Variables

Coefficients and t-value

(a)

NCSKEWi,t+1

(b)

DUVOLi,t+1

(c)

NCSKEWi,t+1

(d)

DUVOLi,t+1

Acci,t

0.391**

0.134**

(0.17)

(0.06)

Lnggi,t

0.0150

0.009***

(0.01)

(0.00)

Fundi,t

1.608***

0.576***

1.567***

0.555***

(0.22)

(0.07)

(0.21)

(0.07)

Reti,t

26.678***

9.076***

26.836***

9.058***

(2.12)

(0.90)

(2.03)

(0.88)

Sigmai,t

0.0370

0.732

−0.00200

0.728

(1.60)

(0.71)

(1.54)

(0.70)

Pbi,t

−0.002*

−0.00200

−0.00200

−0.00200

(0.00)

(0.00)

(0.00)

(0.00)

Sizei,t

0.156***

0.036***

0.145***

0.029***

(0.03)

(0.00)

(0.04)

(0.00)

Dai,t

−0.245

−0.00700

−0.226

0.000

(0.28)

(0.07)

(0.28)

(0.07)

Yturni,t

−0.0900

0.0150

−0.127

0.00200

(0.43)

(0.16)

(0.41)

(0.15)

Roai,t

1.326***

0.426***

1.376***

0.442***

(0.43)

(0.12)

(0.44)

(0.13)

Cons

−3.612***

−0.907***

−3.560***

−0.889***

(0.71)

(0.11)

(0.73)

(0.11)

Industry

fixed

fixed

fixed

fixed

Year

N

1355

1372

1350

1367

R2

0.102

0.106

0.104

0.107

Adj-R2

0.0850

0.0900

0.0860

0.0890