Table 7 Channel analysis: Stock price...

Table 7

Channel analysis: Stock price volatility

	(1)	(2)	(3)	(4)	(5)	(6)
Dependent variable	Stock volatility			DD
DIR	0.004***			−0.007***
DIR	(5.284)			(−5.178)
CEOIR		0.002***			−0.005***
CEOIR		(2.596)			(−3.047)
EMPIR			0.035***			−0.040***
EMPIR			(11.304)			(−6.671)
Stock volatility				−0.952***	−0.950***	−0.955***
Stock volatility				(−88.491)	(−79.766)	(−88.590)
LNS	−0.274***	−0.294***	−0.273***	−0.463***	−0.511***	−0.463***
LNS	(−20.514)	(−20.457)	(−20.514)	(−17.994)	(−17.853)	(−17.981)
K/S	−0.314***	−0.279***	−0.317***	−0.020	−0.056	−0.025
K/S	(−9.958)	(−8.446)	(−10.078)	(−0.329)	(−0.857)	(−0.414)
Y/S	1.139***	1.153***	1.139***	1.839***	1.767***	1.840***
Y/S	(13.579)	(13.518)	(13.602)	(11.408)	(10.443)	(11.412)
R&D/K	−0.002	−0.001	−0.002	−0.007	−0.008*	−0.007
R&D/K	(−0.731)	(−0.582)	(−0.800)	(−1.388)	(−1.673)	(−1.420)
RDUM	−0.399	−0.285	−0.396	0.296	0.164	0.299
RDUM	(−1.280)	(−0.736)	(−1.272)	(0.496)	(0.214)	(0.501)
I/K	0.023**	0.021**	0.022**	0.005	0.005	0.005
I/K	(2.406)	(2.338)	(2.388)	(0.267)	(0.308)	(0.275)
ROA	0.005***	0.006***	0.004***	0.021***	0.019***	0.020***
ROA	(5.954)	(7.278)	(5.395)	(13.679)	(11.753)	(13.334)
LEVERAGE	0.800***	0.620***	0.824***	−2.878***	−2.734***	−2.849***
LEVERAGE	(18.248)	(13.352)	(18.802)	(−34.067)	(−29.664)	(−33.670)
Age	−0.114***	−0.014	−0.103***	0.334***	0.355***	0.368***
Age	(−6.386)	(−0.671)	(−6.041)	(9.785)	(8.458)	(11.279)
Constant	6.126***	5.890***	6.162***	10.933***	11.406***	10.896***
Constant	(17.792)	(14.078)	(17.945)	(16.480)	(13.740)	(16.446)
Observations	34,827	30,636	34,831	34,827	30,636	34,831
R-squared	0.438	0.440	0.460	0.674	0.675	0.679
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	Stock volatility			DD
DIR	0.004***			−0.007***
DIR	(5.284)			(−5.178)
CEOIR		0.002***			−0.005***
CEOIR		(2.596)			(−3.047)
EMPIR			0.035***			−0.040***
EMPIR			(11.304)			(−6.671)
Stock volatility				−0.952***	−0.950***	−0.955***
Stock volatility				(−88.491)	(−79.766)	(−88.590)
LNS	−0.274***	−0.294***	−0.273***	−0.463***	−0.511***	−0.463***
LNS	(−20.514)	(−20.457)	(−20.514)	(−17.994)	(−17.853)	(−17.981)
K/S	−0.314***	−0.279***	−0.317***	−0.020	−0.056	−0.025
K/S	(−9.958)	(−8.446)	(−10.078)	(−0.329)	(−0.857)	(−0.414)
Y/S	1.139***	1.153***	1.139***	1.839***	1.767***	1.840***
Y/S	(13.579)	(13.518)	(13.602)	(11.408)	(10.443)	(11.412)
R&D/K	−0.002	−0.001	−0.002	−0.007	−0.008*	−0.007
R&D/K	(−0.731)	(−0.582)	(−0.800)	(−1.388)	(−1.673)	(−1.420)
RDUM	−0.399	−0.285	−0.396	0.296	0.164	0.299
RDUM	(−1.280)	(−0.736)	(−1.272)	(0.496)	(0.214)	(0.501)
I/K	0.023**	0.021**	0.022**	0.005	0.005	0.005
I/K	(2.406)	(2.338)	(2.388)	(0.267)	(0.308)	(0.275)
ROA	0.005***	0.006***	0.004***	0.021***	0.019***	0.020***
ROA	(5.954)	(7.278)	(5.395)	(13.679)	(11.753)	(13.334)
LEVERAGE	0.800***	0.620***	0.824***	−2.878***	−2.734***	−2.849***
LEVERAGE	(18.248)	(13.352)	(18.802)	(−34.067)	(−29.664)	(−33.670)
Age	−0.114***	−0.014	−0.103***	0.334***	0.355***	0.368***
Age	(−6.386)	(−0.671)	(−6.041)	(9.785)	(8.458)	(11.279)
Constant	6.126***	5.890***	6.162***	10.933***	11.406***	10.896***
Constant	(17.792)	(14.078)	(17.945)	(16.480)	(13.740)	(16.446)
Observations	34,827	30,636	34,831	34,827	30,636	34,831
R-squared	0.438	0.440	0.460	0.674	0.675	0.679
Firm fixed effect	Yes	Yes	Yes	Yes	Yes	Yes
Year effects	Yes	Yes	Yes	Yes	Yes	Yes

Note(s): Table 7 presents regression results of whether the effect of insider ownership on default risk is affected by the degree of risk taking. We use stock volatility as a variable to capture firm’s risk-taking behavior. Stock volatility is measured as the standard deviation of daily stock returns in year t. 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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