Table 9 Alternative crash risk measures based on Fama–French 5-factor model

CPAO_t−1

− 0.232***

− 0.124***

− 0.071***

(0.001)

(0.000)

(0.000)

DTURN_t−1

0.193***

0.114***

0.074***

(0.000)

(0.000)

(0.000)

NCSKEW_t−1

0.069***

0.050***

0.030***

(0.000)

(0.000)

(0.000)

SIGMA_t−1

− 3.389***

− 1.376***

− 0.882***

(0.000)

(0.000)

(0.000)

RET_t−1

16.825***

14.485***

9.785***

(0.000)

(0.000)

(0.000)

SIZE_t−1

0.040***

0.063***

0.037***

(0.000)

(0.000)

(0.000)

MB_t−1

0.014***

0.024***

0.019***

(0.000)

(0.000)

(0.000)

LEV_t−1

− 0.169***

− 0.163***

− 0.116***

(0.000)

(0.000)

(0.000)

ROA_t−1

0.094***

0.035***

0.011

(0.003)

(0.007)

(0.148)

ACC_t−1

0.007

0.000

0.006

(0.746)

(0.971)

(0.486)

R&D_t−1

0.078

− 0.037

− 0.089***

(0.201)

(0.252)

(0.000)

R&D_MISSING_t−1

− 0.056**

0.004

0.012*

(0.016)

(0.673)

(0.073)

KUR_t−1

0.027***

0.003**

0.002**

(0.000)

(0.011)

(0.026)

GW_t−1

0.228***

0.119***

0.071***

(0.002)

(0.001)

(0.003)

LOG_FIRM_AGE_t−1

− 0.140***

− 0.082***

− 0.050***

(0.000)

(0.000)

(0.000)

Constant

− 1.250***

− 0.128**

− 0.053

(0.000)

(0.037)

(0.307)

Year FE

Yes

Yes

Yes

Industry FE

Yes

Yes

Yes

Observations

88,201

88,201

88,201

Pseudo/Adj. R²

0.033

0.053

0.046