| 变量名 | 被解释变量为NCSKEW_Nt+1 | ||
| 全样本 | 持股比例较低的组 | 持股比例较高的组 | |
| Pledge | 0.0355*** (3.248) | 0.0374* (2.426) | 0.0287 (1.203) |
| Size | −0.0627*** (−10.613) | −0.0624*** (−9.817) | −0.0703*** (−9.380) |
| Lev | −0.1028** (−2.212) | −0.0711* (−1.915) | −0.0772** (−2.083) |
| Roa | 0.642*** (4.312) | 0.5180*** (3.941) | 0.2361*** (4.013) |
| BTM | 0.0212*** (9.558) | 0.0194*** (9.034) | 0.0296*** (11.002) |
| Rdtvr | −0.0343* (−1.731) | −0.0376* (−1.806) | −0.0284 (−0.635) |
| Sigma | 10.6845*** (6.024) | 13.4789*** (7.937) | 11.4694*** (7.047) |
| Ret | 175.8496*** (4.432) | 190.2352***) (4.914) | 153.0987*** (3.325) |
| Cons | 0.1402* (1.703) | 0.0853 (0.738) | 0.0613* (1.690) |
| Year | 控制 | 控制 | 控制 |
| Industry | 控制 | 控制 | 控制 |
| N | 22,328 | 11,643 | 10,685 |
| R-sq | 0.087 | 0.086 | 0.087 |
| F值 | 50.330 | 31.636 | 29.274 |