Table 4 Association of leverage...

Table 4

Association of leverage components and idiosyncratic risk – First-difference OLS regression (1986–2016) with lagged levels and fixed effects for size deciles, book to market deciles, industry and year (N = 102,928) – Operating and financial liabilities and other categories

Dependent/Independent variable	Equation (2a)			Equation (2b)			Equation (2c)
Dependent/Independent variable	ΔIRISK_t	ΔIRISK_t3	ΔIRISK_t5	ΔIRISK_t	ΔIRISK_t3	ΔIRISK_t5	ΔIRISK_t	ΔIRISK_t3	ΔIRISK_t5
Δ(TOL/CE)_t	0.1843^*** (26.3928)	0.1358^*** (22.9938)	0.1399^*** (22.4458)
Δ(COL/CE)_t				0.1738^*** (26.0986)	0.1245^*** (21.5381)	0.1301^*** (22.1968)
Δ(COLx/CE)_t							0.1709^*** (25.5755)	0.1232^*** (21.0416)	0.1282^*** (21.6365)
Δ(IP/CE)_t							0.0022 (0.5797)	0.0037 (1.0404)	0.0035 (0.9934)
Δ(NCOL/CE)_t				0.0556^*** (11.0913)	0.0461^*** (10.6451)	0.0470^*** (10.1565)
Δ(DTX/CE)_t							0.0009 (0.2522)	−0.0054 (−1.6310)	−0.0018 (−0.5334)
Δ(ONCL/CE)_t							0.0603^*** (11.6763)	0.0481^*** (10.7816)	0.0490^*** (10.2432)
Δ(TFL/CE)_t	0.1244^*** (18.6886)	0.0858^*** (14.9791)	0.0889^*** (14.6341)
Δ(STD/CE)_t				0.0884^*** (15.9127)	0.0674^*** (13.4346)	0.0657^*** (12.6078)	0.0864^*** (15.3855)	0.0669^*** (13.1948)	0.0648^*** (12.3021)
Δ(NCFL/CE)_t				0.0675^*** (11.8205)	0.0394^*** (7.6746)	0.0427^*** (8.1076)
Δ(LTD/CE)_t							0.0618^*** (10.5156)	0.0385^*** (7.1709)	0.0398^*** (7.2717)
Δ(CapL/CE)_t							0.0273^*** (5.7467)	0.0130^*** (3.0651)	0.0171^*** (3.9583)
Δ(STD_ROA)_t	0.0665^*** (14.6759)	0.0991^*** (22.5218)	0.0770^*** (16.6983)	0.0649^*** (14.3745)	0.0977^*** (22.2926)	0.0757^*** (16.4841)	0.0644^*** (14.2636)	0.0972^*** (22.2132)	0.0752^*** (16.4038)
Δ(BID_ASK)_t	0.1831^*** (31.8680)	0.1736^*** (34.6059)	0.1844^*** (35.4070)	0.1796^*** (31.1305)	0.1706^*** (33.8478)	0.1816^*** (34.7306)	0.1791^*** (31.0351)	0.1702^*** (33.7705)	0.1812^*** (34.6630)
Lagged level terms	Included	Included	Included	Included	Included	Included	Included	Included	Included
Industry FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
Size Decile FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
BM Decile FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
Year FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
Coefficient F-tests
Δ(TOL/CE)_t = Δ(TFL/CE)_t	1356.0^***	871.3^***	855.9^***
Maximum VIF	1.92	1.92	1.92	1.82	1.82	1.82	1.90	1.90	1.90
Adjusted R²	0.230	0.306	0.310	0.232	0.307	0.311	0.232	0.307	0.311
F-value	187.5^***	190.3^***	174.4^***	181.7^***	182.7^***	167.9^***	172.5^***	173.9^***	159.7^***

Dependent/Independent variable	Equation (2a)			Equation (2b)			Equation (2c)
Dependent/Independent variable	ΔIRISK_t	ΔIRISK_t3	ΔIRISK_t5	ΔIRISK_t	ΔIRISK_t3	ΔIRISK_t5	ΔIRISK_t	ΔIRISK_t3	ΔIRISK_t5
Δ(TOL/CE)_t	0.1843^*** (26.3928)	0.1358^*** (22.9938)	0.1399^*** (22.4458)
Δ(COL/CE)_t				0.1738^*** (26.0986)	0.1245^*** (21.5381)	0.1301^*** (22.1968)
Δ(COLx/CE)_t							0.1709^*** (25.5755)	0.1232^*** (21.0416)	0.1282^*** (21.6365)
Δ(IP/CE)_t							0.0022 (0.5797)	0.0037 (1.0404)	0.0035 (0.9934)
Δ(NCOL/CE)_t				0.0556^*** (11.0913)	0.0461^*** (10.6451)	0.0470^*** (10.1565)
Δ(DTX/CE)_t							0.0009 (0.2522)	−0.0054 (−1.6310)	−0.0018 (−0.5334)
Δ(ONCL/CE)_t							0.0603^*** (11.6763)	0.0481^*** (10.7816)	0.0490^*** (10.2432)
Δ(TFL/CE)_t	0.1244^*** (18.6886)	0.0858^*** (14.9791)	0.0889^*** (14.6341)
Δ(STD/CE)_t				0.0884^*** (15.9127)	0.0674^*** (13.4346)	0.0657^*** (12.6078)	0.0864^*** (15.3855)	0.0669^*** (13.1948)	0.0648^*** (12.3021)
Δ(NCFL/CE)_t				0.0675^*** (11.8205)	0.0394^*** (7.6746)	0.0427^*** (8.1076)
Δ(LTD/CE)_t							0.0618^*** (10.5156)	0.0385^*** (7.1709)	0.0398^*** (7.2717)
Δ(CapL/CE)_t							0.0273^*** (5.7467)	0.0130^*** (3.0651)	0.0171^*** (3.9583)
Δ(STD_ROA)_t	0.0665^*** (14.6759)	0.0991^*** (22.5218)	0.0770^*** (16.6983)	0.0649^*** (14.3745)	0.0977^*** (22.2926)	0.0757^*** (16.4841)	0.0644^*** (14.2636)	0.0972^*** (22.2132)	0.0752^*** (16.4038)
Δ(BID_ASK)_t	0.1831^*** (31.8680)	0.1736^*** (34.6059)	0.1844^*** (35.4070)	0.1796^*** (31.1305)	0.1706^*** (33.8478)	0.1816^*** (34.7306)	0.1791^*** (31.0351)	0.1702^*** (33.7705)	0.1812^*** (34.6630)
Lagged level terms	Included	Included	Included	Included	Included	Included	Included	Included	Included
Industry FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
Size Decile FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
BM Decile FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
Year FE	Included	Included	Included	Included	Included	Included	Included	Included	Included
Coefficient F-tests
Δ(TOL/CE)_t = Δ(TFL/CE)_t	1356.0^***	871.3^***	855.9^***
Maximum VIF	1.92	1.92	1.92	1.82	1.82	1.82	1.90	1.90	1.90
Adjusted R²	0.230	0.306	0.310	0.232	0.307	0.311	0.232	0.307	0.311
F-value	187.5^***	190.3^***	174.4^***	181.7^***	182.7^***	167.9^***	172.5^***	173.9^***	159.7^***

Note(s): For each independent variable, we report the standardized coefficient and the related t-statistic based on the standard error clustered by firm (Petersen, 2009). Coefficient F-tests compare the stated coefficients with the null hypothesis of equality (one-tailed significance of null rejection). ^***, ^**, ^*significant at 0.01, 0.05 and 0.10, respectively. Δ signifies the difference in the level of the variable between period t and t−1. Lagged level terms (t−1) of independent variables (excluding dummy variables) are added to control for feedback effects and are not reported for brevity. For brevity, the intercept and the coefficients on industry dummies, firm size dummies, book to market dummies and year dummies are not reported. The maximum variance inflation factor excludes dummy variables and lagged terms. Appendix 2 provides variable definitions

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