Note(s): TREAT = binary variable that takes the value of 1 if the company is categorised under the treatment group i.e. the company experienced CEO turnover and 0 if the company is categorised under the control group i.e. the company did not experience any CEO turnover; POST =  = binary variable that takes the value of 1 post the CEO turnover period and 0 otherwise; TREAT*POST = an interaction variable between the treatment group and post CEO turnover period; NCSKEW_t+1 = negative conditional skewness measured at t+1; DUVOL_t+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 and 5% respectively. t-statistics reported in the parentheses are based on robust standard errors. Difference-in-Difference panel data regression methodology has been applied to obtain the said test results

Source(s): Author’s calculations based on using Stata 14