VARIABLES

DumCSR

CSR

(1)

(2)

(3)

(4)

(5)

(6)

Ivol

−0.697***

−0.991***

−0.648***

−0.667***

−1.039***

−0.591***

(−5.01)

(−5.17)

(−3.01)

(−4.75)

(−7.06)

(−3.37)

X

0.003

0.006

−0.000

0.000

(0.72)

(1.63)

(−1.65)

(1.07)

X ´ IV

0.324**

0.274*

0.016***

0.010***

(1.99)

(1.66)

(4.51)

(3.13)

Amihud

0.061***

0.072***

(2.93)

(3.13)

Turn

−0.002***

−0.002***

(−4.64)

(−4.57)

Size

−0.004**

−0.005***

(−2.29)

(−2.91)

MOM

0.004

0.003

(1.49)

(1.28)

MAX

0.013

0.009

(0.39)

(0.27)

VOL

−0.001

−0.001

(−0.81)

(−0.59)

Constant

−0.166***

−0.169***

−0.051

−0.166***

−0.161***

−0.038

(−18.73)

(−16.36)

(−1.08)

(−18.82)

(−16.27)

(−0.83)

Observations

265,031

265,031

264,990

253,475

253,475

253,435

R²

0.018

0.022

0.077

0.018

0.030

0.079

Number of groups

120

120

120

120

120

120