This table reports the stock-level cross-sectional regression results of the predictability of short selling activity, using Fama and MacBeth (1973) methodology. The dependent variables are two stock price crash risk measures, Skewness and Down-to-Up, respectively. Skewness is the stock price crash measure defined as the negative coefficient of skewness of firm-specific daily stock returns in a given month, where the firm-specific daily stock return is the regression residual from equation (1). Down-to-Up is the other stock price crash measure, defined as the logarithm of the standard deviation down days, in terms of firm-specific daily returns, divided by the number of up days in a given month. We define down (up) days as the days with firm-specific daily stock returns below (above) the average in a given month. 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; 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; Daily ret (%) is the average daily stock return in a given month; B/M is the book-to-market ratio, defined as the value of book equity in year y−1 divided by the year-end market capitalization in year y-1; Lev is the leverage ratio, defined as total liability divided by total assets; ROA is year-end net income divided by total assets; LnSize is the logarithm of market capitalization in a given month; Abnormal tv is defined as monthly turnover minus the previous month’s turnover; and tv is turnover, defined as the monthly total number of shares traded divided by the number of shares outstanding. The intercepts are estimated but are not tabulated here. The t-statistics are in parentheses, and standard errors are corrected by using the Newey–West procedure;

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indicate statistical significance at the 1%, 5% and 10% levels, respectively