The moderating effect of financial constraints (H2)
| Subsample analysis: partitioned by financially constrained and nonfinancially constrained firms | ||||
|---|---|---|---|---|
| KZ-Index | ||||
| High financially constrained subsample (HFC = 1) | Nonfinancially constrained subsample (NFC = 0) | |||
| DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | |
| (1) | (2) | (3) | (4) | |
| Constant | 0.766 (1.222) | −1.898 (−3.158) | 0.766 (1.222) | −1.042 (−1.134) |
| MAS | −0.151 (−0.760) | −0.420 (−1.597) | −2.127*** (−8.738) | −2.360***(−6.818) |
| SIGMA | −30.469*** (−4.379) | 47.015*** (2.702) | 18.888 (1.618) | 49.469** (2.560) |
| RET | −37.18*** (−2.666) | −164.11*** (−6.006) | 5.889 (0.314) | −37.971 (−1.222) |
| SIZE | −0.016 (−0.731) | 0.033 (1.008) | −0.099** (−2.936) | 0.005 (0.105) |
| ROA | 0.053 (0.389) | −0.283 (−1.292) | 0.544*** (2.640) | 0.078 (0.288) |
| LEV | 0.786*(3.684) | 0.609* (1.911) | 0.406 (1.436) | −0.061 (−0.157) |
| MTB | 0.038* (1.893) | 0.022 (0.746) | −0.061* (1.881) | 0.001 (0.018) |
| Adjusted R2 | 0.218 | 0.418 | 0.310 | 0.205 |
| Observation | 240 | 240 | 240 | 240 |
| Robust standard errors | Yes | Yes | Yes | Yes |
| Year fixed effect | Yes | Yes | Yes | Yes |
| Industry fixed effect | Yes | Yes | Yes | Yes |
| Subsample analysis: partitioned by financially constrained and nonfinancially constrained firms | ||||
|---|---|---|---|---|
| KZ-Index | ||||
| High financially constrained subsample (HFC = 1) | Nonfinancially constrained subsample (NFC = 0) | |||
| DUVOLt+1 | NCSKEWt+1 | DUVOLt+1 | NCSKEWt+1 | |
| (1) | (2) | (3) | (4) | |
| Constant | 0.766 (1.222) | −1.898 (−3.158) | 0.766 (1.222) | −1.042 (−1.134) |
| MAS | −0.151 (−0.760) | −0.420 (−1.597) | −2.127 | −2.360 |
| SIGMA | −30.469 | 47.015 | 18.888 (1.618) | 49.469 |
| RET | −37.18 | −164.11 | 5.889 (0.314) | −37.971 (−1.222) |
| SIZE | −0.016 (−0.731) | 0.033 (1.008) | −0.099 | 0.005 (0.105) |
| ROA | 0.053 (0.389) | −0.283 (−1.292) | 0.544 | 0.078 (0.288) |
| LEV | 0.786 | 0.609 | 0.406 (1.436) | −0.061 (−0.157) |
| MTB | 0.038 | 0.022 (0.746) | −0.061 | 0.001 (0.018) |
| Adjusted | 0.218 | 0.418 | 0.310 | 0.205 |
| Observation | 240 | 240 | 240 | 240 |
| Robust standard errors | Yes | Yes | Yes | Yes |
| Year fixed effect | Yes | Yes | Yes | Yes |
| Industry fixed effect | Yes | Yes | Yes | Yes |
Notes:
The table exhibits the OLS results for financially constrained (HFC) and nonfinancially constrained subsample (NFC). The significance levels are denoted as *, ** and ***at 10, 5 and 1%, respectively. t-Statistics in parentheses
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