Table 6 Instrumental variable approach (2SLS).
From: Consequences of firm-specific stock price crashes on analyst forecasts: Evidence from China
Panel A: Instrumental variable first-stage regression results | |
|---|---|
(1) | |
CRASH | |
MFHS | 0.002** |
(1.976) | |
NCSKEW | −0.172*** |
(−12.305) | |
REGLAG | 0.582 |
(1.176) | |
SIGMA | −1.789*** |
(−5.606) | |
DUTURN | −2.965** |
(−2.282) | |
SIZEPSM | 0.076*** |
(8.590) | |
AGE | −0.015 |
(−0.573) | |
SALESG | 0.022* |
(1.763) | |
TANG | −0.025 |
(−1.337) | |
RM | −5.664*** |
(−2.720) | |
_cons | −1.697*** |
(−8.869) | |
N | 56833 |
Pseudo R2 | 0.009 |
Year | Yes |
Industry | Yes |
Panel B: Instrumental variable second-stage regression results | |
|---|---|
(1) | |
FERROR | |
Fitted CRASH | 1.615* |
(1.696) | |
POST | 0.405* |
(1.891) | |
Fitted CRASH*POST | −0.874** |
(−1.967) | |
SIZE | −0.457 |
(−1.405) | |
LEV | −0.687 |
(−0.983) | |
ROA | −15.933*** |
(−6.736) | |
INBOARD | 0.403 |
(1.003) | |
INDENP | 0.795 |
(0.567) | |
SHRCR | 0.009 |
(0.707) | |
INST | −0.550* |
(−1.876) | |
AUDITFEE | 0.062 |
(0.551) | |
SOE | −0.300 |
(−0.521) | |
COMMITTEE | 0.240 |
(0.929) | |
BIG4 | −0.026 |
(−0.103) | |
EXP | −0.001 |
(−0.643) | |
HORIZON | 0.060*** |
(12.876) | |
SPECIFIC | 0.000 |
(0.190) | |
TFOLLOWING | −0.000 |
(−1.407) | |
BSIZE | −0.011** |
(−1.979) | |
TEAM | −0.021** |
(−2.242) | |
_cons | 7.299 |
(0.992) | |
N | 56833 |
R2 | 0.646 |
Year | Yes |
Match | Yes |
