Table 6 Channel analysis: ROA volatility...

Table 6

Channel analysis: ROA volatility

	(1)	(2)	(3)	(4)	(5)	(6)
Dependent variable	ROA_VOL			DD
DIR	0.009***			−0.004***
DIR	(3.386)			(−2.974)
CEOIR		0.014***			−0.003*
CEOIR		(4.756)			(−1.949)
EMPIR			0.070***			−0.003**
EMPIR			(5.515)			(−2.314)
ROA_VOL				−0.049***	−0.048***	−0.049***
ROA_VOL				(−15.840)	(−15.078)	(−15.838)
LNS	0.113**	0.149***	0.106**	−0.200***	−0.211***	−0.200***
LNS	(2.128)	(2.629)	(1.998)	(−6.993)	(−7.044)	(−6.993)
K/S	−0.274**	−0.127	−0.291**	0.219***	0.178**	0.221***
K/S	(−2.182)	(−0.961)	(−2.315)	(3.212)	(2.537)	(3.243)
Y/S	1.104***	1.239***	1.147***	0.712***	0.707***	0.714***
Y/S	(3.406)	(3.670)	(3.535)	(4.052)	(3.944)	(4.065)
R&D/K	0.001	0.004	0.001	−0.002	−0.002	−0.002
R&D/K	(0.215)	(0.611)	(0.176)	(−0.421)	(−0.642)	(−0.425)
RDUM	0.004	0.007	0.011	0.806	0.453	0.809
RDUM	(0.003)	(0.004)	(0.008)	(1.092)	(0.534)	(1.096)
I/K	0.051	0.045	0.047	−0.007	−0.004	−0.007
I/K	(1.407)	(1.262)	(1.316)	(−0.381)	(−0.187)	(−0.365)
ROA	−0.034***	−0.039***	−0.036***	0.015***	0.012***	0.014***
ROA	(−11.276)	(−12.420)	(−11.840)	(8.840)	(7.261)	(8.719)
LEVERAGE	1.048***	0.927***	1.113***	−3.351***	−3.167***	−3.348***
LEVERAGE	(6.040)	(5.051)	(6.402)	(−35.635)	(−32.512)	(−35.565)
Age	−0.760***	−0.915***	−0.870***	0.333***	0.280***	0.356***
Age	(−12.816)	(−13.921)	(−15.451)	(10.333)	(7.988)	(11.647)
Constant	3.346**	3.465**	4.013***	5.383***	5.930***	5.302***
Constant	(2.266)	(2.025)	(2.719)	(6.731)	(6.533)	(6.638)
Observations	33,664	31,388	33,673	33,664	31,388	33,673
R-squared	0.518	0.527	0.519	0.810	0.819	0.810
Firm fixed effect	Yes	Yes	Yes	Yes	Yes	Yes
Year effects	Yes	Yes	Yes	Yes	Yes	Yes

	(1)	(2)	(3)	(4)	(5)	(6)
Dependent variable	ROA_VOL			DD
DIR	0.009***			−0.004***
DIR	(3.386)			(−2.974)
CEOIR		0.014***			−0.003*
CEOIR		(4.756)			(−1.949)
EMPIR			0.070***			−0.003**
EMPIR			(5.515)			(−2.314)
ROA_VOL				−0.049***	−0.048***	−0.049***
ROA_VOL				(−15.840)	(−15.078)	(−15.838)
LNS	0.113**	0.149***	0.106**	−0.200***	−0.211***	−0.200***
LNS	(2.128)	(2.629)	(1.998)	(−6.993)	(−7.044)	(−6.993)
K/S	−0.274**	−0.127	−0.291**	0.219***	0.178**	0.221***
K/S	(−2.182)	(−0.961)	(−2.315)	(3.212)	(2.537)	(3.243)
Y/S	1.104***	1.239***	1.147***	0.712***	0.707***	0.714***
Y/S	(3.406)	(3.670)	(3.535)	(4.052)	(3.944)	(4.065)
R&D/K	0.001	0.004	0.001	−0.002	−0.002	−0.002
R&D/K	(0.215)	(0.611)	(0.176)	(−0.421)	(−0.642)	(−0.425)
RDUM	0.004	0.007	0.011	0.806	0.453	0.809
RDUM	(0.003)	(0.004)	(0.008)	(1.092)	(0.534)	(1.096)
I/K	0.051	0.045	0.047	−0.007	−0.004	−0.007
I/K	(1.407)	(1.262)	(1.316)	(−0.381)	(−0.187)	(−0.365)
ROA	−0.034***	−0.039***	−0.036***	0.015***	0.012***	0.014***
ROA	(−11.276)	(−12.420)	(−11.840)	(8.840)	(7.261)	(8.719)
LEVERAGE	1.048***	0.927***	1.113***	−3.351***	−3.167***	−3.348***
LEVERAGE	(6.040)	(5.051)	(6.402)	(−35.635)	(−32.512)	(−35.565)
Age	−0.760***	−0.915***	−0.870***	0.333***	0.280***	0.356***
Age	(−12.816)	(−13.921)	(−15.451)	(10.333)	(7.988)	(11.647)
Constant	3.346**	3.465**	4.013***	5.383***	5.930***	5.302***
Constant	(2.266)	(2.025)	(2.719)	(6.731)	(6.533)	(6.638)
Observations	33,664	31,388	33,673	33,664	31,388	33,673
R-squared	0.518	0.527	0.519	0.810	0.819	0.810
Firm fixed effect	Yes	Yes	Yes	Yes	Yes	Yes
Year effects	Yes	Yes	Yes	Yes	Yes	Yes

Note(s): Table 6 presents regression results of whether the effect of insider ownership on default risk is affected by the degree of risk taking. We use ROA volatility as a variable to capture firm’s risk-taking behavior. ROA volatility is measured as the standard deviation of ROA in previous three years. T-statistics are in parentheses. Definitions of all variables are provided in Appendix. Superscripts ***, ** and * denotes statistical significance at 1, 5 and 10% level, respectively

Source(s): Table created by the authors

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