Table 7

Robustness test – CEM results

(1a)(2a)(3a)(1b)(2b)(3b)
NSKEWNSKEWNSKEWDUVOLDUVOLDUVOL
GWI0.143**  −0.000  
(2.218)  (−0.242)  
d_GWI 0.328**0.068 −0.0010.004
 (2.206)(0.561) (−0.265)(1.242)
PCR 2.267  −3.500*** 
 (0.059)  (−5.039) 
TCR  83.042**  −2.979***
  (2.105)  (−3.711)
c.d_GWI#c.PCR 129.136**  −1.601 
 (2.475)  (−1.422) 
c.d_GWI#c.TCR  −27.831  −1.675
  (−0.555)  (−1.609)
ROE0.2290.0920.1510.0020.0050.003
(1.096)(0.457)(0.734)(0.330)(0.652)(0.479)
ROA0.5890.8940.866−0.009−0.016−0.015
(0.554)(0.815)(0.811)(−0.362)(−0.641)(−0.594)
NPM−0.856*−0.968*−0.994*−0.035***−0.030***−0.033***
(−1.663)(−1.907)(−1.807)(−2.987)(−3.108)(−3.502)
BV−0.000−0.000−0.000−0.000−0.000−0.000
(−1.646)(−1.564)(−1.435)(−0.585)(−0.558)(−0.619)
_cons0.358***0.276*0.366**0.058***0.052***0.055***
(3.273)(1.843)(2.565)(22.957)(16.573)(16.585)
r20.0610.0750.0760.0680.2360.261
r2_a0.0410.0480.0480.0480.2130.239
N243243243243243243
Source(s): Created by authors
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