Robustness results-additional control variables
| Variable | NCSKEWt+1 | DUVOLt+1 |
|---|---|---|
| C_COMP | −3.73** (1.66) | −5.48* (3.25) |
| C_DUAL | −0.06* (0.03) | −0.04* (0.00) |
| C_STATUS | −0.06* (0.04) | −0.02* (0.01) |
| C_TENURE | 0.00 (0.01) | 0.00 (0.01) |
| C_DIRECTOR | −0.22*** (0.06) | −0.03** (0.02) |
| DTURNOVER | −0.00* (0.00) | 0.00 (0.00) |
| RET | 18.59*** (2.47) | 3.01*** (0.48) |
| M/B | −0.08*** (0.00) | −0.00* (0.09) |
| SIZE | −0.05*** (0.01) | −0.01*** (0.00) |
| LEV | 0.72*** (0.11) | 0.02* (0.00) |
| FC | 1.38*** (0.17) | 0.06* (0.03) |
| AC | −0.08** (0.03) | −0.02*** (0.01) |
| Constant | −1.63*** (0.25) | −0.19*** (0.05) |
| N | 2,360 | 2,360 |
| R2 | 0.63 | 0.76 |
| Year effects | Yes | Yes |
| Industry effects | Yes | Yes |
| Variable | NCSKEW | DUVOL |
|---|---|---|
| C_COMP | −3.73** (1.66) | −5.48* (3.25) |
| C_DUAL | −0.06* (0.03) | −0.04* (0.00) |
| C_STATUS | −0.06* (0.04) | −0.02* (0.01) |
| C_TENURE | 0.00 (0.01) | 0.00 (0.01) |
| C_DIRECTOR | −0.22*** (0.06) | −0.03** (0.02) |
| DTURNOVER | −0.00* (0.00) | 0.00 (0.00) |
| RET | 18.59*** (2.47) | 3.01*** (0.48) |
| M/B | −0.08*** (0.00) | −0.00* (0.09) |
| SIZE | −0.05*** (0.01) | −0.01*** (0.00) |
| LEV | 0.72*** (0.11) | 0.02* (0.00) |
| FC | 1.38*** (0.17) | 0.06* (0.03) |
| AC | −0.08** (0.03) | −0.02*** (0.01) |
| Constant | −1.63*** (0.25) | −0.19*** (0.05) |
| N | 2,360 | 2,360 |
| 0.63 | 0.76 | |
| 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; FC = financial constraints; AC = analyst coverage. ***, ** * 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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