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

0.686**

0.919***

−1.133

−0.849

(0.303)

(0.203)

(1.019)

(0.735)

R a t i o i , t

−0.163**

−0.104**

−0.165*

−0.115*

(0.076)

(0.052)

(0.098)

(0.067)

C o v e r a g e i , t

0.006***

0.004***

0.002

0.002

(0.002)

(0.001)

(0.002)

(0.002)

R E T i , t

13.790*

9.949*

7.567

10.580

(7.948)

(5.591)

(10.110)

(7.175)

S I G M A i , t

1.970**

1.237**

2.024*

1.204

(0.850)

(0.576)

(1.183)

(0.809)

D T U R N i , t

−0.075

−0.034

−0.058

−0.026

(0.047)

(0.032)

(0.055)

(0.037)

S I Z E i , t

−0.043***

−0.048***

0.025

0.019

(0.014)

(0.009)

(0.048)

(0.035)

M B i , t

0.028***

0.015**

0.046***

0.041***

(0.010)

(0.006)

(0.017)

(0.012)

N C S K E W i , t

0.056***

0.040***

−0.169***

−0.096***

(0.016)

(0.011)

(0.019)

(0.013)

O p a q u e i , t

0.085

−0.091

−0.152

−0.217

(0.232)

(0.157)

(0.401)

(0.277)

I n s h o l d i , t

0.080

0.039

0.184*

0.054

(0.052)

(0.035)

(0.102)

(0.071)

L E V i , t

−0.066

−0.036

0.120

0.016

(0.078)

(0.052)

(0.170)

(0.122)

R O A i , t

0.094

−0.034

0.238

0.064

(0.292)

(0.199)

(0.474)

(0.331)

T o p 10 i , t

−0.001

−0.000

0.002

0.003*

(0.001)

(0.000)

(0.002)

(0.001)

Industry fixed effect

Control

Control

Year fixed effect

Control

Control

Control

Control

Firm fixed effect

Control

Control

Observations

5356

5356

5356

5356

R-squared

0.069

0.073

0.074

0.075