)	(0.001)	(0.008)	(0.186)
ACC_t−1	0.030	− 0.001	0.002	0.029	− 0.002	0.001
ACC_t−1	(0.210)	(0.899)	(0.783)	(0.230)	(0.871)	(0.849)
R&D_t−1	0.047	− 0.061*	− 0.118***	0.035	− 0.055*	− 0.109***
R&D_t−1	(0.464)	(0.057)	(0.000)	(0.571)	(0.086)	(0.000)
R&D_MISSING_t−1	− 0.078***	− 0.000	0.010	− 0.068***	0.003	0.012*
R&D_MISSING_t−1	(0.001)	(0.983)	(0.126)	(0.003)	(0.741)	(0.075)
KUR_t−1	0.030***	0.003***	0.002**	0.029***	0.003***	0.002**
KUR_t−1	(0.000)	(0.006)	(0.023)	(0.000)	(0.006)	(0.022)
GW_t−1	0.244***	0.127***	0.075***	0.157**	0.114***	0.073***
GW_t−1	(0.001)	(0.000)	(0.001)	(0.045)	(0.001)	(0.003)
LOG_FIRM_AGE_t−1	− 0.136***	− 0.085***	− 0.054***	− 0.141***	− 0.090***	− 0.058***
LOG_FIRM_AGE_t−1	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Constant	− 1.291***	− 0.190***	− 0.134***	− 1.221***	− 0.177***	− 0.129**
Constant	(0.000)	(0.002)	(0.007)	(0.000)	(0.004)	(0.011)
Year FE	Yes	Yes	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes	Yes	Yes
Observations	88,093	88,093	88,093	88,248	88,248	88,248
Pseudo/Adj. R²	0.032	0.061	0.060	0.032	0.061	0.060

This table reports results from alternative variables of corporate real estate. The sample covers the years of 1988–2019. Column (1)-(3) apply the first alternative independent variable, (Building + Land + Construction)/PPE. And Column (4)-(6) use the second alternative independent variable, PPE/Asset. 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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