VARIABLES

(1)

(2)

(3)

(4)

N C S K E W i , t + 1

D U V O L i , t + 1

N C S K E W i , t + 1

D U V O L i , t + 1

Constant

0.765***

0.888***

−1.617**

−0.731

(0.243)

(0.164)

(0.697)

(0.475)

C o v e r a g e i , t

0.009***

0.006***

0.005***

0.004***

(0.001)

(0.001)

(0.001)

(0.001)

R E T i , t

2.838

3.115

3.620

6.747

(6.035)

(4.113)

(6.724)

(4.584)

S I G M A i , t

3.045***

1.639***

3.248***

1.743***

(0.616)

(0.421)

(0.774)

(0.516)

D T U R N i , t

−0.014

0.003

−0.057

−0.028

(0.033)

(0.022)

(0.036)

(0.024)

S I Z E i , t

−0.056***

−0.053***

0.038

0.009

(0.011)

(0.007)

(0.033)

(0.023)

M B i , t

0.016**

0.007

0.051***

0.040***

(0.008)

(0.005)

(0.012)

(0.008)

N C S K E W i , t

0.064***

0.046***

−0.138***

−0.073***

(0.013)

(0.008)

(0.014)

(0.009)

O p a q u e i , t

0.322*

0.113

0.375

0.237

(0.178)

(0.122)

(0.287)

(0.191)

I n s h o l d i , t

0.082*

0.041

0.104

0.042

(0.042)

(0.029)

(0.074)

(0.050)

L E V i , t

−0.027

−0.015

−0.166

−0.062

(0.056)

(0.038)

(0.121)

(0.081)

R O A i , t

0.058

−0.024

−0.225

−0.064

(0.218)

(0.145)

(0.304)

(0.200)

T o p 10 i , t

0.001

0.001*

0.005***

0.003***

(0.001)

(0.000)

(0.001)

(0.001)

Industry fixed effect

Control

Control

Year fixed effect

Control

Control

Control

Control

Firm fixed effect

Control

Control

Observations

9925

9925

9925

9925

R-squared

0.060

0.061

0.059

0.053