(1)

(2)

(3)

(4)

(5)

NCSKEW

DUNVOL

ieffi

Over

Under

Option

−0.192***

−0.178***

−0.005*

−0.005**

0.001

(0.061)

(0.056)

(0.003)

(0.002)

(0.001)

Mgr

0.125

0.296

0.022**

0.0140

−0.00800

(0.312)

(0.304)

(0.011)

(0.009)

(0.006)

Ddr

−0.211

−0.149

−0.0150

−0.00800

0.00600

(0.857)

(0.815)

(0.034)

(0.024)

(0.015)

Size

1.357

1.013

0.137

0.066

−0.072*

(1.633)

(1.503)

(0.097)

(0.075)

(0.038)

Bm

−1.096***

−1.246***

0.018**

0.013**

−0.005

(0.177)

(0.178)

(0.007)

(0.005)

(0.004)

Lev

−0.409

−0.329

−0.012

−0.006

0.006

(0.275)

(0.269)

(0.012)

(0.010)

(0.005)

Tbq

0.027

0.042**

0.001*

0.001

−0.001

(0.019)

(0.019)

(0.001)

(0.001)

(0.000)

Insar

−0.367*

−0.344*

−0.005

−0.005

0.001

(0.204)

(0.202)

(0.008)

(0.006)

(0.004)

Roa

2.330***

2.778***

0.105***

0.083***

−0.022

(0.778)

(0.735)

(0.033)

(0.023)

(0.017)

Ret

−0.669

−1.419

(3.457)

(3.586)

Zda

−0.291

−0.252

(0.498)

(0.451)

Sigma

−0.700

−0.023

(1.586)

(1.630)

Hslb

2.055***

1.950***

(0.270)

(0.276)

Dual

0.008**

0.005*

−0.003

(0.004)

(0.003)

(0.002)

FCF

0.381

0.426

0.045

(0.457)

(0.344)

(0.149)

Cons

0.783**

0.615*

−0.018

0.004

0.022***

(0.370)

(0.350)

(0.016)

(0.011)

(0.007)

N

2501

2501

2501

2501

2501

R²

0.0951

0.1280

0.0170

0.0190

0.0070

Adj.R-Sq

0.0950

0.1280

0.0170

0.0190

0.0070