Robustness results-alternative methodology (panel data regression)
| Variable | NCSKEWt+1 | DUVOLt+1 |
|---|---|---|
| C_COMP | −2.37 (1.23) | −3.17 (1.19) |
| C_DUAL | −0.11* (1.55) | −0.14** (0.97) |
| C_STATUS | −0.23*** (1.68) | −0.25* (4.76) |
| C_TENURE | 0.09 (1.21) | 0.03 (0.88) |
| C_DIRECTOR | −0.12*** (6.72) | −0.41*** (0.68) |
| DTURNOVER | 0.01*** (4.75) | 0.01** (2.36) |
| RET | 67.82*** (3.54) | 19.93*** (4.14) |
| M/B | −0.13** (3.28) | −0.91*** (5.02) |
| SIZE | −0.06** (1.96) | −0.04*** (3.28) |
| LEV | 0.34*** (2.28) | 0.13** (4.59) |
| Constant | 0.48*** (6.13) | 0.51*** (5.52) |
| N | 2,360 | 2,360 |
| R2 | 0.81 | 0.74 |
| Year effects | Yes | Yes |
| Industry effects | Yes | Yes |
| Variable | NCSKEW | DUVOL |
|---|---|---|
| C_COMP | −2.37 (1.23) | −3.17 (1.19) |
| C_DUAL | −0.11* (1.55) | −0.14** (0.97) |
| C_STATUS | −0.23*** (1.68) | −0.25* (4.76) |
| C_TENURE | 0.09 (1.21) | 0.03 (0.88) |
| C_DIRECTOR | −0.12*** (6.72) | −0.41*** (0.68) |
| DTURNOVER | 0.01*** (4.75) | 0.01** (2.36) |
| RET | 67.82*** (3.54) | 19.93*** (4.14) |
| M/B | −0.13** (3.28) | −0.91*** (5.02) |
| SIZE | −0.06** (1.96) | −0.04*** (3.28) |
| LEV | 0.34*** (2.28) | 0.13** (4.59) |
| Constant | 0.48*** (6.13) | 0.51*** (5.52) |
| N | 2,360 | 2,360 |
| 0.81 | 0.74 | |
| 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. ***, **, * indicates the level of significance at 1, 5 and 10%, respectively. t-statistics reported in the parentheses are based on robust standard errors. Fixed-effects panel data 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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