Table 11 Additional robustness checks...

Table 11

Additional robustness checks

Panel A: Alternative measures of crash risk
	NCSKEW_t+2	DUVOL_t+1	ESIGMA_t+1	CRASHDUM_t+1
	(1)	(2)	(3)	(4)
IDDR_t	0.057**	0.049*	0.048***	0.014*
IDDR_t	(0.024)	(0.027)	(0.015)	(0.009)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	59,969	64,490	64,550	64,556
Adj_R²	0.037	0.064	0.066	0.045

Panel A: Alternative measures of crash risk
	NCSKEW_t+2	DUVOL_t+1	ESIGMA_t+1	CRASHDUM_t+1
	(1)	(2)	(3)	(4)
IDDR_t	0.057**	0.049*	0.048***	0.014*
IDDR_t	(0.024)	(0.027)	(0.015)	(0.009)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	59,969	64,490	64,550	64,556
Adj_R²	0.037	0.064	0.066	0.045

Panel B: Alternative model specifications
	NCSKEW_t+1
	Two-way cluster	Sic2*year FE	Excluding delaware firms	Excluding current-year firms
	(1)	(2)	(3)	(4)
IDDR_t	0.077***	0.077***	0.072**	0.077***
	(0.025)	(0.027)	(0.028)	(0.024)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	65,489	24,474	63,179	63,223
Adj_R²	0.055	0.052	0.055	0.055

Panel B: Alternative model specifications
	NCSKEW_t+1
	Two-way cluster	Sic2*year FE	Excluding delaware firms	Excluding current-year firms
	(1)	(2)	(3)	(4)
IDDR_t	0.077***	0.077***	0.072**	0.077***
	(0.025)	(0.027)	(0.028)	(0.024)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	65,489	24,474	63,179	63,223
Adj_R²	0.055	0.052	0.055	0.055

Panel C: Specific subsamples
	NCSKEW_t+1
	−0.5≤Sales growth≤1	Manufacturing firms	Excluding 2008–2009 observations	1995–2015
	(1)	(2)	(3)	(4)
IDDR_t	0.060**	0.139***	0.078***	0.075***
IDDR_t	(0.023)	(0.029)	(0.028)	(0.027)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	60,629	31,971	60,201	50,556
Adj_R²	0.054	0.059	0.059	0.054

Panel C: Specific subsamples
	NCSKEW_t+1
	−0.5≤Sales growth≤1	Manufacturing firms	Excluding 2008–2009 observations	1995–2015
	(1)	(2)	(3)	(4)
IDDR_t	0.060**	0.139***	0.078***	0.075***
IDDR_t	(0.023)	(0.029)	(0.028)	(0.027)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	60,629	31,971	60,201	50,556
Adj_R²	0.054	0.059	0.059	0.054

Panel D: Firm location issues
	NCSKEW_t+1
	State firms≥20	Excluding geographical disperse industries	Adjusted headquarter	Excluding headquarter-movers
	(1)	(2)	(3)	(4)
IDDR_t	0.077***	0.091***	0.067***	0.075***
IDDR_t	(0.024)	(0.027)	(0.024)	(0.024)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	63,223	61,478	65,489	59,637
Adj _R²	0.055	0.056	0.055	0.056

Panel D: Firm location issues
	NCSKEW_t+1
	State firms≥20	Excluding geographical disperse industries	Adjusted headquarter	Excluding headquarter-movers
	(1)	(2)	(3)	(4)
IDDR_t	0.077***	0.091***	0.067***	0.075***
IDDR_t	(0.024)	(0.027)	(0.024)	(0.024)
Controls	Y	Y	Y	Y
Firm FE	Y	Y	Y	Y
Region*Year FE	Y	Y	Y	Y
N	63,223	61,478	65,489	59,637
Adj _R²	0.055	0.056	0.055	0.056

Note(s): This table examines the robustness of rejection of the Inevitable Disclosure Doctrine (IDD) on stock price crash risk through conducting additional tests. All variables are as defined in Table A1 in Appendix. The sample period covers 1990 through 2017 except for special indication. All columns control for firm-fixed effects and region-times-year-fixed effects except for special indication. Robust standard errors are clustered at the state-of-headquarter level. Robust standard errors are reported in parentheses. Coefficients marked with *, ** and *** are significant at 10%, 5% and 1%, respectively

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