Table 5 Regression result of ETRANS and... | Emerald Publishing

Table 5

Regression result of ETRANS and NCSKEW/CRASH

Variables	(1)	(2)	(3)	(4)
Variables	${NCSKEW}_{i, t + 1}$	${CRASH}_{i, t + 1}$	${NCSKEW}_{i, t + 1}$	${CRASH}_{i, t + 1}$
${ETRANS}_{i, t}$	−0.130*** (0.031)	−0.0447*** (0.012)	−0.0721** (0.036)	−0.0381*** (0.013)
${NCSKEW}_{i, t}$	0.0577*** (0.011)	0.0025 (0.004)	0.0521*** (0.011)	0.0009 (0.004)
MB_i,t (10^–2)	0.0165*** (0.214)	0.0032*** (0.079)	0.0144*** (0.222)	0.0028*** (0.082)
SIGMA_i,t	2.196*** (0.536)	−0.833*** (0.198)	2.663*** (0.630)	−1.022*** (0.233)
LEV_i,t (10^–2) (10^–3)	0.0415 (0.345)	0.0246* (0.127)	0.0263 (0.345)	0.0260** (0.128)
ROA_i,t (10^–2) (10^–3)	−0.0290** (0.113)	0.0003 (0.042)	−0.0306*** (0.112)	0.0001 (0.042)
RETURN_i,t	0.314*** (0.032)	0.0288** (0.012)	0.349*** (0.033)	0.0224* (0.012)
DTURN_i,t (10^–3) (10^–3)	−0.0039 (0.022)	−0.014* (0.008)	−0.0504* (0.030)	0.0059 (0.011)
SIZE_i,t	0.0129* (0.007)	0.0028 (0.002)	0.0166** (0.007)	0.0018 (0.003)
Year dummy	No	No	Yes	Yes
Constant	−0.547*** (0.112)	0.0807* (0.041)	−0.805*** (0.121)	0.104** (0.045)
Observations	11,030	11,030	11,030	11,030
R-squared	0.025	0.006	0.038	0.010

Variables	(1)	(2)	(3)	(4)
Variables	${NCSKEW}_{i, t + 1}$	${CRASH}_{i, t + 1}$	${NCSKEW}_{i, t + 1}$	${CRASH}_{i, t + 1}$
${ETRANS}_{i, t}$	−0.130*** (0.031)	−0.0447*** (0.012)	−0.0721** (0.036)	−0.0381*** (0.013)
${NCSKEW}_{i, t}$	0.0577*** (0.011)	0.0025 (0.004)	0.0521*** (0.011)	0.0009 (0.004)
MB_i,t (10^–2)	0.0165*** (0.214)	0.0032*** (0.079)	0.0144*** (0.222)	0.0028*** (0.082)
SIGMA_i,t	2.196*** (0.536)	−0.833*** (0.198)	2.663*** (0.630)	−1.022*** (0.233)
LEV_i,t (10^–2) (10^–3)	0.0415 (0.345)	0.0246* (0.127)	0.0263 (0.345)	0.0260** (0.128)
ROA_i,t (10^–2) (10^–3)	−0.0290** (0.113)	0.0003 (0.042)	−0.0306*** (0.112)	0.0001 (0.042)
RETURN_i,t	0.314*** (0.032)	0.0288** (0.012)	0.349*** (0.033)	0.0224* (0.012)
DTURN_i,t (10^–3) (10^–3)	−0.0039 (0.022)	−0.014* (0.008)	−0.0504* (0.030)	0.0059 (0.011)
SIZE_i,t	0.0129* (0.007)	0.0028 (0.002)	0.0166** (0.007)	0.0018 (0.003)
Year dummy	No	No	Yes	Yes
Constant	−0.547*** (0.112)	0.0807* (0.041)	−0.805*** (0.121)	0.104** (0.045)
Observations	11,030	11,030	11,030	11,030
R-squared	0.025	0.006	0.038	0.010

Note(s): Standard errors in parentheses; ***p < 0.01, **p < 0.05, *p < 0.1