Table 5 Hypothesis 2 Robustness checks...

Table 5

Hypothesis 2 Robustness checks

	ICA_Index < industry median		ICA_Index < industry Q3
	Model 1	Model 2	Model 3	Model 4
Variables	NCSKEW_t	DUVOL_t	NCSKEW_t	DUVOL_t
RM_SUM_t−1	0.033 (1.07)	0.023 (1.16)	0.038 (1.47)	0.028 (1.78)*
H_ICA_t−1	−0.049* (−2.37)*	−0.031* (−2.41)*	−0.048* (−2.06)*	−0.015 (−1.00)
(H_ICARM_SUM)*_t−1	0.068 (1.86)*	0.042 (1.78)*	0.106** (2.78)*	0.057* (2.27)*
Intercept	−0.885*** (−4.34)	−0.274** (−2.09)	−0.869*** (−4.15)	−0.228* (−1.69)
∑Controls	Yes	Yes	Yes	Yes
Year	Yes	Yes	Yes	Yes
Industry	Yes	Yes	Yes	Yes
N	12,365	12,365	12,365	12,365
Adjusted R²	0.055	0.059	0.055	0.059
Model	19.15***	21.75***	19.22***	21.64***

	ICA_Index < industry median		ICA_Index < industry Q3
	Model 1	Model 2	Model 3	Model 4
Variables	NCSKEW_t	DUVOL_t	NCSKEW_t	DUVOL_t
RM_SUM_t−1	0.033 (1.07)	0.023 (1.16)	0.038 (1.47)	0.028* (1.78)
H_ICA_t−1	−0.049** (−2.37)	−0.031** (−2.41)	−0.048** (−2.06)	−0.015 (−1.00)
(H_ICA*RM_SUM)_t−1	0.068* (1.86)	0.042* (1.78)	0.106*** (2.78)	0.057** (2.27)
Intercept	−0.885*** (−4.34)	−0.274** (−2.09)	−0.869*** (−4.15)	−0.228* (−1.69)
∑Controls	Yes	Yes	Yes	Yes
Year	Yes	Yes	Yes	Yes
Industry	Yes	Yes	Yes	Yes
N	12,365	12,365	12,365	12,365
Adjusted R²	0.055	0.059	0.055	0.059
Model	19.15***	21.75***	19.22***	21.64***

Panel B: Sub-sample analysis
	ICA_Index < industry median		ICA_Index < industry Q3
	H_ICA	L_ICA	H_ICA	L_ICA
	Model 1	Model 2	Model 3	Model 4
	Dependant variable = NCSKEW_t
RM_SUM_t−1 (1)	0.073** (2.90)*	0.060 (1.83)*	0.113** (3.46)*	0.047 (1.82)*
Intercept	−1.000*** (−3.82)	−0.619** (−2.11)	−1.198*** (−3.29)	−0.666*** (−2.64)
Controls	Yes	Yes	Yes	Yes
Year	Yes	Yes	Yes	Yes
Industry	Yes	Yes	Yes	Yes
N	6,119	6,246	3,089	9,276
Adjusted R²	0.068	0.052	0.096	0.050
Model	12.90***	10.30***	10.75***	14.03***

Panel B: Sub-sample analysis
	ICA_Index < industry median		ICA_Index < industry Q3
	H_ICA	L_ICA	H_ICA	L_ICA
	Model 1	Model 2	Model 3	Model 4
	Dependant variable = NCSKEW_t
RM_SUM_t−1 (1)	0.073*** (2.90)	0.060* (1.83)	0.113*** (3.46)	0.047* (1.82)
Intercept	−1.000*** (−3.82)	−0.619** (−2.11)	−1.198*** (−3.29)	−0.666*** (−2.64)
Controls	Yes	Yes	Yes	Yes
Year	Yes	Yes	Yes	Yes
Industry	Yes	Yes	Yes	Yes
N	6,119	6,246	3,089	9,276
Adjusted R²	0.068	0.052	0.096	0.050
Model	12.90***	10.30***	10.75***	14.03***

Note(s): T statistics are reported in parentheses. ***, ** and * denote statistical significance at 1, 5 and 10%, respectively

Table 5 revisits the conclusions of H2 analysis presented in Table 4. In Panel A, we replace the ICA_Index measure with two indicator variables: 1. equal to 1 if the firm-specific ICA_Index measure is above the industry median ICA_Index and 0 otherwise (Models 1 and 2); equal to 1 if the firm-specific ICA_Index measure is above the industry 3rd quartile ICA_Index and 0 otherwise (Models 3 and 4). Both measures represent proxied for high internal control quality (H_ICA). In Panel B, we conduct subsample analysis and divide our sample into high and low ICA_Index measures. using the industry median and 3rd quartiles are cut-off points for these classifications. Models 1 and 2 use the industry median as the cut-off for high and low ICA_Index, whereas Models 3 and 4 use the industry 3rd quartile as the cut-off for high and low ICA_Index. All variables are defined in Appendix 2. Year and industry indicators are included in all models

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