| INST = Fund | INST = Insurance | INST = Sec | INST = QFII | INST = Social | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | |
| Variables | NCSKEWt | DUVOLt | NCSKEWt | DUVOLt | NCSKEWt | DUVOLt | NCSKEWt | DUVOLt | NCSKEWt | DUVOLt |
| RM_SUMt−1 (1) | 0.084*** (3.05) | 0.052*** (3.03) | 0.078*** (3.27) | 0.048*** (3.39) | 0.091*** (3.98) | 0.056*** (3.77) | 0.069*** (2.97) | 0.044*** (3.06) | 0.070*** (3.10) | 0.042*** (2.94) |
| INSTt−1 (2) | 1.757*** (10.53) | 1.100*** (10.12) | 3.192*** (3.55) | 2.374*** (3.97) | 3.287*** (3.86) | 1.686*** (3.02) | 2.865 (1.37) | 1.300 (0.91) | 4.943*** (4.65) | 2.711*** (3.78) |
| (1) * (2) | −0.555** (−2.70) | −0.323** (−2.50) | −0.265 (−0.18) | −0.100 (−0.10) | −3.007* (−1.89) | −1.393 (−1.36) | 0.551 (0.16) | 0.996 (0.42) | −0.079 (−0.04) | 0.752 (0.64) |
| Intercept | −0.387* (−1.91) | 0.043*** (0.33) | −0.780*** (−3.88) | −0.196 (−1.51) | −0.773*** (−3.81) | −0.211 (−1.61) | −0.819*** (−4.04) | −0.233* (−1.78) | −0.747*** (−3.74) | −0.185 (−1.44) |
| Controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Year | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Pseudo R2 | 0.066 | 0.070 | 0.057 | 0.062 | 0.056 | 0.060 | 0.028 | 0.059 | 0.058 | 0.062 |
| N | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 |
| Model | 24.40*** | 27.35*** | 19.62*** | 22.86*** | 19.27*** | 21.80*** | 19.20 | 21.75*** | 20.80*** | 23.22*** |
| Model 1 | Model 2 | Model 3 | Model 4 | Model 5 | Model 6 | Model 7 | Model 8 | Model 9 | Model 10 | |
|---|---|---|---|---|---|---|---|---|---|---|
| Variables | ||||||||||
| Intercept | −0.387* (−1.91) | 0.043*** (0.33) | −0.780*** (−3.88) | −0.196 (−1.51) | −0.773*** (−3.81) | −0.211 (−1.61) | −0.819*** (−4.04) | −0.233* (−1.78) | −0.747*** (−3.74) | −0.185 (−1.44) |
| Controls | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Year | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Pseudo | 0.066 | 0.070 | 0.057 | 0.062 | 0.056 | 0.060 | 0.028 | 0.059 | 0.058 | 0.062 |
| 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | 12,365 | |
| Model | 24.40*** | 27.35*** | 19.62*** | 22.86*** | 19.27*** | 21.80*** | 19.20 | 21.75*** | 20.80*** | 23.22*** |
Note(s): T statistics are reported in parentheses. ***, ** and * denote statistical significance at 1, 5 and 10%, respectively
Table 6 presents an analysis of the impact of institutional investors on the association between stock price crash risk and real earnings management (RM_SUMt−1). The alternative crash risk dependent variables are NCSKEWt and DUVOLt. We replace 5 institutional investor classifications (Fund, Insurance, Sec, QFII and Social) for our original institutional investor ownership percentage (INST) and regress the interaction of each of these measures against the two alternative measures of crash risk. All variables are defined in Appendix 2. Year and industry indicators are included in all models
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