(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

NCSKEW

DUNVOL

NCSKEW

DUNVOL

NCSKEW

DUNVOL

NCSKEW

DUNVOL

ieffi

0.809*

0.875*

0.762*

0.830*

(0.459)

(0.469)

(0.456)

(0.467)

Over

1.098*

1.064*

(0.610)

(0.626)

Option

−0.192***

−0.178***

−0.188***

−0.176***

(0.061)

(0.056)

(0.061)

(0.058)

Mgr

0.184

0.348

0.189

0.355

−0.211

−0.149

−0.201

−0.138

(0.312)

(0.304)

(0.311)

(0.304)

(0.857)

(0.815)

(0.856)

(0.815)

Ddr

−0.190

−0.128

−0.193

−0.132

1.357

1.013

1.260

0.908

(0.859)

(0.818)

(0.860)

(0.820)

(1.633)

(1.503)

(1.626)

(1.501)

Size

0.753

0.433

0.789

0.478

−1.096***

−1.246***

−0.401

−0.319

(1.621)

(1.498)

(1.622)

(1.498)

(0.177)

(0.178)

(0.274)

(0.268)

Lev

−0.471*

−0.385

−0.473*

−0.389

−0.409

−0.329

−1.108***

−1.260***

(0.273)

(0.267)

(0.273)

(0.267)

(0.275)

(0.269)

(0.176)

(0.177)

Bm

−1.092***

−1.245***

−1.093***

−1.244***

0.027

0.042**

0.026

0.041**

(0.176)

(0.177)

(0.176)

(0.177)

(0.019)

(0.019)

(0.018)

(0.019)

Tbq

0.026

0.041**

0.0270

0.041**

−0.367*

−0.344*

−0.359*

−0.336*

(0.019)

(0.019)

(0.019)

(0.019)

(0.204)

(0.202)

(0.203)

(0.201)

Insar

−0.395**

−0.369*

−0.394**

−0.370*

2.330***

2.778***

2.253***

2.694***

(0.200)

(0.197)

(0.200)

(0.197)

(0.778)

(0.735)

(0.782)

(0.738)

Roa

2.013***

2.469***

2.006***

2.471***

−0.669

−1.419

−0.550

−1.289

(0.773)

(0.726)

(0.774)

(0.728)

(3.457)

(3.586)

(3.458)

(3.596)

Ret

−1.075

−1.781

−1.149

−1.867

−0.291

−0.252

−0.281

−0.242

(3.454)

(3.589)

(3.451)

(3.583)

(0.498)

(0.451)

(0.496)

(0.449)

Zda

−0.320

−0.278

−0.315

−0.275

−0.700

−0.023

−0.729

−0.055

(0.503)

(0.453)

(0.502)

(0.452)

(1.586)

(1.630)

(1.588)

(1.633)

Sigma

−0.663

0.007

−0.627

0.0460

2.055***

1.950***

2.065***

1.960***

(1.586)

(1.630)

(1.587)

(1.631)

(0.270)

(0.276)

(0.270)

(0.275)

Hslb

2.047***

1.943***

2.053***

1.948***

0.783**

0.615*

0.793**

0.626*

(0.272)

(0.277)

(0.272)

(0.277)

(0.370)

(0.350)

(0.370)

(0.351)

Cons

0.755**

0.590*

0.735**

0.570

2501

2501

2501

2501

(0.369)

(0.350)

(0.370)

(0.351)

0.0951

0.1280

0.0960

0.129

N

2501

2501

2501

2501

0.0950

0.1280

0.0960

0.129

R²

0.0920

0.125

0.0920

0.125

Adj.R-Sq

0.0920

0.125

0.0920

0.125