Endogeneity problem: firm fixed effects
| KZ-index | ||||||||
|---|---|---|---|---|---|---|---|---|
| Full sample | High financially constrained subsample (HFC = 1) | Nonfinancially constrained subsample (NFC = 0) | ||||||
| DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | |
| Model (1) | Model (2) | Model (3) | Model (4) | Model (5) | Model (6) | Model (7) | Model (8) | |
| Constant | 1.024 (0.859) | 0.108 (0.029) | 2.143 (1.183) | 1.482 (0.377) | 4.616 (1.841) | 1.891 (0.308) | 4.326 (0.883) | 0.896 (0.089) |
| MAS | −0.802** (−2.540) | −1.521*** (−3.154) | −0.574** (−2.014) | −1.546** *(−3.065) | 0.233 (0.628) | 0.161 (0.221) | −1.889** (−2.355) | −4.233*** (−2.868) |
| FC | −0.002 (−0.079) | −0.005 (−0.123) | ||||||
| MAS×FC | 0.558*** (4.704) | 0.684*** (3.653) | ||||||
| SIGMA | −18.625** (2.463) | 58.503*** (4.422) | −15.372** (−2.110 | 58.302*** (4.391) | −35.405*** (−3.772) | 62.246*** (3.547) | −1.768 (−0.136) | 12.953 (0.563) |
| RET | −21.479 (−1.562) | −70.530*** (−3.186) | −27.841** (−2.164) | −70.532*** (−3.175) | −38.324** (−2.189) | −118.533*** (−3.837) | −7.906 (−0.368) | −22.829 (−0.611) |
| SIZE | −0.145 (−1.370) | −0.157 (−0.665) | −0.220* (−1.921) | −0.158 (−0.663) | −0.295* (−1.971) | −0.242 (−0.653) | −0.302 (−0.982) | −0.098 (−0.157) |
| ROA | 0.302 (1.564) | −0.136 (−0.416) | 0.234 (1.112) | −0.144 (−0.425) | 0.781*** (3.148) | 0.108 (0.230) | −0.058 (−0.124) | 0.355 (0.469) |
| LEV | 2.550*** (6.140) | 0.142 (0.247) | 2.488*** (5.624) | 0.155 (0.270) | 2.795*** (5.387) | 0.322 (0.313) | 2.408*** (2.909) | 0.088 (0.106) |
| MTB | −0.006 (−0.137) | 0.041 (0.672) | −0.019 (−0.526) | 0.043 (0.685) | −0.040 (−0.745) | 0.057 (0.675) | −0.007 (−0.085) | 0.097 (0.805) |
| Adjusted R2 | 0.424 | 0.267 | 0.518 | 0.335 | 0.502 | 0.462 | 0.586 | 0.392 |
| Observation | 480 | 480 | 480 | 480 | 240 | 240 | 240 | 240 |
| Firm fixed effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| KZ-index | ||||||||
|---|---|---|---|---|---|---|---|---|
| Full sample | High financially constrained subsample (HFC = 1) | Nonfinancially constrained subsample (NFC = 0) | ||||||
| DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | |
| Model (1) | Model (2) | Model (3) | Model (4) | Model (5) | Model (6) | Model (7) | Model (8) | |
| Constant | 1.024 (0.859) | 0.108 (0.029) | 2.143 (1.183) | 1.482 (0.377) | 4.616 (1.841) | 1.891 (0.308) | 4.326 (0.883) | 0.896 (0.089) |
| MAS | −0.802 | −1.521 | −0.574 | −1.546** *(−3.065) | 0.233 (0.628) | 0.161 (0.221) | −1.889 | −4.233 |
| FC | −0.002 (−0.079) | −0.005 (−0.123) | ||||||
| MAS×FC | 0.558 | 0.684 | ||||||
| SIGMA | −18.625 | 58.503 | −15.372 | 58.302 | −35.405 | 62.246 | −1.768 (−0.136) | 12.953 (0.563) |
| RET | −21.479 (−1.562) | −70.530 | −27.841 | −70.532 | −38.324 | −118.533 | −7.906 (−0.368) | −22.829 (−0.611) |
| SIZE | −0.145 (−1.370) | −0.157 (−0.665) | −0.220 | −0.158 (−0.663) | −0.295 | −0.242 (−0.653) | −0.302 (−0.982) | −0.098 (−0.157) |
| ROA | 0.302 (1.564) | −0.136 (−0.416) | 0.234 (1.112) | −0.144 (−0.425) | 0.781 | 0.108 (0.230) | −0.058 (−0.124) | 0.355 (0.469) |
| LEV | 2.550 | 0.142 (0.247) | 2.488 | 0.155 (0.270) | 2.795 | 0.322 (0.313) | 2.408 | 0.088 (0.106) |
| MTB | −0.006 (−0.137) | 0.041 (0.672) | −0.019 (−0.526) | 0.043 (0.685) | −0.040 (−0.745) | 0.057 (0.675) | −0.007 (−0.085) | 0.097 (0.805) |
| Adjusted | 0.424 | 0.267 | 0.518 | 0.335 | 0.502 | 0.462 | 0.586 | 0.392 |
| Observation | 480 | 480 | 480 | 480 | 240 | 240 | 240 | 240 |
| Firm fixed effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Notes:
The table displays the OLS firm fixed effect results for the interrelationship between managerial ability and crash risk. The significance levels are denoted as *, ** and ***at 10, 5 and 1%, respectively. t-Statistics in parentheses
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