Table 1 Summary statistics and...

Table 1

Summary statistics and correlations

Panel A: Summary statistics
	Mean	Std	Min	p25	p50	p75	MAX
ST	0.010	0.026	−0.096	−0.006	0.006	0.022	0.135
ME	7.367	61.806	0.067	0.532	1.018	2.428	2302.983
BETA	0.848	1.746	−10.699	−0.004	0.811	1.698	12.118
BM	1.112	1.061	−2.470	0.457	0.850	1.456	13.907
MOM	0.184	0.722	−0.857	−0.170	0.036	0.331	11.853
ILLIQ	0.004	0.041	0.000	0.000	0.001	0.002	1.363
REV	0.015	0.162	−0.541	−0.066	−0.007	0.064	2.131
MAX	0.069	0.049	0.005	0.036	0.054	0.087	0.222
IVOL	0.027	0.016	0.003	0.016	0.023	0.033	0.126
PRC	24.410	79.975	1.004	3.177	6.658	17.182	1501.325

Panel A: Summary statistics
	Mean	Std	Min	p25	p50	p75	MAX
ST	0.010	0.026	−0.096	−0.006	0.006	0.022	0.135
ME	7.367	61.806	0.067	0.532	1.018	2.428	2302.983
BETA	0.848	1.746	−10.699	−0.004	0.811	1.698	12.118
BM	1.112	1.061	−2.470	0.457	0.850	1.456	13.907
MOM	0.184	0.722	−0.857	−0.170	0.036	0.331	11.853
ILLIQ	0.004	0.041	0.000	0.000	0.001	0.002	1.363
REV	0.015	0.162	−0.541	−0.066	−0.007	0.064	2.131
MAX	0.069	0.049	0.005	0.036	0.054	0.087	0.222
IVOL	0.027	0.016	0.003	0.016	0.023	0.033	0.126
PRC	24.410	79.975	1.004	3.177	6.658	17.182	1501.325

Panel B: Correlations
	ST	ME	BETA	BM	MOM	ILLIQ	REV	MAX	IVOL	PRC
ST	1
ME	−0.024	1
BETA	0.017	0.011	1
BM	−0.117	−0.037	−0.046	1
MOM	0.009	0.013	0.017	−0.189	1
ILLIQ	−0.052	−0.030	−0.051	0.107	−0.018	1
REV	0.682	0.003	−0.055	−0.079	−0.022	0.008	1
MAX	0.703	−0.049	0.083	−0.190	0.124	−0.034	0.438	1
IVOL	0.512	−0.063	0.051	−0.216	0.184	0.008	0.359	0.876	1
PRC	−0.031	0.354	−0.017	−0.022	0.055	−0.035	0.018	−0.074	−0.085	1

Panel B: Correlations
	ST	ME	BETA	BM	MOM	ILLIQ	REV	MAX	IVOL	PRC
ST	1
ME	−0.024	1
BETA	0.017	0.011	1
BM	−0.117	−0.037	−0.046	1
MOM	0.009	0.013	0.017	−0.189	1
ILLIQ	−0.052	−0.030	−0.051	0.107	−0.018	1
REV	0.682	0.003	−0.055	−0.079	−0.022	0.008	1
MAX	0.703	−0.049	0.083	−0.190	0.124	−0.034	0.438	1
IVOL	0.512	−0.063	0.051	−0.216	0.184	0.008	0.359	0.876	1
PRC	−0.031	0.354	−0.017	−0.022	0.055	−0.035	0.018	−0.074	−0.085	1

Note(s): This table reports descriptive statistics and correlations for the main variables used in the analysis. Panel A presents the time-series averages of monthly cross-sectional summary statistics, including the mean, standard deviation, minimum, 25th percentile, median, 75th percentile, and maximum values. Panel B reports the time-series averages of monthly cross-sectional correlations among variables. The key variable of interest is ST, the salience theory measure constructed from daily returns within each stock-month. Control variables include market capitalization (ME, in units of KRW 100 billion), market beta (BETA), book-to-market ratio (BM), momentum (MOM), Amihud illiquidity (ILLIQ), short-term reversal (REV), maximum daily return (MAX), idiosyncratic volatility (IVOL), and stock price (PRC, in units of KRW thousands). The sample consists of all common stocks listed on KOSPI and KOSDAQ from March 2005 to December 2024

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