The effect of managerial ability on stock price crash risk (H1)
| Dependent variables | ||
|---|---|---|
| Variables | DUVOLt+1 | NCSKEWt+1 |
| Model (1) | Model (2) | |
| Constant | −0.402 (−0.001) | −2.988 (−0.036) |
| MAS | −0.829***(−4.742) | −1.414*** (−5.786) |
| SIGMA | 0.900 (0.101) | 52.754***(3.791) |
| RET | −16.087 (−1.011) | −82.922** (−3.425) |
| SIZE | −0.040** (−2.037) | 0.030 (1.043) |
| ROA | 0.353***(2.850) | −0.002 (−0.011) |
| LEV | 0.943***(4.434) | 0.208 (0.667) |
| MTB | −0.008 (−0.419) | −0.010 (−0.384) |
| Observation | 480 corrected total 479 | 480 (479) |
| Adjusted R2 | 0.285 | 0.238 |
| Robust standard errors | Yes | Yes |
| Year fixed effect | Yes | Yes |
| Industry fixed effect | Yes | Yes |
| Dependent variables | ||
|---|---|---|
| Variables | DUVOLt+1 | NCSKEWt+1 |
| Model (1) | Model (2) | |
| Constant | −0.402 (−0.001) | −2.988 (−0.036) |
| MAS | −0.829 | −1.414 |
| SIGMA | 0.900 (0.101) | 52.754 |
| RET | −16.087 (−1.011) | −82.922 |
| SIZE | −0.040 | 0.030 (1.043) |
| ROA | 0.353 | −0.002 (−0.011) |
| LEV | 0.943 | 0.208 (0.667) |
| MTB | −0.008 (−0.419) | −0.010 (−0.384) |
| Observation | 480 corrected total 479 | 480 (479) |
| Adjusted | 0.285 | 0.238 |
| Robust standard errors | Yes | Yes |
| Year fixed effect | Yes | Yes |
| Industry fixed effect | Yes | Yes |
Notes:
The significance levels are denoted as *, ** and ***at 10, 5 and 1%, respectively. t-Statistics in parentheses
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