Variables | Coefficients and t-value | |||
(e) NCSKEWi,t+1 | (f) DUVOLi,t+1 | (g) NCSKEWi,t+1 | (h) DUVOLi,t+1 | |
Acci,t | 0.399** | 0.143** | 10.518** | 1.304 |
(0.17) | (0.06) | (3.62) | (0.98) | |
Lnggi,t | 0.017* | 0.010*** | 0.073** | 0.016** |
(0.01) | (0.00) | (0.02) | (0.01) | |
Acci,t * Lnggi,t |
|
| −0.648** | −0.0740 |
|
| (0.23) | (0.06) | |
Fundi,t | 1.572*** | 0.554*** | 1.491*** | 0.545*** |
(0.22) | (0.07) | (0.19) | (0.07) | |
Reti,t | 26.577*** | 9.017*** | 26.920*** | 9.058*** |
(2.06) | (0.88) | (2.14) | (0.90) | |
Sigmai,t | 0.0650 | 0.752 | 0.127 | 0.761 |
(1.59) | (0.71) | (1.63) | (0.71) | |
Pbi,t | −0.00200 | −0.00200 | −0.00200 | −0.00200 |
(0.00) | (0.00) | (0.00) | (0.00) | |
Sizei,t | 0.145*** | 0.029*** | 0.142*** | 0.029*** |
(0.04) | (0.00) | (0.04) | (0.00) | |
Dai,t | −0.240 | −0.00500 | −0.235 | −0.00500 |
(0.27) | (0.07) | (0.27) | (0.07) | |
Yturni,t | −0.120 | 0.00200 | −0.129 | 0 |
(0.41) | (0.15) | (0.41) | (0.15) | |
Roai,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 |