Moderating effect of financial constraints before and during covid-19
| Pre-covid-19 (2018–2019) | During covid-19 (2020–2021) | |||||||
|---|---|---|---|---|---|---|---|---|
| High financially constrained subsample (HFC = 1) | Nonfinancially constrained subsample (NFC = 0) | 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 | |
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | |
| Constant | −1.167 (−2.313) | −1.594 (−1.985) | −0.215 (−0.263) | −1.476 (−1.198) | 0.962 (1.652) | −3.228 (−3.617) | 1.617 (1.490) | −0.567 (−0.387) |
| MAS | −0.172 (−0.562) | −0.385 (−0.868) | −1.936*** (−5.330) | −1.892*** (−3.568) | −0.365 (−1.371) | −0.596 (−1.549) | −2.278*** (−6.610) | −2.546*** (−5.201) |
| SIGMA | 7.559 (0.733) | 69.916*** (4.12) | 29.993*(1.724) | 29.701 (1.155) | −53.515*** (−5.327) | 43.064** (2.845) | 21.832 (1.015) | 89.539*** (−2.382) |
| RET | 16.466 (1.079) | −78.779*** (−3.459) | 18.852 (0.767) | 12.775 (0.433) | −79.667*** (−3.808) | −201.389*** (−6.155) | −35.760 (−0.940) | −122.778*** (−2.900) |
| SIZE | 0.027 (0.983) | −0.040 (−1.014) | −0.068* (−1.661) | 0.031 (0.492) | −0.038 (−1.091) | 0.133*** (2.811) | −0.132** (−2.168) | −0.018 (−0.250) |
| ROA | 0.027 (0.159) | 0.246 (0.919) | 0.511** (2.002) | −0.183 (−0.518) | 0.089 (0.385) | −0.923*** (−3.201) | 0.783** (2.037) | 0.689 (1.573) |
| LEV | 0.386 (1.454) | 1.155*** (2.862) | 0.699* (1.882) | 0.787 (1.537) | 0.890** (3.091) | 0.138 (0.338) | −0.014 (−0.034) | −1.381*** (−2.553) |
| MTB | 0.037 (1.692) | 0.025 (0.846) | −0.037 (−0.809) | 0.026 (0.466) | 0.027 (0.870) | 0.023 (0.569) | −0.114**(−2.569) | −0.049 (−0.978) |
| Adjusted R2 | 0.006 | 0.375 | 0.272 | 0.127 | 0.256 | 0.373 | 0.349 | 0.399 |
| Observations | 107 | 107 | 133 | 133 | 133 | 133 | 107 | 107 |
| Pre-covid-19 (2018–2019) | During covid-19 (2020–2021) | |||||||
|---|---|---|---|---|---|---|---|---|
| High financially constrained subsample (HFC = 1) | Nonfinancially constrained subsample (NFC = 0) | 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 | |
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | |
| Constant | −1.167 (−2.313) | −1.594 (−1.985) | −0.215 (−0.263) | −1.476 (−1.198) | 0.962 (1.652) | −3.228 (−3.617) | 1.617 (1.490) | −0.567 (−0.387) |
| MAS | −0.172 (−0.562) | −0.385 (−0.868) | −1.936 | −1.892 | −0.365 (−1.371) | −0.596 (−1.549) | −2.278 | −2.546 |
| SIGMA | 7.559 (0.733) | 69.916 | 29.993 | 29.701 (1.155) | −53.515 | 43.064 | 21.832 (1.015) | 89.539 |
| RET | 16.466 (1.079) | −78.779 | 18.852 (0.767) | 12.775 (0.433) | −79.667 | −201.389 | −35.760 (−0.940) | −122.778 |
| SIZE | 0.027 (0.983) | −0.040 (−1.014) | −0.068 | 0.031 (0.492) | −0.038 (−1.091) | 0.133 | −0.132 | −0.018 (−0.250) |
| ROA | 0.027 (0.159) | 0.246 (0.919) | 0.511 | −0.183 (−0.518) | 0.089 (0.385) | −0.923 | 0.783 | 0.689 (1.573) |
| LEV | 0.386 (1.454) | 1.155 | 0.699 | 0.787 (1.537) | 0.890 | 0.138 (0.338) | −0.014 (−0.034) | −1.381 |
| MTB | 0.037 (1.692) | 0.025 (0.846) | −0.037 (−0.809) | 0.026 (0.466) | 0.027 (0.870) | 0.023 (0.569) | −0.114 | −0.049 (−0.978) |
| Adjusted | 0.006 | 0.375 | 0.272 | 0.127 | 0.256 | 0.373 | 0.349 | 0.399 |
| Observations | 107 | 107 | 133 | 133 | 133 | 133 | 107 | 107 |
Notes:
The table displays the OLS results of the moderating effect of financial constraints for different sample periods (namely, pre-Covid 19 and during Covid-19 period) for HFC and NFC subsample based on KZ index. The significance levels are denoted as *, ** and ***at 10, 5 and 1%, respectively. t-Statistics in parentheses
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