Alternative proxy for financial constraints
| 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 | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Constant | −0.419 (−0.59) | −3.052 (−1.668) | −0.929 (−1.615) | −0.611 (−0.663) | 0.273 (0.317) | −3.500 (−3.073) |
| MAS | −1.182*** (−5.056) | −1.832*** (−5.635) | −0.343 (−1.545) | −1.118*** (−3.137) | −1.594*** (−4.829) | −1.808*** (−4.144) |
| NODIV | −0.087 (−1.412) | 0.011 (0.115) | ||||
| MAS×NODIV | 0.558** (2.046) | 0.738* (1.943) | ||||
| SIGMA | 1.332 (0.150) | 53.740*** (3.581) | 2.632 (0.249) | 52.896*** (3.123) | −8.204 (−0.0.622) | 54.572*** (3.130) |
| RET | −15.202 (−0.963) | −82.039*** (−3.383) | −14.669 (−0.713) | −75.393** (−2.284) | −42.355 (1.385) | −127.650*** (−3.158) |
| SIZE | −0.041** (−2.068) | 0.030 91.022) | −0.026 (−0.935) | −0.024 (−0.546) | −0.040 (−1.175) | 0.067 (1.492) |
| ROA | 0.434*** (3.369) | 0.028 (0.137) | 0.130 (0.661) | 0.065 (0.207) | 0.709*** (2.884) | −0.032 (−0.100) |
| LEV | 1.035*** (4.773) | 0.305 (0.962) | 1.528 ***(5.805) | 0.364 (0.836) | 0.302 (0.715) | 0.397 (0.710) |
| MTB | −0.010 (−0.567) | −0.012 (−0.440) | −0.015 (−0.509) | −0.048 (−1.040) | 0.022 (0.680) | 0.020 (0.467) |
| Adjusted R2 | 0.294 | 0.241 | 0.276 | 0.129 | 0.236 | 0.306 |
| Observation | 480 | 480 | 270 | 270 | 210 | 210 |
| Year fixed effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry fixed effect | Yes | Yes | Yes | Yes | Yes | Yes |
| 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 | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Constant | −0.419 (−0.59) | −3.052 (−1.668) | −0.929 (−1.615) | −0.611 (−0.663) | 0.273 (0.317) | −3.500 (−3.073) |
| MAS | −1.182 | −1.832 | −0.343 (−1.545) | −1.118 | −1.594 | −1.808 |
| NODIV | −0.087 (−1.412) | 0.011 (0.115) | ||||
| MAS×NODIV | 0.558 | 0.738 | ||||
| SIGMA | 1.332 (0.150) | 53.740 | 2.632 (0.249) | 52.896 | −8.204 (−0.0.622) | 54.572 |
| RET | −15.202 (−0.963) | −82.039 | −14.669 (−0.713) | −75.393 | −42.355 (1.385) | −127.650 |
| SIZE | −0.041 | 0.030 91.022) | −0.026 (−0.935) | −0.024 (−0.546) | −0.040 (−1.175) | 0.067 (1.492) |
| ROA | 0.434 | 0.028 (0.137) | 0.130 (0.661) | 0.065 (0.207) | 0.709 | −0.032 (−0.100) |
| LEV | 1.035 | 0.305 (0.962) | 1.528 | 0.364 (0.836) | 0.302 (0.715) | 0.397 (0.710) |
| MTB | −0.010 (−0.567) | −0.012 (−0.440) | −0.015 (−0.509) | −0.048 (−1.040) | 0.022 (0.680) | 0.020 (0.467) |
| Adjusted | 0.294 | 0.241 | 0.276 | 0.129 | 0.236 | 0.306 |
| Observation | 480 | 480 | 270 | 270 | 210 | 210 |
| Year fixed effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry fixed effect | Yes | Yes | Yes | Yes | Yes | Yes |
Notes:
The significance levels are denoted as *, ** and ***at 10, 5 and 1%, respectively. t-Statistics in parentheses
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