Variables

Coefficients and t-value

(e)

NCSKEW_i,t+1

(f)

DUVOL_i,t+1

(g)

NCSKEW_i,t+1

(h)

DUVOL_i,t+1

Acc_i,t

0.399**

0.143**

10.518**

1.304

(0.17)

(0.06)

(3.62)

(0.98)

Lngg_i,t

0.017*

0.010***

0.073**

0.016**

(0.01)

(0.00)

(0.02)

(0.01)

Acc_i,t * Lngg_i,t

−0.648**

−0.0740

(0.23)

(0.06)

Fund_i,t

1.572***

0.554***

1.491***

0.545***

(0.22)

(0.07)

(0.19)

(0.07)

Ret_i,t

26.577***

9.017***

26.920***

9.058***

(2.06)

(0.88)

(2.14)

(0.90)

Sigma_i,t

0.0650

0.752

0.127

0.761

(1.59)

(0.71)

(1.63)

(0.71)

Pb_i,t

−0.00200

−0.00200

−0.00200

−0.00200

(0.00)

(0.00)

(0.00)

(0.00)

Size_i,t

0.145***

0.029***

0.142***

0.029***

(0.04)

(0.00)

(0.04)

(0.00)

Da_i,t

−0.240

−0.00500

−0.235

−0.00500

(0.27)

(0.07)

(0.27)

(0.07)

Yturn_i,t

−0.120

0.00200

−0.129

0

(0.41)

(0.15)

(0.41)

(0.15)

Roa_i,t

1.348***

0.437***

1.343***

0.437***

(0.44)

(0.13)

(0.44)

(0.13)

Cons

−3.628***

−0.915***

−4.433***

−1.007***

(0.71)

(0.11)

(0.50)

(0.09)

Industry

Fixed

Fixed

Fixed

fixed

Year

N

1350

1367

1350

1367

R2

0.103

0.107

0.104

0.107

Adj-R2

0.0850

0.0900

0.0860

0.0890