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 |