Table 4 Spillover of SPC for suspect firms facing uncertainty
Variables | SPC | ||||||
|---|---|---|---|---|---|---|---|
Predicted sign | \(COUNT\) | \(NSKEW\) | \(DUVOL\) | ||||
Higher uncertainty | Lower uncertainty | Higher uncertainty | Lower uncertainty | Higher uncertainty | Lower uncertainty | ||
\({COUNT}_{i,t}-i\) | + | 0.112*** (0.222) | (0.019)* (0.248) | ||||
\({NSKEW}_{it}-i\) | + | 0.181** (0.901) | 0.121*** (0.143) | ||||
\({DUVOL}_{it}-i\) | + | 0.546*** (0.145) | − (0.201) (0.364) | ||||
\({Size}_{it}\) | + | 0.5761* (0.205) | 0.182 (0.541) | 0.844** (0.006) | 0.348** (0.528) | 0.141*** (0.553) | 0.387** (0.534) |
\({LEV}_{it}\) | − | − (0.324)* (0.342) | 0.233*** (0.231) | − (0.238)** 0.238 | 0.343* (0.345) | − 0.327 (0.047) | 0.233* (0.456) |
\({MktTB}_{it}\) | + | − (0.233) (0.429) | − (0.426)*** (0.341) | − (0.223)** (0.232) | 0.236** (0.239) | 0.232*** (0.465) | 0.210** (0.218) |
\({Spread}_{it}\) | + | (0.232) (0.008) | 0.234** (0.531) | (0.239) (0.346) | 0.3462** (0.233) | 0.233** (0.347) | 0.233** (0.338) |
\({ROA}_{it}\) | − | 0.232*** (0.423) | (0.343)** (0.263) | 0.037* (0.016) | 0.042** (0.342) | 0.016** (0.330) | − (0.331)** 0.453 |
\({\mathrm{PVolatility}}_{it}\) | + | − (0.523) (0.412) | − (0.347)** (0.355) | 0.003** (0.030) | 0.408*** (0.528) | 0.014* (0.010) | 0.213 (0.108) |
\({Returns}_{it}\) | + | 0.233** (0.037) | 0.234** (0.141) | 0.452** (0.045) | 0.346 (0.313) | 0.203*** (0.020) | 0.026** (0.231) |
\({AbDAcc}_{it}\) | + | 0.455** (0.343) | 0.419** (0.238) | 0.060** (0.062) | 0.173*** (0.168) | 0.233 (0.360) | 0.233** (0.236) |
\({SIGMA}_{it}\) | + | 0.395*** (0.945) | 0.347*** (0.43) | 0.416** (0.229) | 0.249** (0.444) | 0.0563** (0.004) | 0.012*** (0.529) |
F Value | 18.90*** | 15.94*** | 23.28*** | 19.23*** | 11.98*** | 12.20*** | |
Adjusted \({R}^{2}\) | 0.2011 | 0.235 | 0.1267 | 0.243 | 0.1925 | 0.5418 | |
RMSE | 0.3522 | 04123 | 0.1123 | 0.3243 | 0.1334 | 0.1233 | |