This table shows summary statistics of stock–month observations. relss (%) is the average daily relative short selling activity in a given month, defined as the daily short volume divided by the daily trading volume. Skewness is the stock price crash measure defined as the negative coefficient of skewness of firm-specific daily stock returns in a given month. The firm-specific daily stock return is the regression residual from equation (1). Down-to-Up is a stock price crash measure defined as the logarithm of the value of the standard deviation of down days, in terms of firm-specific daily returns, divided by the standard deviation of up days in a given month. We define down (up) days as the days for which the firm-specific daily stock return is below (above) the average in a given month. Daily ret (%) is the average daily stock return in a given month; Kurtosis is the kurtosis of firm-specific daily stock returns in a given month; Sigma is the standard deviation of firm-specific daily stock returns in a given month; LnSize is the logarithm of market capitalization in a given month; Trading Vol. (in thousands of shares) is the total number of shares traded in a given month; Abnormal tv is defined as the monthly turnover minus the previous month’s turnover; tv is turnover, defined as the monthly total number of shares traded divided by the number of shares outstanding; B/M is the book-to-market ratio, defined as the value of book equity in year t − 1 divided by the year-end market capitalization in year t − 1; ROA is year-end net income divided by total assets; and Lev is the leverage ratio, defined as total liability divided by total assets