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

0.713***

0.846***

−1.861***

−0.917*

(0.245)

(0.165)

(0.700)

(0.477)

S t a r i , t

−0.008*

−0.007**

−0.015***

−0.011***

(0.005)

(0.003)

(0.005)

(0.004)

n o n S t a r i , t

0.014***

0.010***

0.011***

0.008***

(0.002)

(0.001)

(0.002)

(0.002)

R E T i , t

3.097

3.325

3.973

7.007

(6.027)

(4.105)

(6.711)

(4.571)

S I G M A i , t

3.132***

1.709***

3.353***

1.823***

(0.615)

(0.420)

(0.773)

(0.515)

D T U R N i , t

−0.016

0.002

−0.060*

−0.031

(0.033)

(0.023)

(0.036)

(0.025)

S I Z E i , t

−0.054***

−0.052***

0.049

0.017

(0.011)

(0.007)

(0.033)

(0.023)

M B i , t

0.015**

0.007

0.049***

0.038***

(0.008)

(0.005)

(0.012)

(0.008)

N C S K E W i , t

0.064***

0.047***

−0.137***

−0.073***

(0.013)

(0.008)

(0.014)

(0.009)

O p a q u e i , t

0.330*

0.121

0.356

0.223

(0.178)

(0.122)

(0.286)

(0.190)

I n s h o l d i , t

0.080*

0.039

0.107

0.044

(0.042)

(0.028)

(0.074)

(0.050)

L E V i , t

−0.024

−0.0128

−0.164

−0.060

(0.056)

(0.038)

(0.120)

(0.080)

R O A i , t

0.094

0.004

−0.210

−0.052

(0.218)

(0.145)

(0.304)

(0.200)

T o p 10 i , t

0.001

0.001*

0.004***

0.003***

(0.0017)

(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

0.061

0.063

0.061

0.055