| 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 |