Table 2 Average stock characteristics of...

Table 2

Average stock characteristics of ST-sorted portfolios

Decile	ST	ME	BETA	BM	MOM	ILLIQ	REV	MAX	IVOL	PRC
Low-ST	−0.03	6.08	1.05	1.02	0.35	0.01	−0.13	0.05	0.03	19.84
2	−0.01	8.70	0.82	1.23	0.15	0.00	−0.07	0.04	0.02	26.82
3	−0.01	9.41	0.72	1.33	0.11	0.00	−0.04	0.04	0.02	29.06
4	−0.00	8.82	0.71	1.32	0.10	0.00	−0.02	0.04	0.02	28.55
5	0.00	8.56	0.74	1.26	0.11	0.00	−0.01	0.05	0.02	27.51
6	0.01	8.39	0.79	1.20	0.13	0.00	0.00	0.06	0.02	26.87
7	0.02	8.50	0.84	1.10	0.15	0.00	0.02	0.07	0.02	26.09
8	0.02	7.52	0.90	1.00	0.19	0.00	0.05	0.08	0.03	24.42
9	0.03	5.12	0.95	0.88	0.25	0.00	0.09	0.10	0.03	20.77
High-ST	0.06	2.59	0.96	0.77	0.30	0.01	0.25	0.17	0.06	14.21

Decile	ST	ME	BETA	BM	MOM	ILLIQ	REV	MAX	IVOL	PRC
Low-ST	−0.03	6.08	1.05	1.02	0.35	0.01	−0.13	0.05	0.03	19.84
2	−0.01	8.70	0.82	1.23	0.15	0.00	−0.07	0.04	0.02	26.82
3	−0.01	9.41	0.72	1.33	0.11	0.00	−0.04	0.04	0.02	29.06
4	−0.00	8.82	0.71	1.32	0.10	0.00	−0.02	0.04	0.02	28.55
5	0.00	8.56	0.74	1.26	0.11	0.00	−0.01	0.05	0.02	27.51
6	0.01	8.39	0.79	1.20	0.13	0.00	0.00	0.06	0.02	26.87
7	0.02	8.50	0.84	1.10	0.15	0.00	0.02	0.07	0.02	26.09
8	0.02	7.52	0.90	1.00	0.19	0.00	0.05	0.08	0.03	24.42
9	0.03	5.12	0.95	0.88	0.25	0.00	0.09	0.10	0.03	20.77
High-ST	0.06	2.59	0.96	0.77	0.30	0.01	0.25	0.17	0.06	14.21

Note(s): This table reports the average firm characteristics of decile portfolios sorted monthly on the salience theory measure (ST). At the end of each month, stocks are sorted into deciles based on ST. For each decile, we report the time-series averages of firm characteristics, including ME, BETA, BM, MOM, ILLIQ, REV, MAX, IVOL, and PRC. The sample consists of all common stocks listed on KOSPI and KOSDAQ from March 2005 to December 2024

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