变量

(1)

(2)

(3)

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

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

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

$Cove{r}_{i,t-1}$

0.0103^***

(2.7942)

0.0422^***

(6.5021)

0.0029^***

(0.6765)

$Ins{t}_{i,t-1}\times Cove{r}_{i,t-1}$

0.00004^**

(2.3857)

$Fun{d}_{i,t-1}\times Cove{r}_{i,t-1}$

0.00006^*

(1.8934)

$Ins{t}_{i,t-1}$

−0.0006^***

(−4.0259)

−0.0009^***

(−4.4722)

$Fun{d}_{i,t-1}$

0.0001

(0.2708)

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

0.0558^***

(6.5617)

0.0549^***

(6.1856)

0.0563^***

(6.6133)

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

−0.0363^***

(−8.6390)

−0.0330^***

(−7.4112)

−0.0422^***

(−10.1126)

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

0.1091^***

(5.8715)

0.1128^***

(5.6948)

0.1089^***

(5.8302)

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

0.0036^**

(2.5918)

0.0022

(1.4765)

0.0059^***

(4.5487)

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

0.2233^***

(7.6520)

0.2477^***

(8.0450)

0.1907^***

(6.6556)

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

0.0806^***

(3.7960)

0.0924^***

(4.1795)

0.0666^***

(3.1092)

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

−0.0391

(−1.4820)

−0.0252

(−0.9079)

−0.0509^*

(−1.9252)

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

0.0484^*

(1.7557)

0.0491^*

(1.7221)

0.0385^*

(1.3955)

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

−0.1629^***

(−5.5063)

−0.1547^***

(−5.0183)

−0.1766^***

(−5.9675)

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

0.0430

(1.6131)

0.0411^*

(1.6678)

0.0333^*

(1.3979)

行业FE

Yes

Yes

Yes

时间FE

Yes

Yes

Yes

样本量

19,291

19,291

19,291

$R^2$

0.043

0.048

0.043

F统计量

23.911

23.130

23.094