变量

(1)

(2)

(3)

(4)

$NCSKE{W}_{i,t}$

$NCSKE{W}_{i,t}$

$DUVO{L}_{i,t}$

$DUVO{L}_{i,t}$

Panel A：回归结果

$NCSKE{W}_{i,t-1}$

0.0676^***

(8.9931)

0.0731^***

(9.8202)

$DUVO{L}_{i,t-1}$

0.0794^***

(110329)

0.0895^***

(12.7031)

$LNSIZ{E}_{j,t-1}$

−0.036^***

(−11.9276)

−0.0338^***

(−11.2124)

−0.030^***

(−19.060)

−0.0281^***

(−17.9873)

$\log \left(volatilit{y}_{j,t-1}\right)$

0.1048^***

(−7.2805)

0.1278^***

(8.4667)

0.0452^***

(5.7459)

0.0544^***

(7.2307)

$DTurnove{r}_{j,t-1}$

0.005^***

(4.7076)

0.0052^***

(4.8101)

0.0028^***

(4.6829)

0.0029

(4.8880)

$Ret{1}_{j,t-1}$

0.2253^***

(8.9651)

0.2204^***

(8.9694)

0.0900^***

(6.6093)

0.0881^***

(6.5331)

$Ret{2}_{j,t-1}$

0.0804^***

(4.2432)

0.0934

(5.0561)

0.0273^***

(2.6475)

0.0371^***

(3.6772)

$Ret{3}_{j,t-1}$

−0.0349

(−1.5548)

0.0012

(0.0534)

−0.0216^*

(−1.7818)

0.0048^***

(0.4080)

$Ret{4}_{j,t-1}$

0.0458^*

(1.9041)

0.0685^***

(2.9489)

−0.0035

(−0.2787)

0.0153

(1.2482)

$Ret{5}_{j,t-1}$

−0.149^***

(−5.7482)

−0.1636^***

(−6.6772)

−0.0717

(−5.3988)

−0.0754^***

(−5.9595)

$Ret{6}_{j,t-1}$

0.0137

(0.6852)

0.0484

(2.2000)

0.01761^*

(1.6454)

0.0407^***

(3.8995)

行业FE

Yes

Yes

Yes

Yes

样本量

28,655

28,655

28,655

28,655

$R^2$

0.037

0.039

0.050

0.052

F统计量

29.08

30.49

40.176

41.22

效应

FE

RE

FE

RE

Panel B: Hausman检验

$NCSKE{W}_{i,t}$

$DUVO{L}_{i,t}$

原假设

随机效应是一致的

随机效应是一致的

${\chi }^2$

365.26^***

178.42^***