Table 8 Robustness analysis (1) (2) (3)... | Emerald Publishing

Table 8

Robustness analysis

	(1)	(2)	(3)
	Crash_i,t	NCSKEW_i,t	DUVOL_i,t
ESG_uncertainty_i,t−1	0.025^***
ESG_uncertainty_i,t−1	(2.645)
CRASH_i,t−1	0.016^**
CRASH_i,t−1	(1.995)
ESG_rank_i,t−1		0.037^**	0.037^***
ESG_rank_i,t−1		(2.221)	(2.697)
NCSKEW_i,t−1		0.042^***
NCSKEW_i,t−1		(5.565)
DUVOL_i,t−1			0.048^***
DUVOL_i,t−1			(6.608)
Size_i,t−1	−0.008^***	−0.008^*	−0.008^**
Size_i,t−1	(−3.341)	(−1.648)	(−2.283)
BM_i,t−1	0.002	−0.019^***	−0.011^***
BM_i,t−1	(0.930)	(−4.532)	(−3.984)
Lev_i,t−1	0.005	0.020	0.004
Lev_i,t−1	(0.367)	(0.728)	(0.189)
Big4_i,t−1	0.002	0.001	0.004
Big4_i,t−1	(0.181)	(0.034)	(0.308)
ROA_i,t−1	0.049	0.070	−0.108^**
ROA_i,t−1	(1.595)	(1.216)	(−2.368)
DA_i,t−1	−0.021	−0.056	0.000
DA_i,t−1	(−0.713)	(−0.967)	(0.005)
Ret_i,t−1	−0.312	7.609^***	5.238^***
Ret_i,t−1	(−0.854)	(11.404)	(10.283)
Sigma_i,t−1	−0.922^***	−0.213	−0.431^*
Sigma_i,t−1	(−5.238)	(−0.643)	(−1.823)
SOE_i,t−1	0.003	−0.051^***	−0.031^***
SOE_i,t−1	(0.607)	(−4.755)	(−4.071)
Intercept	0.310^***	−0.056	0.050
Intercept	(5.280)	(−0.520)	(0.626)
Year fixed effects	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes
N	20,514	20,514	20,514
Adj R²	0.006	0.041	0.043
F-value	12.070	20.267	19.646

	(1)	(2)	(3)
	Crash_i,t	NCSKEW_i,t	DUVOL_i,t
ESG_uncertainty_i,t−1	0.025^***
ESG_uncertainty_i,t−1	(2.645)
CRASH_i,t−1	0.016^**
CRASH_i,t−1	(1.995)
ESG_rank_i,t−1		0.037^**	0.037^***
ESG_rank_i,t−1		(2.221)	(2.697)
NCSKEW_i,t−1		0.042^***
NCSKEW_i,t−1		(5.565)
DUVOL_i,t−1			0.048^***
DUVOL_i,t−1			(6.608)
Size_i,t−1	−0.008^***	−0.008^*	−0.008^**
Size_i,t−1	(−3.341)	(−1.648)	(−2.283)
BM_i,t−1	0.002	−0.019^***	−0.011^***
BM_i,t−1	(0.930)	(−4.532)	(−3.984)
Lev_i,t−1	0.005	0.020	0.004
Lev_i,t−1	(0.367)	(0.728)	(0.189)
Big4_i,t−1	0.002	0.001	0.004
Big4_i,t−1	(0.181)	(0.034)	(0.308)
ROA_i,t−1	0.049	0.070	−0.108^**
ROA_i,t−1	(1.595)	(1.216)	(−2.368)
DA_i,t−1	−0.021	−0.056	0.000
DA_i,t−1	(−0.713)	(−0.967)	(0.005)
Ret_i,t−1	−0.312	7.609^***	5.238^***
Ret_i,t−1	(−0.854)	(11.404)	(10.283)
Sigma_i,t−1	−0.922^***	−0.213	−0.431^*
Sigma_i,t−1	(−5.238)	(−0.643)	(−1.823)
SOE_i,t−1	0.003	−0.051^***	−0.031^***
SOE_i,t−1	(0.607)	(−4.755)	(−4.071)
Intercept	0.310^***	−0.056	0.050
Intercept	(5.280)	(−0.520)	(0.626)
Year fixed effects	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes
N	20,514	20,514	20,514
Adj R²	0.006	0.041	0.043
F-value	12.070	20.267	19.646

Note(s): *p < 0.1, **p < 0.05, ***p < 0.01

Source(s): Table by authors