CBOE volatility index (VIX) and corporate market leverage

Figures & data

Figure 1. Change in the monthly VIX Index and Monthly US stock index returns (January 2000-December 2019).

Table 1. Definition of variables

Variable	Symbol	Definition
Dependent variables
Market Leverage	MLEV	Total debts/Total debts plus Market value
Short-term Market leverage	SMLEV	Short-term debts/Short-term debts plus Market value
Long-term Market leverage	LMLEV	Long-term debts/Long-term debts plus Market value
Control variables
Firm variables
Return On Asset	ROA	Net income/Total Assets
Firm size	SIZE	The logarithm of Total Assets
Fixed Assets	TANG	Fixed assets/Total Assets
Growth assets	GROW	The annual growth of Total Assets
Market to Book ratio	MTB	Market value plus Total Liabilities/Total Assets
Macro variables
Change in the CBOE Volatility (VIX) Index	∆VIX	Change in yearly VIX Index, where: the yearly VIX Index is a mean value of monthly VIX Index
S&P500 index’s returns	RSP500	Change in the yearly stock price of S&P500 Index, where: yearly stock price is a mean value of monthly stock price
Inflation	CPI	Change in Consumer price (annual %)
Economic Policy Uncertainty	LNEPU	The logarithm of an average monthly EPU (annual)

Table 2. Summary statistics

Panel A. Basic statistics
Variable	Obs.		Mean		Std. Dev.			Min		Max
MLEV	7,420		0.2053		0.1720			0.0000		1.0000
SMLEV	7,420		0.0009		0.0202			0.0000		1.0000
LMLEV	7,417		0.1873		0.1643			0.0000		0.9357
ROA	7,420		0.0646		0.0945			−2.0750		0.9013
SIZE	7,420		16.0691		1.4466			10.5600		20.5220
TANG	7,420		0.2860		0.2402			0.0000		0.9505
GROW	7,420		0.1350		0.3973			−0.7770		8.1173
MTB	7,420		2.3178		1.6364			0.3792		23.9126
∆VIX	7,420		−0.0231		0.2472			−0.3649		0.5775
RSP500	7,420		0.0443		0.1282			−0.2478		0.1757
CPI	7,420		0.0214		0.0105			−0.0035		0.0385
LNEPU	7,420		4.8101		0.2797			4.2067		5.2401
Panel B. Pair correlations
Variable		MLEV(1)		SMLEV(2)		LMLEV(3)	ROA(4)		SIZE(5)		TANG(6)	GROW(7)	MTB(8)	∆VIX(9)	RSP500(10)	CPI(11)	LNEPU(12)
(1)		1.0000
(2)		0.0812		1.0000
(3)		0.9898		0.0834		1.0000
(4)		0.3454		−0.2570		0.3270	1.0000
(5)		−0.3417		−0.1156		−0.3453	−0.0094		1.0000
(6)		0.3652		0.0139		0.3747	−0.1061		0.2116		1.0000
(7)		−0.0357		−0.0159		−0.0326	0.0150		−0.0460		−0.0831	1.0000
(8)		−0.5261		−0.0642		−0.5140	0.2991		−0.3404		−0.2398	0.0708	1.0000
(9)		0.0571		0.0173		0.0542	−0.0359		0.0050		0.0057	−0.0241	−0.0266	1.0000
(10)		−0.0875		−0.1003		−0.0851	0.1005		0.1374		−0.0350	0.0260	0.0887	−0.4100	1.0000
(11)		0.0015		0.0608		−0.0105	−0.0076		−0.1281		0.0231	0.0357	−0.0080	0.1848	0.1305	1.0000
(12)		0.0837		−0.0208		0.0926	−0.0173		0.1446		−0.0035	−0.0486	−0.0311	−0.0299	−0.1538	−0.2510	1.0000

Figure 2. Estimated coefficients and 95% confidence interval.

Table 3. Change in the monthly VIX Index and Monthly stock market returns (January 2000 – December 2019)

Panel A. RSP500 is an independent variable
∆VIX is a dependent variable
Quantile	Q10	Q20	Q30	Q40	Q50	Q60	Q70	Q80	Q90	OLS
Constant	−0.1498***	−0.1014***	−0.0642***	−0.0372***	−0.0016	0.0332***	0.0747***	0.1127***	0.1833***	0.0088
	(0.0000)	(0.0000)	(0.0000)	(0.0007)	(0.8891)	(0.0040)	(0.0000)	(0.0000)	(0.0000)	(0.3360)
RSP500	−2.9632***	−2.9596***	−3.2723***	−3.2705***	−3.2121***	−3.0362***	−3.1122***	−3.3728***	−3.3843***	−3.2228***
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
Obs.	27	27	26	27	26	27	26	27	26	239
Panel B. RNAD is independent variable
∆VIX is a dependent variable
Quantile	Q10	Q20	Q30	Q40	Q50	Q60	Q70	Q80	Q90	OLS
Constant	−0.1815***	−0.1246***	−0.0734***	−0.0325***	−0.0064	0.0304**	0.0672***	0.1094***	0.1948***	0.0039
	(0.0000)	(0.0000)	(0.0000)	(0.0082)	(0.5928)	(0.0104)	(0.0000)	(0.0000)	(0.0000)	(0.7013)
RNAD	−1.5703***	−1.6144***	−1.8019***	−1.6645***	−1.6983***	−1.7547***	−1.8025***	−1.9290***	−2.3468***	−1.8501***
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
Obs.	27	27	26	27	26	27	26	27	26	239

Table 3 shows the empirical results of Equation (1)(1) $\mathrm{Q}\mathrm{u}\mathrm{a}\mathrm{n}{\mathrm{t}}_{\theta }\left(\mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{m}}|\mathrm{R}\mathrm{U}{\mathrm{S}}_{\mathrm{m}}\right)=\mathrm{i}\mathrm{n}\mathrm{f}\left\{\mathrm{y}:{\mathrm{F}}_{\mathrm{i}}\left(\mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{m}}|\mathrm{R}\mathrm{U}{\mathrm{S}}_{\mathrm{m}}\right)\theta \right\}={\alpha }_{\theta }+{\mathrm{R}\mathrm{U}\mathrm{S}}_{\mathrm{m}}^{\prime }\ast {\beta }_{\theta }$(1) using both OLS regression and Quantile regression at nine quantile levels; *, **, *** indicates significance at the 10%, 5%, and 1% levels, respectively. P-value is shown in parentheses (). RSP500 denotes the monthly S&P500 index return; RNAD denotes the monthly Nasdaq Composite index return in Equation (1).

Table 4. Change in the VIX Index and Market leverages (2000–2019)

Variable	MLEV	MLEV (+1)	SMLEV	SMLEV (+1)	LMLEV	LMLEV (+1)
	(1)	(2)	(3)	(4)	(5)	(6)
Constant	0.0095	0.0768	0.0142***	0.0109***	−0.0217	0.0385
	(0.8840)	(0.2390)	(0.0000)	(0.0000)	(0.7330)	(0.5510)
SIZE	0.0039	0.0108***	−0.0009***	−0.0007***	0.0042	0.0107***
	(0.3290)	(0.0060)	(0.0000)	(0.0000)	(0.2890)	(0.0060)
ROA	−0.2270***	−0.1258***	−0.0016**	−0.0014	−0.2277***	−0.1300***
	(0.0010)	(0.0070)	(0.0230)	(0.1100)	(0.0000)	(0.0040)
TANG	−0.1053**	−0.0922**	0.0001	−0.0001	−0.0973**	−0.0887**
	(0.0160)	(0.0430)	(0.9490)	(0.8470)	(0.0220)	(0.0480)
GROW	0.0112***	0.0103**	−0.0001**	−0.0001*	0.0103**	0.0104***
	(0.0090)	(0.0120)	(0.0290)	(0.0740)	(0.0120)	(0.0090)
MTB	−0.0187***	−0.0134***	−0.0003***	−0.0002***	−0.0170***	−0.0122***
	(0.0000)	(0.0000)	(0.0020)	(0.0050)	(0.0000)	(0.0000)
∆VIX	0.0328***	0.0463***	0.0001***	0.0002***	0.0306***	0.0474***
	(0.0000)	(0.0000)	(0.0060)	(0.0000)	(0.0000)	(0.0000)
CPI	0.2366***	0.1769*	−0.0011	0.0022*	0.0928	0.1030
	(0.0070)	(0.0550)	(0.6740)	(0.0590)	(0.2850)	(0.2540)
LNEPU	0.0447***	0.0032	0.0004***	0.0002	0.0458***	0.0075*
	(0.0000)	(0.4510)	(0.0020)	(1.6400)	(0.0000)	(0.0800)
Obs.	7420	6987	7420	6987	7417	6984
R^2-within	0.1705	0.0949	0.1019	0.0723	0.1619	0.0933
R^2-between	0.1364	0.1318	0.0011	0.0009	0.1302	0.1102
R^2-overall	0.1317	0.1089	0.0018	0.0014	0.1277	0.0968
VIF test	1.23	1.23	1.11	1.11	1.23	1.23
F-statistic (P-value)	0.00	0.00	0.00	0.00	0.00	0.00
Modified Wald (P-value)	0.00	0.00	0.00	0.00	0.00	0.00

Table 4 reports empirical results of Equation (2)(2) $\mathrm{M}\mathrm{L}\mathrm{E}{\mathrm{V}}_{\mathrm{i},\mathrm{t}}={\alpha }_0+{\alpha }_1\ast \mathrm{F}\mathrm{i}\mathrm{r}{\mathrm{m}}_{\mathrm{i},\mathrm{t}}+\gamma \ast \mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{t}}+\delta \ast \mathrm{M}\mathrm{A}{\mathrm{C}}_{\mathrm{t}}+{\mu }_{\mathrm{i},\mathrm{t}}+\mathrm{f}\mathrm{i}\mathrm{x}\mathrm{e}\mathrm{d}-\mathrm{e}\mathrm{f}\mathrm{f}\mathrm{e}\mathrm{c}\mathrm{t}$(2) using pooled OLS with a fixed effect. *, **, and *** indicate statistical significance at the 10, 5, and 1 percent levels, respectively. P-value is calculated from Robust Standard Errors and shown in Parentheses (). All independent and control variables are lagged at one year in Columns (2), (4), (6).

Table 5. Two-clustering approach for panel model (2000–2019)

Variable	MLEV	MLEV (+1)	SMLEV	SMLEV (+1)	LMLEV	LMLEV (+1)
	(1)	(2)	(3)	(4)	(5)	(6)
Constant	−0.2235***	−0.1057	−0.1017**	−0.0795	−0.2094***	−0.1018
	(0.0020)	(0.3880)	(0.0470)	(0.1580)	(0.0010)	(0.3730)
SIZE	0.0204***	0.0241***	0.0098***	0.0107***	0.0172***	0.0208***
	(0.0000)	(0.0000)	(0.0050)	(0.0030)	(0.0000)	(0.0000)
ROA	−0.3777***	−0.3161***	−0.0677***	−0.0610***	−0.3735***	−0.3132***
	(0.0000)	(0.0000)	(0.0030)	(0.0040)	(0.0000)	(0.0000)
TANG	0.1582***	0.1619***	0.0079	0.0078	0.1644***	0.1674***
	(0.0000)	(0.0000)	(0.4830)	(0.4910)	(0.0000)	(0.0000)
GROW	0.0091	0.0136*	−0.0025	−0.0029	0.0104*	0.0157**
	(0.1090)	(0.0750)	(0.3380)	(0.2540)	(0.0610)	(0.0350)
MTB	−0.0369***	−0.0331***	−0.0064***	−0.0052***	−0.0341***	−0.0308***
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
∆VIX	0.0254***	0.0389*	0.0079	0.0031	0.0243***	0.0412*
	(0.0010)	(0.0984)	(0.1480)	(0.6710)	(0.0010)	(0.0840)
CPI	0.3249	0.2052	0.5125**	0.4527**	0.1054	0.0608
	(0.2030)	(0.6150)	(0.0310)	(0.0320)	(0.5610)	(0.8680)
LNEPU	0.0330***	−0.0066	−0.0028	−0.0109	0.0360***	−0.0008
	(0.0000)	(0.7720)	(0.6590)	(0.2130)	(0.0000)	(0.9700)
Obs.	7420	6987	7378	6591	7417	6985
VIF test	1.23	1.23	1.13	1.13	1.23	1.23
F-statistic (p-value)	0.00	0.00	0.00	0.00	0.00	0.00
R^2	0.3997	0.3706	0.1209	0.1214	0.3950	0.3659
Adjusted-R^2	0.3991	0.3699	0.1199	0.1204	0.3944	0.3652
Within-R^2	0.3997	0.3706	0.1209	0.1214	0.3950	0.3659
Cluster by firms	421	416	421	416	410	415
Cluster by year	20	19	20	19	20	19

Table 5 reports empirical results of Equation (2)(2) $\mathrm{M}\mathrm{L}\mathrm{E}{\mathrm{V}}_{\mathrm{i},\mathrm{t}}={\alpha }_0+{\alpha }_1\ast \mathrm{F}\mathrm{i}\mathrm{r}{\mathrm{m}}_{\mathrm{i},\mathrm{t}}+\gamma \ast \mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{t}}+\delta \ast \mathrm{M}\mathrm{A}{\mathrm{C}}_{\mathrm{t}}+{\mu }_{\mathrm{i},\mathrm{t}}+\mathrm{f}\mathrm{i}\mathrm{x}\mathrm{e}\mathrm{d}-\mathrm{e}\mathrm{f}\mathrm{f}\mathrm{e}\mathrm{c}\mathrm{t}$(2) using the two-clustering approach for the panel model. *, **, and *** indicate statistical significance at the 10, 5, and 1 percent levels, respectively. P-value is calculated from Robust Standard Errors and shown in parentheses (). All independent and control variables are lagged at one year in Columns (2), (4), (6). The two-clustering approach is used for Equation (2)(2) $\mathrm{M}\mathrm{L}\mathrm{E}{\mathrm{V}}_{\mathrm{i},\mathrm{t}}={\alpha }_0+{\alpha }_1\ast \mathrm{F}\mathrm{i}\mathrm{r}{\mathrm{m}}_{\mathrm{i},\mathrm{t}}+\gamma \ast \mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{t}}+\delta \ast \mathrm{M}\mathrm{A}{\mathrm{C}}_{\mathrm{t}}+{\mu }_{\mathrm{i},\mathrm{t}}+\mathrm{f}\mathrm{i}\mathrm{x}\mathrm{e}\mathrm{d}-\mathrm{e}\mathrm{f}\mathrm{f}\mathrm{e}\mathrm{c}\mathrm{t}$(2) , introduced by Cameron et al. (2006).

Table 6. IV regression for panel data with a fixed effect (2000–2019)

Panel A. IV regression without using the lag of variables
Variable		∆VIX		MLEV		∆VIX		SMLEV		∆VIX		LMLEV
		(1)		(2)		(3)		(4)		(5)		(6)
RSP500		−1.1579***				−1.1594***				−1.1577***
		(0.0000)				(0.0000)				(0.0000)
∆VIX				0.0949***				0.0474***				0.0872***
				(0.0000)				(0.0000)				(0.0000)
SIZE		0.1318***		0.0020		0.1321***		−0.0035**		0.1318***		0.0024
		(0.0000)		(0.6270)		(0.0000)		(0.0110)		(0.0000)		(0.5420)
ROA		−0.0193		−0.2190***		−0.0202		−0.0283**		−0.0196		−0.2205***
		(0.6270)		(0.0010)		(0.6120)		(0.0190)		(0.6210)		(0.0000)
TANG		−0.0098		−0.1107**		−0.0116		−0.0706***		−0.0096		−0.1022**
		(0.8610)		(0.0120)		(0.8360)		(0.0010)		(0.8630)		(0.0170)
GROW		−0.0383***		0.0126***		−0.0385***		0.0034**		−0.0383***		0.0116***
		(0.0000)		(0.0040)		(0.0000)		(0.0290)		(0.0000)		(0.0060)
MTB		0.0134***		−0.0184***		0.0134***		−0.0028***		0.0134***		−0.0167***
		(0.0000)		(0.0000)		(0.0000)		(0.0000)		(0.0000)		(0.0000)
CPI		7.9274***		−0.0675		7.9098***		0.1421***		7.9246***		−0.1845**
		(0.0000)		(0.3610)		(0.0000)		(0.0010)		(0.0000)		(0.0120)
LNEPU		−0.1396***		0.0453***		−0.1397***		0.0058***		−0.1396***		0.0463***
		(0.0000)		(0.0000)		(0.0000)		(0.0020)		(0.0000)		(0.0000)
Obs.		7415		7415		7373		7373		7412		7412
Centered R^2		0.3177		0.1412		0.3170		−0.0061		0.3177		0.1368
Un-Centered R^2		0.3177		0.1412		0.3170		−0.0061		0.3177		0.1368
Anderson-Rubin Wald (P-value)		0.0199				0.0000				0.0000
Stock-Wright LM(P-value)		0.0209				0.0000				0.0000
F-statistic (P-value)		0.0000		0.0000		0.0000		0.0000		0.0000		0.0000
Panel B. IV regression using lag of control variables
Variable	∆VIX (−1)		MLEV (+1)		∆VIX (−1)		SMLEV (+1)		∆VIX (−1)		LMLEV (+1)
	(1)		(2)		(3)		(4)		(5)		(6)
RSP500	−1.1737***				−1.1720***				−1.1735***
	(0.0000)				(0.0000)				(0.0000)
∆VIX			0.0337***				0.0177***				0.0357***
			(0.0010)				(0.0000)				(0.0000)
SIZE	0.1476***		0.0113***		0.1475***		−0.0003		0.1476***		0.0112***
	(0.0000)		(0.0040)		(0.0000)		(0.7690)		(0.0000)		(0.0040)
ROA	−0.0179		−0.1276***		−0.0258		−0.0177*		−0.0183		−0.1317***
	(0.6650)		(0.0060)		(0.5340)		(0.0510)		(0.6570)		(0.0030)
TANG	0.0390		−0.0903**		0.0362		−0.0554***		0.0390		−0.0870*
	(0.5400)		(0.0480)		(0.5710)		(0.0030)		(0.5410)		(0.0530)
GROW	−0.0393***		0.0100**		−0.0389***		0.0012		−0.0393***		0.0102**
	(0.0000)		(0.0130)		(0.0000)		(0.2840)		(0.0000)		(0.0110)
MTB	0.0148***		−0.0134***		0.0151***		−0.0018***		0.0148***		−0.0122***
	(0.0000)		(0.0000)		(0.0000)		(0.0000)		(0.0000)		(0.0000)
CPI	8.2317***		0.2410***		8.1929***		0.2282***		8.2293***		0.1625**
	(0.0000)		(0.0010)		(0.0000)		(0.0000)		(0.0000)		(0.0290)
LNEPU	−0.1209***		0.0035		−0.1209***		−0.0054		−0.1209***		0.0077*
	(0.0000)		(0.4200)		(0.0000)		(0.0180)		(0.0000)		(0.0720)
Obs.	6987		6987		6951		6951		6985		6985
Centered R^2	0.3271		0.0926		0.3254		0.0206		0.3272		0.0921
Un-Centered R^2	0.3271		0.0926		0.3254		0.0206		0.3272		0.0921
Anderson-Rubin Wald (P-value)	0.0006				0.0003				0.0002
Stock-Wright LM(P-value)	0.0007				0.0004				0.0003
F-statistic (P-value)	0.0000		0.0000		0.0000		0.0000		0.0000		0.0000

Table 6 reports empirical results of Equation (2)(2) $\mathrm{M}\mathrm{L}\mathrm{E}{\mathrm{V}}_{\mathrm{i},\mathrm{t}}={\alpha }_0+{\alpha }_1\ast \mathrm{F}\mathrm{i}\mathrm{r}{\mathrm{m}}_{\mathrm{i},\mathrm{t}}+\gamma \ast \mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{t}}+\delta \ast \mathrm{M}\mathrm{A}{\mathrm{C}}_{\mathrm{t}}+{\mu }_{\mathrm{i},\mathrm{t}}+\mathrm{f}\mathrm{i}\mathrm{x}\mathrm{e}\mathrm{d}-\mathrm{e}\mathrm{f}\mathrm{f}\mathrm{e}\mathrm{c}\mathrm{t}$(2) using the two-stage least square (2SLS) regression with a fixed effect for the panel model (Baltagi, 2013). *, **, and *** indicate statistical significance at the 10, 5, and 1 percent levels, respectively. P-value is calculated from Robust Standard Errors and shown in parentheses (). All independent variables are lagged at one year in Panel B.

Table 7. Testing on a sample of Nasdaq Composite’s listed firms (2000–2019)

Variable	MLEV	SMLEV	LMLEV	MLEV (+1)	SMLEV (+1)	LMLEV (+1)
	(1)	(2)	(3)	(4)	(5)	(6)
Constant	−0.2257***	0.0137	−0.2487***	−0.2572***	0.0053	−0.2740***
	(0.0000)	(0.2640)	(0.0000)	(0.0000)	(0.6740)	(0.0000)
SIZE	0.0181***	−0.0016*	0.0205***	0.0245***	0.0013	0.0245***
	(0.0000)	(0.0640)	(0.0000)	(0.0000)	(0.1360)	(0.0000)
ROA	−0.0464***	−0.0164***	−0.0354***	−0.0441***	−0.0134***	−0.0344***
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
TANG	0.1626***	0.0363***	0.1431***	0.1290***	0.0222**	0.1162***
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0140)	(0.0000)
GROW	0.0003	−0.0009	0.0008	0.0004	−0.0010	0.0012
	(0.7710)	(0.2030)	(0.2810)	(0.7730)	(0.2460)	(0.2140)
MTB	−0.0131***	−0.0041***	−0.0100***	−0.0077***	−0.0025***	−0.0060***
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
∆VIX	−0.0017	0.0006	−0.0030	0.0279***	0.0107***	0.0212***
	(0.5180)	(0.6930)	(0.2280)	(0.0000)	(0.0000)	(0.0000)
CPI	−0.0308	0.0041	−0.0244	−0.0051	0.0848**	−0.0566
	(0.7010)	(0.9250)	(0.7420)	(0.9510)	(0.0440)	(0.4730)
LNEPU	0.0245***	0.0076***	0.0187***	0.0124***	0.0006	0.0123***
	(0.0000)	(0.0000)	(0.0000)	(0.0010)	(0.7140)	(0.0000)
Obs.	17,921	17,638	17,866	14,896	14,669	14,863
R^2-within	0.1017	0.0302	0.0864	0.0761	0.0177	0.0693
R^2-between	0.2547	0.0566	0.2557	0.2290	0.0556	0.2613
R^2-overall	0.2319	0.0498	0.2368	0.1924	0.0344	0.2063
VIF test	1.18	1.13	1.19	1.18	1.13	1.19
F-statistic (P-value)	0.00	0.00	0.00	0.00	0.00	0.00
Modified Wald (P-value)	0.00	0.00	0.00	0.00	0.00	0.00

Table 7 reports empirical results of Equation (2)(2) $\mathrm{M}\mathrm{L}\mathrm{E}{\mathrm{V}}_{\mathrm{i},\mathrm{t}}={\alpha }_0+{\alpha }_1\ast \mathrm{F}\mathrm{i}\mathrm{r}{\mathrm{m}}_{\mathrm{i},\mathrm{t}}+\gamma \ast \mathrm{\Delta }\mathrm{V}\mathrm{I}{\mathrm{X}}_{\mathrm{t}}+\delta \ast \mathrm{M}\mathrm{A}{\mathrm{C}}_{\mathrm{t}}+{\mu }_{\mathrm{i},\mathrm{t}}+\mathrm{f}\mathrm{i}\mathrm{x}\mathrm{e}\mathrm{d}-\mathrm{e}\mathrm{f}\mathrm{f}\mathrm{e}\mathrm{c}\mathrm{t}$(2) using pooled OLS with a fixed effect for Nasdaq Composite’s listed firms. *, **, and *** indicate statistical significance at the 10, 5, and 1 percent levels, respectively. P-value is calculated from Robust Standard Errors and shown in parentheses (). All independent and control variables are lagged at one year in Columns (2), (4), (6).

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