M&A goodwill, information asymmetry and stock price crash risk

Figures & data

Table 1. Definition and measurement of variables.

	Variable symbol	Variable name and measurement method
Dependent Variables	NCSKEWt+1	The Skewness Coefficient of Negative Stock Return in t + 1 Year to Measure the Risk of Stock Market Crashes.
	DUVOLt+1	The fluctuation ratio of the company's stock return in T + 1 year to measure the risk of stock price crashes.
Independent Variables	GW_dumt	Dummy variable, when the sample produces goodwill in the t-year, the dummy variable is 1, otherwise 0.
	GWt	The adjusted value of goodwill in the year t, calculated as (the GW on the balance sheet of this year – the GW on the balance sheet of last year)/the total assets of this year.
	AbsACCt	The absolute value of accruals can be manipulated by the company in year t, which is calculated according to Jones model.
	Badnewst	The number of bad news about a company disclosed by the media in year t comes from Baidu News.
Control Variables	Sizet	The size of the company in year t, equal to the natural logarithm value of the total assets of the company.
	TobinQt	Tobin Q value in year t, equal to the company's market value/asset replacement cost.
	ROAt	Total Return On Asset in Year t
	Levt	Asset-liability ratio in year t
	Turnt	Trend-adjusted stock turnover rate in year t, equal to the average monthly turnover rate in this year – the average monthly turnover rate in the previous year.
	Rett	The annual average of idiosyncratic rate of return in year t.
	Sigmat	The annual S.D of idiosyncratic rate of return in year t.
	Year	Dummy variable, when the sample belongs to a certain year, the dummy variable takes 1, otherwise takes 0. The sample span of this article is eight years, with 2008 as the base period, a total of seven annual virtual variables annual factors are introduced to control the factors.
	Industry	Dummy variable, when the sample belongs to a certain industry, the virtual variable takes 1, otherwise takes 0. According to the Guidelines for Classification of Listed Companies in 2001, 17 industries were obtained after excluding insurance and financial industries. Therefore, 16 industry virtual variables were introduced to control industry factors.

Source: The Authors.

Table 2. Descriptive Statistics of Major Variables.

Variable symbol	Sample size	Mean	Median	S.D	Min	Max
NCSKEWt+1	17142	−0.2559	−0.2148	0.6815	−2.3310	1.5052
DUVOLt+1	17142	−0.1658	−0.1577	0.4715	−1.3320	0.9927
GWt	17142	0.1809	0.0000	0.8797	−0. 3621	6.8301
GW_dumt	17142	0.2388	0.0000	0.4264	0.0000	1.0000
Badnewst	17142	44.0615	24.0000	55.4792	2.0000	294.0000
AbsACCt	17142	0. 0749	0.0435	0.0863	0.0009	0.5183
Sizet	17142	21.9722	21.7919	1.2760	19.4517	25.8784
TobinQt	17142	2.6784	2.0472	1.9377	0.9111	11.8096
ROAt	17142	0.0451	0.0398	0.0558	−0.1573	0.2235
Levt	17142	0.4446	0.4419	0.2162	0.0478	0.9458
Turnt	17142	−0.0054	−0.0282	0.4646	−1.0901	1.7232
Rett	17142	−0.0015	−0.0011	0.0013	−0.0076	−0.0002
Sigmat	17142	0.0511	0.0474	0.0200	0.0186	0.1229

Source: The Authors.

Table 3. Relevance analysis of major variables.

变量	NCSKEWt + 1	DUVOLt + 1	GWt	GW_dumt	AbsACCt	Badnewst	Sizet	TobinQt	ROAt	Levt	Turnt	Rett	Sigmat
NCSKEWt+1	1.000
DUVOLt+1	0.880***	1.000
GWt	0.043***	0.040***	1.000
GW_dumt	0.041***	0.031***	0.367***	1.000
AbsACCt	0.002	−0.002	0.021***	−0.014*	1.000
Badnewst	−0.056***	−0.072***	−0.041***	0.038***	0.006	1.000
Sizet	−0.130***	−0.147***	0.008	0.112***	−0.046***	0.482***	1.000
TobinQt	0.149***	0.147***	0.062***	0.029***	0.055***	−0.109***	−0.466***	1.000
ROAt	0.076***	0.074***	−0.001	0.056***	0.028***	0.102***	−0.005	0.251***	1.000
Levt	−0.094***	−0.111***	−0.069***	−0.026***	0.114***	0.172***	0.443***	−0.329***	−0.409***	1.000
Turnt	−0.000	0.005	0.011	−0.012	0.034***	−0.004	−0.064***	0.180***	0.067***	−0.094***	1.000
Rett	−0.014*	0.000	−0.190***	−0.091***	−0.042***	0.099***	0.212***	−0.453***	0.018**	0.074***	−0.381***	1.000
Sigmat	0.031***	0.015**	0.180***	0.090***	0.053***	−0.119***	−0.260***	0.453***	−0.020***	−0.076***	0.381***	−0.970***	1.000

Source: The Authors.

Table 4. Difference test.

	Non-goodwill (1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )		Goodwill (2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )		Difference test (2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )–(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )
Variables	N	Mean	N	Mean	T
NCSKEWt+1	13048	−0.272	4094	−0.206	0.066***
DUVOLt+1	13048	−0.174	4094	−0.140	0.034***
GWt	13048	0.000	4094	0.758	0.758***
Badnewst	13048	42.876	4094	47.839	4.963***
AbsACCt	13048	0.070	4094	0.067	−0.003*
Sizet	13048	21.892	4094	22.228	0.336***
TobinQt	13048	2.647	4094	2.778	0.131***
ROAt	13048	0.043	4094	0.051	0.008***
Levt	13048	0.448	4094	0.435	−0.013***
Turnovert	13048	−0.002	4094	−0.015	−−0.013
Rett	13048	−0.001	4094	−0.002	−0.001***
Sigmat	13048	0.050	4094	0.054	0.004***

Source: The Authors.

Table 5. The regression result of goodwill and stock price crash risk.

Variable	NCSKEWt + 1		DUVOLt + 1
	(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )	(2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )	(3(3) $${\text{DUVOL}}_{\mathrm{i},\mathrm{t}}=\hspace{0.17em}\text{log}\hspace{0.17em}\left\{\left[\left({\mathrm{n}}_{\mathrm{u}}-1\right){\sum }_{\text{down}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]/\left[\left({\mathrm{n}}_{\mathrm{d}}-1\right){\sum }_{\text{up}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]\right\}$$(3) )	(4(4) $${\text{TA}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}={\mathrm{\alpha }}_1\left(1/{\mathrm{A}}_{\mathrm{t}-1}\right)+{\mathrm{\alpha }}_2\mathrm{(}\mathrm{\Delta }{\mathrm{S}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+{\mathrm{\alpha }}_3\mathrm{(}{\text{PPE}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+\mathrm{\epsilon }$$(4) )
GW_dumt	0.0466**	0.0559***	0.0164*	0.0270**
	(3.89)	(5.31)	(2.17)	(3.93)
Sizet		−0.0356***		−0.0361***
		(−9.11)		(−9.07)
TobinQt		0.0249***		0.0135***
		(9.36)		(7.49)
ROAt		0.578***		0.379***
		(6.18)		(4.64)
Levt		−0.0271		−0.0259
		(−0.67)		(−0.71)
Turnovert		−0.0362***		−0.0109
		(−5.10)		(−1.58)
Rett		96.51***		69.63***
		(5.74)		(9.93)
Sigmat		7.730***		5.201***
		(7.33)		(11.00)
_cons	−0.413***	−0.0159	−0.339***	0.208*
	(−13.48)	(−0.18)	(−16.41)	(2.30)
year&ind	control	control	control	control
Cluster	control	control	control	control
N	17142	17142	17142	17142
adj. R − sq	0.056	0.079	0.063	0.088

Source: The Authors.

Table 6. The regression result of goodwill value and stock price crash risk.

Variable	NCSKEWt + 1		DUVOLt + 1
	(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )	(2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )	(3(3) $${\text{DUVOL}}_{\mathrm{i},\mathrm{t}}=\hspace{0.17em}\text{log}\hspace{0.17em}\left\{\left[\left({\mathrm{n}}_{\mathrm{u}}-1\right){\sum }_{\text{down}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]/\left[\left({\mathrm{n}}_{\mathrm{d}}-1\right){\sum }_{\text{up}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]\right\}$$(3) )	(4(4) $${\text{TA}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}={\mathrm{\alpha }}_1\left(1/{\mathrm{A}}_{\mathrm{t}-1}\right)+{\mathrm{\alpha }}_2\mathrm{(}\mathrm{\Delta }{\mathrm{S}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+{\mathrm{\alpha }}_3\mathrm{(}{\text{PPE}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+\mathrm{\epsilon }$$(4) )
GWt	0.0226***	0.0214***	0.0120***	0.0123***
	(6.98)	(6.57)	(4.81)	(4.92)
Sizet		−0.0315***		−0.0338***
		(−8.87)		(−9.01)
TobinQt		0.0263***		0.0147***
		(10.29)		(8.49)
ROAt		0.554***		0.353***
		(5.71)		(4.25)
Levt		−0.0316		−0.0293
		(−0.77)		(−0.82)
Turnt		−0.0383***		−0.0127*
		(−5.60)		(−2.00)
Rett		98.02***		69.55***
		(6.14)		(10.50)
Sigmat		7.876***		5.244***
		(7.58)		(11.04)
_cons	−0.398***	−0.0961	−0.330***	0.162
	(−14.04)	(−1.17)	(−17.63)	(1.94)
year&ind	control	control	control	control
Cluster	control	control	control	control
N	17142	17142	17142	17142
adj. R-sq	0.0578	0.0799	0.0644	0.0892

Source: The Authors.

Table 7. Nonlinear relationship between goodwill value and stock price crash risk.

Variable	NCSKEWt + 1		DUVOLt + 1
	(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )	(2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )	(3(3) $${\text{DUVOL}}_{\mathrm{i},\mathrm{t}}=\hspace{0.17em}\text{log}\hspace{0.17em}\left\{\left[\left({\mathrm{n}}_{\mathrm{u}}-1\right){\sum }_{\text{down}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]/\left[\left({\mathrm{n}}_{\mathrm{d}}-1\right){\sum }_{\text{up}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]\right\}$$(3) )	(4(4) $${\text{TA}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}={\mathrm{\alpha }}_1\left(1/{\mathrm{A}}_{\mathrm{t}-1}\right)+{\mathrm{\alpha }}_2\mathrm{(}\mathrm{\Delta }{\mathrm{S}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+{\mathrm{\alpha }}_3\mathrm{(}{\text{PPE}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+\mathrm{\epsilon }$$(4) )
P1 × GWt	2.101	4.063	−0.990	0.275
	(0.73)	(1.45)	(−0.51)	(0.14)
P2 × GWt	1.082	1.039	0.504	0.460
	(1.47)	(1.44)	(1.07)	(1.02)
P3 × GWt	0.370**	0.319*	0.210	0.164
	(2.65)	(2.45)	(1.86)	(1.67)
P4 × GWt	0.0612*	0.0307	0.0283	0.00794
	(2.34)	(1.04)	(1.29)	(0.34)
P5 × GWt	0.0214***	0.0179***	0.0154***	0.0139***
	(4.15)	(3.67)	(4.54)	(4.73)
Sizet		−0.0703***		−0.0601***
		(−6.60)		(−8.47)
TobinQt		0.0259**		0.0122**
		(2.83)		(2.65)
ROAt		0.640**		0.357
		(2.59)		(1.82)
Levt		0.0337		0.00936
		(0.43)		(0.20)
Turnt		−0.0582**		−0.0177
		(−2.72)		(−0.63)
Rett		43.17		48.94*
		(1.28)		(2.51)
Sigmat		3.751		3.031*
		(1.57)		(1.97)
_cons	−0.521***	0.755**	−0.405***	0.752***
	(−6.07)	(2.60)	(−7.42)	(4.26)
year&ind	control	control	control	control
Cluster	control	control	control	control
N	3153	3153	3153	3153
adj. R − sq	0.0613	0.0938	0.0690	0.1010

Source: The Authors.

Table 8. Information asymmetry hypothesis: information opacity.

Variable	NCSKEWt + 1		DUVOLt + 1
	(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )	(2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )	(3(3) $${\text{DUVOL}}_{\mathrm{i},\mathrm{t}}=\hspace{0.17em}\text{log}\hspace{0.17em}\left\{\left[\left({\mathrm{n}}_{\mathrm{u}}-1\right){\sum }_{\text{down}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]/\left[\left({\mathrm{n}}_{\mathrm{d}}-1\right){\sum }_{\text{up}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]\right\}$$(3) )	(4(4) $${\text{TA}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}={\mathrm{\alpha }}_1\left(1/{\mathrm{A}}_{\mathrm{t}-1}\right)+{\mathrm{\alpha }}_2\mathrm{(}\mathrm{\Delta }{\mathrm{S}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+{\mathrm{\alpha }}_3\mathrm{(}{\text{PPE}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+\mathrm{\epsilon }$$(4) )
GWt	0.0153**	0.0132**	0.00549*	0.00507*
	(3.03)	(2.62)	(2.24)	(1.97)
GWt × AbsACCt	0.0840***	0.101***	0.0760**	0.0893*
	(3.62)	(3.50)	(2.83)	(2.04)
Sizet		−0.0320***		−0.0342***
		(−9.46)		(−9.46)
TobinQt		0.0260***		0.0144***
		(9.25)		(8.51)
ROAt		0.561***		0.362***
		(6.13)		(4.53)
Levt		−0.0299		−0.0273
		(−0.73)		(−0.76)
Turnt		−0.0378***		−0.0122
		(−5.32)		(−1.90)
Rett		98.85***		70.77***
		(6.16)		(10.70)
Sigmat		7.954***		5.323***
		(7.58)		(11.39)
_cons	−0.404***	−0.0856	−0.334***	0.171*
	(−15.14)	(−1.10)	(−19.32)	(2.12)
year&ind	control	control	control	control
Cluster	control	control	control	control
N	17131	17131	17131	17131
adj. R − sq	0.0580	0.0799	0.0648	0.0893

Source: The Authors.

Table 9. Asymmetric information hypothesis: negative media reporting.

Variable	NCSKEWt + 1		DUVOLt + 1
	(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )	(2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )	(3(3) $${\text{DUVOL}}_{\mathrm{i},\mathrm{t}}=\hspace{0.17em}\text{log}\hspace{0.17em}\left\{\left[\left({\mathrm{n}}_{\mathrm{u}}-1\right){\sum }_{\text{down}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]/\left[\left({\mathrm{n}}_{\mathrm{d}}-1\right){\sum }_{\text{up}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]\right\}$$(3) )	(4(4) $${\text{TA}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}={\mathrm{\alpha }}_1\left(1/{\mathrm{A}}_{\mathrm{t}-1}\right)+{\mathrm{\alpha }}_2\mathrm{(}\mathrm{\Delta }{\mathrm{S}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+{\mathrm{\alpha }}_3\mathrm{(}{\text{PPE}}_{\mathrm{t}}/{\mathrm{A}}_{\mathrm{t}-1}\mathrm{)}+\mathrm{\epsilon }$$(4) )
GWt	0.0268***	0.0233***	0.0144**	0.0124**
	(4.90)	(4.26)	(2.74)	(2.73)
GWt × Badnewst	−0.000139***	−0.0000656***	−0.0000780*	−0.00000323*
	(−3.42)	(−3.87)	(−1.97)	(−2.46)
Sizet		99.29***		71.31***
		(6.21)		(11.02)
TobinQt		7.970***		5.347***
		(7.63)		(11.60)
ROAt		−0.0275***		−0.0303***
		(−7.20)		(−9.50)
Levt		0.0268***		0.0151***
		(8.25)		(8.33)
Turnt		0.564***		0.365***
		(6.04)		(4.56)
Rett		−0.0340		−0.0302
		(−0.82)		(−0.83)
Sigmat		−0.0383***		−0.0124*
		(−5.59)		(−1.98)
_cons	−0.376***	−0.179*	−0.310***	0.0905
	(−15.31)	(−2.10)	(−20.86)	(1.35)
year&ind	control	control	control	control
Cluster	control	control	control	control
N	17131	17131	17131	17131
adj. R − sq	0.0598	0.0798	0.0681

Source: The Authors.

Table 10. IV estimation results.

Variable	First stage regression	Second stage regression
	(1(1) $${\mathrm{R}}_{\mathrm{i},\mathrm{t}}={\mathrm{\alpha }}_{\mathrm{i}}+{\mathrm{\beta }}_1{\mathrm{R}}_{\mathrm{m},\mathrm{t}-2}+{\mathrm{\beta }}_2{\mathrm{R}}_{\mathrm{m},\mathrm{t}-1}+{\mathrm{\beta }}_3{\mathrm{R}}_{\mathrm{m},\mathrm{t}}+{\mathrm{\beta }}_4{\mathrm{R}}_{\mathrm{m},\mathrm{t}+1}+{\mathrm{\beta }}_5{\mathrm{R}}_{\mathrm{m},\mathrm{t}+2}+{\mathrm{\epsilon }}_{\mathrm{i},\mathrm{t}}$$(1) )	(2(2) $${\text{NCSKEW}}_{\mathrm{i},\mathrm{t}}=-\left[\mathrm{n}{\left(\mathrm{n}-1\right)}^{3/2}\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^3\right]/\left[\left(\mathrm{n}-1\right)\left(\mathrm{n}-2\right){\left(\sum {\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right)}^{3/2}\right]$$(2) )	(3(3) $${\text{DUVOL}}_{\mathrm{i},\mathrm{t}}=\hspace{0.17em}\text{log}\hspace{0.17em}\left\{\left[\left({\mathrm{n}}_{\mathrm{u}}-1\right){\sum }_{\text{down}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]/\left[\left({\mathrm{n}}_{\mathrm{d}}-1\right){\sum }_{\text{up}}{\mathrm{W}}_{\mathrm{i},\mathrm{t}}^2\right]\right\}$$(3) )
	GWt	NCSKEWt + 1	DUVOLt + 1
Instrumented GWt		0.304***	0.184***
		(5.15)	(4.60)
Industry-average GW	0.793***
	(8.38)
Province-average GW	0.413***
	(3.57)
Ownership-average GW	0.622***
	(9.57)
Sizet	0.0699***	−0.0447***	−0.0410***
	(8.61)	(−5.79)	(−7.86)
TobinQt	−0.0403***	0.0372***	0.0212***
	(−7.63)	(8.19)	(6.80)
ROAt	−0.303**	0.663***	0.430***
	(−2.90)	(6.01)	(5.66)
Levt	−0.293***	0.0731	0.0350
	(−6.77)	(1.87)	(1.31)
Turnt	−0.150***	0.00731	0.0159
	(−7.57)	(0.44)	(1.40)
Rett	−136.4***	137.9***	94.60***
	(−3.60)	(6.34)	(6.51)
Sigmat	1.216	7.318***	4.927***
	(0.60)	(5.63)	(5.68)
AbsACCt	0.498***	0.176***	0.105***
	(4.99)	(5.48)	(5.56)
Badnewst	−0.000604***	−0.0000451**	−0.0000121**
	(−5.70)	(−2.81)	(−2.92)
_cons	−1.916***	0.249	0.355**
	(−9.39)	(1.33)	(2.81)
year&ind	control	control	control
Cluster	control	control	control
N	17142	17142	17142
adj. R-sq	0.112	.	.

Source: The Authors.