Variable description
| Variable | Acronym | Definition |
|---|---|---|
| Panel A: stock price crash risk | ||
| Negative conditional skewness | NCSKEWt+1 | Negative of the third moment of abnormal weekly returns over the standard deviation of abnormal weekly returns raised to the third power during t+1 |
| Down to up volatility | DUVOLt+1 | Natural logarithm of the ratio of the standard deviation of the “down’ weeks and the “up’ weeks. The measure is computed at t+1 |
| Panel B: CEO power | ||
| CEO compensation | C_COMP | Includes sum of salary, bonus, perquisites, commission, etc. paid to CEO during a financial year |
| CEO duality | C_DUAL | Takes the value of one if CEO is also the Chairman of board and zero otherwise |
| CEO status | C_STATUS | Takes the value of one if the founder or his family member is CEO of the company and zero otherwise |
| CEO tenure | C_TENURE | Total number of years a person has served as the CEO of a company |
| CEO directorship | C_DIRECTOR | Takes the value of one if the CEO of a company also serves on the board as a director and zero otherwise |
| Panel C: control variables | ||
| Leverage | LEV | The ratio of total non-current liabilities of a company to its total asset base |
| Natural log of market capitalisation | SIZE | Taking the natural log of the figure derived by multiplying the outstanding shares of a company by the prevailing share price |
| Return | RET | Average of firm-specific weekly returns over a fiscal year |
| De-trended turnover | DTURNOVER | Difference between the average monthly share turnover during fiscal year t and the average monthly share turnover of the previous year, t−1 |
| Market to book value | M/B | Ratio of market value to book value of equity |
| Year dummy | YEAR | Nine year dummies with the financial year 2009–10 as the base |
| Industry dummy | IND | Five industry dummies representing six industries based on the two-digit National Industry Classification codes |
| Financial constraints | FC | Ratio of cash flow from operating activities to total assets |
| Analyst coverage | AC | Takes the value of one if the company is actively tracked by one or more analysts in any financial year and zero otherwise |
| Panel D: moderating variable | ||
| Insider trades | INSIDER_TRADES | Takes the value of one if there are disclosures under SEBI (Prohibition of Insider Trading) Regulations, 2015 and zero otherwise |
| Variable | Acronym | Definition |
|---|---|---|
| Negative conditional skewness | Negative of the third moment of abnormal weekly returns over the standard deviation of abnormal weekly returns raised to the third power during | |
| Down to up volatility | Natural logarithm of the ratio of the standard deviation of the “down’ weeks and the “up’ weeks. The measure is computed at | |
| CEO compensation | Includes sum of salary, bonus, perquisites, commission, etc. paid to CEO during a financial year | |
| CEO duality | Takes the value of one if CEO is also the Chairman of board and zero otherwise | |
| CEO status | Takes the value of one if the founder or his family member is CEO of the company and zero otherwise | |
| CEO tenure | Total number of years a person has served as the CEO of a company | |
| CEO directorship | Takes the value of one if the CEO of a company also serves on the board as a director and zero otherwise | |
| Leverage | The ratio of total non-current liabilities of a company to its total asset base | |
| Natural log of market capitalisation | Taking the natural log of the figure derived by multiplying the outstanding shares of a company by the prevailing share price | |
| Return | Average of firm-specific weekly returns over a fiscal year | |
| De-trended turnover | Difference between the average monthly share turnover during fiscal year | |
| Market to book value | Ratio of market value to book value of equity | |
| Year dummy | Nine year dummies with the financial year 2009–10 as the base | |
| Industry dummy | Five industry dummies representing six industries based on the two-digit National Industry Classification codes | |
| Financial constraints | Ratio of cash flow from operating activities to total assets | |
| Analyst coverage | Takes the value of one if the company is actively tracked by one or more analysts in any financial year and zero otherwise | |
| Takes the value of one if there are disclosures under SEBI (Prohibition of Insider Trading) Regulations, 2015 and zero otherwise | ||
Source(s): Author’s compilation
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