Table A1. List of variable Variables... | Emerald Publishing

Table A1.

List of variable

Variables	Definition
Dependent
NCSKEW_t+1	The forward one-year negative skewness of firm-specific weekly return over the fiscal-year
DUVOL_t+1	The forward one-year log ratio of the standard deviations of down-week to up-week firm-specific returns
Independent
MAS_t	Managerial ability ranked score measure developed by Demerjian et al. (2012)
HMA	1 if MAS is above the median, otherwise zero
Moderator
FC	According to Kaplan and Zingales (1997), KZ index, Financial Constraint measure is computed: ${K Z}_{i t} = - (1.002 \frac{{C F}_{i t}}{{T A}_{i t}}) - (39.368 \frac{{D i v}_{i t}}{{T A}_{i t}}) - (1.315 \frac{C_{i t}}{{T A}_{i t}}) + (3.139 {L e v}_{i t}) + (0.283 Q_{i t})$
HFC	High financially constrained firms. 1 if the KZ score is above the median
NFC	Non financially constrained firms. 0 if the KZ score is below the median
NODIV	Dummy variable that has a value of 1 if the firm does not pay dividends
Controls
SIGMA	SD of firm-specific weekly returns over year t
RET	Average of firm-specific weekly returns over year t
SIZE	Firm size calculated as the natural log of total assets
ROA	Return on Assets, computed by dividing net income by total assets
LEV	Leverage ratio, computed by dividing long-term liability by total assets
MTB	Market to book ratio, computed by dividing the market value by the book value of equity in year t

Variables	Definition
Dependent
NCSKEW_t+1	The forward one-year negative skewness of firm-specific weekly return over the fiscal-year
DUVOL_t+1	The forward one-year log ratio of the standard deviations of down-week to up-week firm-specific returns
Independent
MAS_t	Managerial ability ranked score measure developed by Demerjian et al. (2012)
HMA	1 if MAS is above the median, otherwise zero
Moderator
FC	According to Kaplan and Zingales (1997), KZ index, Financial Constraint measure is computed: ${K Z}_{i t} = - (1.002 \frac{{C F}_{i t}}{{T A}_{i t}}) - (39.368 \frac{{D i v}_{i t}}{{T A}_{i t}}) - (1.315 \frac{C_{i t}}{{T A}_{i t}}) + (3.139 {L e v}_{i t}) + (0.283 Q_{i t})$
HFC	High financially constrained firms. 1 if the KZ score is above the median
NFC	Non financially constrained firms. 0 if the KZ score is below the median
NODIV	Dummy variable that has a value of 1 if the firm does not pay dividends
Controls
SIGMA	SD of firm-specific weekly returns over year t
RET	Average of firm-specific weekly returns over year t
SIZE	Firm size calculated as the natural log of total assets
ROA	Return on Assets, computed by dividing net income by total assets
LEV	Leverage ratio, computed by dividing long-term liability by total assets
MTB	Market to book ratio, computed by dividing the market value by the book value ofequity in year t

Source: Authors’ own work