Baseline regression results using pooled OLS
| Variable | NCSKEWt+1 | DUVOLt+1 |
|---|---|---|
| C_COMP | −2.76 (0.28) | −1.38 (1.87) |
| C_DUAL | −0.15*** (0.96) | −0.23** (1.23) |
| C_STATUS | −0.34*** (1.99) | −0.18* (1.82) |
| C_TENURE | 0.11 (0.87) | 0.17 (0.76) |
| C_DIRECTOR | −1.01*** (3.43) | −0.99* (1.33) |
| DTURNOVER | 0.01 (1.66) | 0.08 (0.71) |
| RET | 53.91*** (4.47) | 11.88** (1.22) |
| M/B | −0.08*** (2.93) | −0.09 (1.79) |
| SIZE | −0.03*** (6.71) | −0.42*** (7.36) |
| LEV | 0.55*** (8.91) | 0.05*** (6.53) |
| Constant | 0.51*** (4.51) | 0.69*** (1.83) |
| N | 2,360 | 2,360 |
| R2 | 0.69 | 0.71 |
| Year effects | Yes | Yes |
| Industry effects | Yes | Yes |
| Variable | NCSKEW | DUVOL |
|---|---|---|
| C_COMP | −2.76 (0.28) | −1.38 (1.87) |
| C_DUAL | −0.15*** (0.96) | −0.23** (1.23) |
| C_STATUS | −0.34*** (1.99) | −0.18* (1.82) |
| C_TENURE | 0.11 (0.87) | 0.17 (0.76) |
| C_DIRECTOR | −1.01*** (3.43) | −0.99* (1.33) |
| DTURNOVER | 0.01 (1.66) | 0.08 (0.71) |
| RET | 53.91*** (4.47) | 11.88** (1.22) |
| M/B | −0.08*** (2.93) | −0.09 (1.79) |
| SIZE | −0.03*** (6.71) | −0.42*** (7.36) |
| LEV | 0.55*** (8.91) | 0.05*** (6.53) |
| Constant | 0.51*** (4.51) | 0.69*** (1.83) |
| N | 2,360 | 2,360 |
| 0.69 | 0.71 | |
| Year effects | Yes | Yes |
| Industry effects | Yes | Yes |
Note(s): C_COMP = CEO compensation; C_DUAL = CEO duality; C_STATUS = CEO status; C_TENURE = CEO tenure; C_DIRECTOR = CEO directorship; NCSKEWt+1 = negative conditional skewness measured at t+1; DUVOLt+1 = down-to-up-volatility measured at t+1; DTURNOVER = de-trended turnover; RET = company-specific weekly returns; M/B = market to book value of equity; SIZE = size of company measured by taking the natural log of market capitalisation; LEV = leverage. ***, ** and * indicates the level of significance at 1, 5 and 10% respectively. t-statistics reported in the parentheses are based on robust standard errors. Pooled OLS regression methodology has been applied to obtain the said test results
Source(s): Author’s calculations based on using Stata 14
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