Table 5. Robustness tests Skewness t 1...

Table 5.

Robustness tests

	Skewness_t+₁	Down-to-Up_t+₁	Skewness_t+₁_∼t+₃	Down-to-Up_t+₁_∼t+₃	Skewness_t+₁_∼t+₆	Down-to-Up_t+₁_∼t+₆
Independent variables	(1)	(2)	(3)	(4)	(5)	(6)
relss	0.0025^* (1.77)	0.0019^** (2.03)	0.0015 (1.44)	0.0013^* (1.81)	0.0024^** (2.43)	0.0016^*** (2.66)
Skewness	0.0116^** (2.01)	0.0086^** (2.27)	0.0153^*** (4.35)	0.0107^*** (4.77)	0.0137^*** (5.74)	0.0089^*** (5.69)
Kurtosis	0.0019 (0.90)	0.0013 (1.05)	0.0009 (0.68)	0.0011 (1.39)	0.0003 (0.30)	0.0006 (1.08)
Sigma	−0.0145^** (−2.21)	−0.0128^*** (−3.15)	−0.0142^*** (−2.81)	−0.0129^*** (−4.31)	−0.0167^*** (−3.66)	−0.0140^*** (−5.25)
Daily ret	0.0054 (0.82)	0.0037 (0.91)	0.0044 (1.00)	0.0024 (0.88)	0.0045 (1.04)	0.0022 (0.84)
B/M	1.0420^*** (3.37)	0.7168^*** (4.08)	0.9131^*** (3.48)	0.6381^*** (4.26)	0.6790^*** (2.92)	0.5236^*** (3.90)
Lev	0.0005 (0.25)	0.0005 (0.39)	0.0006 (0.33)	0.0004 (0.36)	0.0006 (0.33)	0.0003 (0.30)
ROA	−0.0082 (−1.44)	−0.0049 (−1.36)	−0.0057 (−1.06)	−0.0033 (−1.03)	−0.0025 (−0.48)	−0.0016 (−0.52)
LnSize	0.0661^*** (16.37)	0.0381^*** (16.22)	0.0642^*** (16.96)	0.0372^*** (17.32)	0.0597^*** (16.61)	0.0350^*** (16.65)
Abnormal tv	0.0523^** (2.13)	0.0355^** (2.19)	0.0373^** (2.57)	0.0261^*** (2.96)	0.0293^*** (2.83)	0.0229^*** (3.65)
R²	0.055	0.054	0.087	0.084	0.121	0.116
Adj. R²	0.021	0.020	0.053	0.050	0.089	0.083

	Skewness_t+₁	Down-to-Up_t+₁	Skewness_t+₁_∼t+₃	Down-to-Up_t+₁_∼t+₃	Skewness_t+₁_∼t+₆	Down-to-Up_t+₁_∼t+₆
Independent variables	(1)	(2)	(3)	(4)	(5)	(6)
relss	0.0025^* (1.77)	0.0019^** (2.03)	0.0015 (1.44)	0.0013^* (1.81)	0.0024^** (2.43)	0.0016^*** (2.66)
Skewness	0.0116^** (2.01)	0.0086^** (2.27)	0.0153^*** (4.35)	0.0107^*** (4.77)	0.0137^*** (5.74)	0.0089^*** (5.69)
Kurtosis	0.0019 (0.90)	0.0013 (1.05)	0.0009 (0.68)	0.0011 (1.39)	0.0003 (0.30)	0.0006 (1.08)
Sigma	−0.0145^** (−2.21)	−0.0128^*** (−3.15)	−0.0142^*** (−2.81)	−0.0129^*** (−4.31)	−0.0167^*** (−3.66)	−0.0140^*** (−5.25)
Daily ret	0.0054 (0.82)	0.0037 (0.91)	0.0044 (1.00)	0.0024 (0.88)	0.0045 (1.04)	0.0022 (0.84)
B/M	1.0420^*** (3.37)	0.7168^*** (4.08)	0.9131^*** (3.48)	0.6381^*** (4.26)	0.6790^*** (2.92)	0.5236^*** (3.90)
Lev	0.0005 (0.25)	0.0005 (0.39)	0.0006 (0.33)	0.0004 (0.36)	0.0006 (0.33)	0.0003 (0.30)
ROA	−0.0082 (−1.44)	−0.0049 (−1.36)	−0.0057 (−1.06)	−0.0033 (−1.03)	−0.0025 (−0.48)	−0.0016 (−0.52)
LnSize	0.0661^*** (16.37)	0.0381^*** (16.22)	0.0642^*** (16.96)	0.0372^*** (17.32)	0.0597^*** (16.61)	0.0350^*** (16.65)
Abnormal tv	0.0523^** (2.13)	0.0355^** (2.19)	0.0373^** (2.57)	0.0261^*** (2.96)	0.0293^*** (2.83)	0.0229^*** (3.65)
R²	0.055	0.054	0.087	0.084	0.121	0.116
Adj. R²	0.021	0.020	0.053	0.050	0.089	0.083

Notes:

This table reports the results of robustness tests of the ability to predict short selling activity, using Fama and MacBeth (1973) methodology. The regression results in Columns (1) and (2) exclude the short selling ban period from October 2008 to May 2009. The regression results in Columns (3) and (4) show the ability to predict short selling activity for stock price crashes for up to three months (from t + 1 to t + 3). The regression results in Columns (5) and (6) show the ability of short selling activity to predict stock price crashes for up to six months (from t + 1 to t + 6). The dependent variables are the two stock price crash risk measures Skewness and Down-to-Up. Skewness is the stock price crash measure defined as the negative coefficient of the 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 the stock price crash measure defined as the logarithm 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 when firm-specific daily stock returns are below (above) 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 number of total shares traded divided by the number of shares outstanding. Intercepts are estimated but are not tabulated. The t-statistics are in parentheses and standard errors are corrected by using the Newey–West procedure;

***

;

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

[ViewLarge]

Sharing Unavailable