Robustness results-alternative stock price crash risk measure
| Variable | CRASHt+1 |
|---|---|
| C_COMP | −2.08 (2.34) |
| C_DUAL | −0.15*** (2.09) |
| C_STATUS | −0.33*** (4.09) |
| C_TENURE | 0.07 (10.7) |
| C_DIRECTOR | −0.36* (2.18) |
| DTURNOVER | 0.01*** (8.30) |
| RET | −92.22*** (3.49) |
| M/B | −0.46*** (5.40) |
| SIZE | −0.02*** (5.93) |
| LEV | 0.29*** (2.76) |
| Constant | 0.21* (0.16) |
| N | 2,360 |
| R2 | 0.68 |
| Year effects | Yes |
| Industry effects | Yes |
| Variable | CRASH |
|---|---|
| C_COMP | −2.08 (2.34) |
| C_DUAL | −0.15*** (2.09) |
| C_STATUS | −0.33*** (4.09) |
| C_TENURE | 0.07 (10.7) |
| C_DIRECTOR | −0.36* (2.18) |
| DTURNOVER | 0.01*** (8.30) |
| RET | −92.22*** (3.49) |
| M/B | −0.46*** (5.40) |
| SIZE | −0.02*** (5.93) |
| LEV | 0.29*** (2.76) |
| Constant | 0.21* (0.16) |
| N | 2,360 |
| 0.68 | |
| Year effects | Yes |
| Industry effects | Yes |
Note(s): C_COMP = CEO compensation; C_DUAL = CEO duality; C_STATUS = CEO status; C_TENURE = CEO tenure; C_DIRECTOR = CEO directorship; CRASHt+1 = binary variable crash 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. Binary logistic regression methodology has been applied to obtain the said test results
Source(s): Author’s calculations based on using Stata 14
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.