Table 8 A mediation analysis using...

Table 8

A mediation analysis using firm-level risk

Panel A. Mediation analysis
Variable	(1)	(2)	(3)	(4)	(5)	(6)
Variable	Book dev	Ln(RISK)	Book dev	Market dev	Ln(RISK)	Market dev
Covid Exposure	0.004***	0.237***	0.003**	−0.009***	0.231***	−0.007***
Covid Exposure	(0.002)	(0.012)	(0.002)	(0.001)	(0.012)	(0.001)
Ln(RISK)			0.004***			−0.006***
Ln(RISK)			(0.001)			(0.001)
EBIT/TA		−1.119***			−1.052***
EBIT/TA		(0.319)			(0.319)
M2B		−0.076***			−0.072***
M2B		(0.013)			(0.013)
Depreciation		−7.550			−6.355
Depreciation		(6.524)			(6.503)
Size		−0.318***			−0.330***
Size		(0.069)			(0.068)
Tangibility		0.617			0.533
Tangibility		(0.386)			(0.385)
R&D/TA		−2.913**			−2.940**
R&D/TA		(1.234)			(1.231)
R&D Dummy		0.077			0.076
R&D Dummy		(0.065)			(0.065)
Ind Median Book Lev		−4.201
Ind Median Book Lev		(3.796)
Ind Median Market Lev					−29.123***
Ind Median Market Lev					(5.573)
Constant	0.221***	7.297***	0.207***	0.304***	12.021***	0.326***
Constant	(0.002)	(1.147)	(0.006)	(0.002)	(1.248)	(0.004)
Observations	11,259	11,259	11,259	11,259	11,259	11,259
R-squared	0.992	0.417	0.992	0.945	0.418	0.945
Firm FE	Yes	Yes	Yes	Yes	Yes	Yes
Qtr FE	Yes	Yes	Yes	Yes	Yes	Yes
Note(s): In Table 8, we used the Hassan et al. (2020)’s firm-level risk, Covid-exposure, and Covid Risk measures to conduct a mediation analysis and examine the degree of deviation from the target ratio induced by the exposure to the pandemic; how the exposure to the pandemic has increased the overall risk faced by the firm; and whether firm-level risk fully or partially mediates the effect of the pandemic on target deviation The samples range between 2020Q2-2021Q4 Robust standard errors are presented in parentheses. *p < 0.01, p < 0.05, p < 0.1 signifies significance at 1%, 5%, and 10% respectively Source(s):* Table by authors

Panel A. Mediation analysis
Variable	(1)	(2)	(3)	(4)	(5)	(6)
Variable	Book dev	Ln(RISK)	Book dev	Market dev	Ln(RISK)	Market dev
Covid Exposure	0.004***	0.237***	0.003**	−0.009***	0.231***	−0.007***
Covid Exposure	(0.002)	(0.012)	(0.002)	(0.001)	(0.012)	(0.001)
Ln(RISK)			0.004***			−0.006***
Ln(RISK)			(0.001)			(0.001)
EBIT/TA		−1.119***			−1.052***
EBIT/TA		(0.319)			(0.319)
M2B		−0.076***			−0.072***
M2B		(0.013)			(0.013)
Depreciation		−7.550			−6.355
Depreciation		(6.524)			(6.503)
Size		−0.318***			−0.330***
Size		(0.069)			(0.068)
Tangibility		0.617			0.533
Tangibility		(0.386)			(0.385)
R&D/TA		−2.913**			−2.940**
R&D/TA		(1.234)			(1.231)
R&D Dummy		0.077			0.076
R&D Dummy		(0.065)			(0.065)
Ind Median Book Lev		−4.201
Ind Median Book Lev		(3.796)
Ind Median Market Lev					−29.123***
Ind Median Market Lev					(5.573)
Constant	0.221***	7.297***	0.207***	0.304***	12.021***	0.326***
Constant	(0.002)	(1.147)	(0.006)	(0.002)	(1.248)	(0.004)
Observations	11,259	11,259	11,259	11,259	11,259	11,259
R-squared	0.992	0.417	0.992	0.945	0.418	0.945
Firm FE	Yes	Yes	Yes	Yes	Yes	Yes
Qtr FE	Yes	Yes	Yes	Yes	Yes	Yes
Note(s): In Table 8, we used the Hassan et al. (2020)’s firm-level risk, Covid-exposure, and Covid Risk measures to conduct a mediation analysis and examine the degree of deviation from the target ratio induced by the exposure to the pandemic; how the exposure to the pandemic has increased the overall risk faced by the firm; and whether firm-level risk fully or partially mediates the effect of the pandemic on target deviationThe samples range between 2020Q2-2021Q4Robust standard errors are presented in parentheses. *p < 0.01, p < 0.05, *p < 0.1 signifies significance at 1%, 5%, and 10% respectivelySource(s): Table by authors

Panel B. COVID exposure and SOA
Variables	Low exposure	High exposure	Low exposure	High exposure
	(1)	(2)	(3)	(4)
	Book dev	Book dev	Market dev	Market dev
Book Dev	0.059***	0.078***
Book Dev	(0.007)	(0.007)
Market Dev			0.109***	0.147***
Market Dev			(0.008)	(0.011)
Constant	−0.021***	−0.018***	−0.049***	−0.059***
Constant	(0.002)	(0.001)	(0.003)	(0.003)
Observations	5,864	5,395	5,864	5,395
R-squared	0.336	0.394	0.422	0.441
Firm FE	Yes	Yes	Yes	Yes
Qtr FE	Yes	Yes	Yes	Yes
Note(s): This table report the findings of how different levels of exposure to the pandemic affected the SOA. High Exposure is when the values are higher than the median values, and low exposure is otherwise. The data is based on Hassan et al. (2020). Robust standard errors are presented in parentheses. *p < 0.01, p < 0.05, p < 0.1 signifies significance at 1%, 5%, and 10% respectively Source(s):* Table by authors

Panel B. COVID exposure and SOA
Variables	Low exposure	High exposure	Low exposure	High exposure
	(1)	(2)	(3)	(4)
	Book dev	Book dev	Market dev	Market dev
Book Dev	0.059***	0.078***
Book Dev	(0.007)	(0.007)
Market Dev			0.109***	0.147***
Market Dev			(0.008)	(0.011)
Constant	−0.021***	−0.018***	−0.049***	−0.059***
Constant	(0.002)	(0.001)	(0.003)	(0.003)
Observations	5,864	5,395	5,864	5,395
R-squared	0.336	0.394	0.422	0.441
Firm FE	Yes	Yes	Yes	Yes
Qtr FE	Yes	Yes	Yes	Yes
Note(s): This table report the findings of how different levels of exposure to the pandemic affected the SOA. High Exposure is when the values are higher than the median values, and low exposure is otherwise. The data is based on Hassan et al. (2020). Robust standard errors are presented in parentheses. *p < 0.01, p < 0.05, *p < 0.1 signifies significance at 1%, 5%, and 10% respectivelySource(s): Table by authors

Panel C. COVID risk and SOA
	Low risk	High risk	Low risk	High risk
	(1)	(2)	(3)	(4)
Variables	Book dev	Book dev	Market dev	Market dev
Book Dev	0.067***	0.091***
Book Dev	(0.006)	(0.009)
Market Dev			0.126***	0.132***
Market Dev			(0.007)	(0.013)
Constant	−0.019***	−0.028***	−0.052***	−0.060***
Constant	(0.001)	(0.002)	(0.002)	(0.004)
Observations	7,533	3,726	7,533	3,726
R-squared	0.319	0.510	0.390	0.509
Firm FE	Yes	Yes	Yes	Yes
Qtr FE	Yes	Yes	Yes	Yes

Panel C. COVID risk and SOA
	Low risk	High risk	Low risk	High risk
	(1)	(2)	(3)	(4)
Variables	Book dev	Book dev	Market dev	Market dev
Book Dev	0.067***	0.091***
Book Dev	(0.006)	(0.009)
Market Dev			0.126***	0.132***
Market Dev			(0.007)	(0.013)
Constant	−0.019***	−0.028***	−0.052***	−0.060***
Constant	(0.001)	(0.002)	(0.002)	(0.004)
Observations	7,533	3,726	7,533	3,726
R-squared	0.319	0.510	0.390	0.509
Firm FE	Yes	Yes	Yes	Yes
Qtr FE	Yes	Yes	Yes	Yes

Note(s): This table presents a robustness check to the usage of Covid exposure by using Covid risk measure. High Risk is when the values are higher than the median values, and low risk is otherwise. Again, the data is based on Hassan et al. (2020). Robust standard errors are presented in parentheses. ***p < 0.01, **p < 0.05, *p < 0.1 signifies significance at 1%, 5% and 10%, respectively

Source(s): Table by authors

[ViewLarge]

Sharing Unavailable