| VARIABLES | NCSKEW | Crash | ||
| Models | (1a) | (1b) | (2a) | (2b) |
| R&D | −0.0038*** | −0.0029*** | −0.0146*** | −0.0120** |
|
| (−4.23) | (−3.18) | (−2.75) | (−2.21) |
| RturnSd |
| −0.0941*** |
| 0.1263 |
|
|
| (−4.72) |
| (1.00) |
| RetFirmAvg |
| −1.4008*** |
| −18.9172*** |
|
|
| (−6.27) |
| (−12.22) |
| Sigma |
| −5.7328*** |
| 16.6559*** |
|
|
| (−11.39) |
| (5.54) |
| Size |
| −0.0220*** |
| −0.0934** |
|
|
| (−3.23) |
| (−2.19) |
| Lev |
| 0.2822*** |
| −0.2325 |
|
|
| (8.17) |
| (−1.12) |
| BM |
| −0.0856*** |
| 0.1524** |
|
|
| (−8.47) |
| (2.58) |
| ROA |
| 0.1114 |
| −0.3412 |
|
|
| (1.00) |
| (−0.51) |
| AbsDa |
| 0.1496*** |
| 0.0144 |
|
|
| (3.76) |
| (0.06) |
| Crash_Last/NCSKEW_Last |
| 0.0634*** |
| 0.2307** |
|
|
| (7.15) |
| (2.03) |
| Year、Industry | Yes | Yes | Yes | Yes |
| Constant | −0.3790*** | 0.3059** | −3.0344*** | −1.1497 |
|
| (−8.40) | (2.05) | (−11.21) | (−1.22) |
| Observations | 12,615 | 12,615 | 12,610 | 12,610 |
| Adj. R2(r2_p) | 0.0315 | 0.0708 | 0.0331 | 0.0586 |