Table 7. Quantile sorted by firm...

Table 7.

Quantile sorted by firm characteristics

	Illiquid				Liquid
Panel A. Portfolios sorted on the basis of the corporate liquidity
	1	2	3	4	5	Liquid-illiquid	t-statistic
R	0.004	0.014	0.009	0.017	0.012	0.008	1.7548
ASSETS _ LN	19.655	20.762	20.871	20.998	20.888	1.233
MKCAP_LN	20.102	21.202	21.358	21.582	22.017	1.915
BEME	1.329	0.957	0.786	0.654	0.521	−0.808
CH	0.010	0.032	0.059	0.094	0.212	0.202
CH_DEV	−0.077	−0.059	−0.033	−0.004	0.109	0.186
CHNA	0.011	0.034	0.063	0.104	0.303	0.292
LEV	0.177	0.230	0.253	0.240	0.199	0.022
CFA	−0.002	−0.004	−0.002	−0.001	−0.004	−0.002
CFA_DEV	0.025	0.023	0.024	0.026	0.033	0.008
DIVP	−0.938	−0.838	−0.934	−0.937	−1.123	−0.185
Panel B. Portfolios sorted on the basis of the firm size
	Small				Big
	1	2	3	4	5	Small-big	t-statistic
R	0.007	0.018	0.016	0.014	0.003	0.004	0.9699
ASSETS _ LN	18.553	20.187	21.183	21.861	21.439	−2.886
MKCAP_LN	17.341	19.633	21.008	22.614	25.617	−8.276
BEME	2.109	1.120	0.650	0.397	0.053	2.056
CH	0.063	0.070	0.097	0.086	0.089	−0.026
CH_DEV	−0.026	−0.028	−0.001	−0.009	−0.004	−0.022
CHNA	0.094	0.083	0.119	0.106	0.108	−0.014
LEV	0.162	0.204	0.239	0.242	0.236	−0.074
CFA	−0.002	−0.004	−0.002	−0.003	−0.002	0.000
CFA_DEV	0.026	0.024	0.028	0.026	0.024	0.002
DIVP	−0.730	−1.113	−0.906	−0.937	−1.014	0.284
Panel C. Portfolios sorted on the basis of BEME
	Low				High
	1	2	3	4	5	High-low	t-statistic
R	0.001	0.023	0.02	0.007	0.005	0.004	0.8674
ASSETS _ LN	20.572	21.268	21.124	20.562	19.787	−0.785
MKCAP_LN	25.378	21.86	20.985	19.861	18.357	−7.021
BEME	0.012	0.241	0.507	0.915	2.601	2.589
CH	0.088	0.101	0.076	0.083	0.060	−0.028
CH_DEV	−0.007	0.004	−0.020	−0.015	−0.026	−0.019
CHNA	0.110	0.128	0.090	0.107	0.080	−0.030
LEV	0.231	0.236	0.249	0.191	0.187	−0.044
CFA	−0.007	−0.006	0.001	−0.003	−0.001	0.006
CFA_DEV	0.027	0.031	0.023	0.022	0.025	−0.002
DIVP	−1.217	−0.831	−0.942	−1.105	−0.712	0.505

Source: Own elaboration

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	Illiquid				Liquid
Panel A. Portfolios sorted on the basis of the corporate liquidity
	1	2	3	4	5	Liquid-illiquid	t-statistic
R	0.004	0.014	0.009	0.017	0.012	0.008	1.7548
ASSETS _ LN	19.655	20.762	20.871	20.998	20.888	1.233
MKCAP_LN	20.102	21.202	21.358	21.582	22.017	1.915
BEME	1.329	0.957	0.786	0.654	0.521	−0.808
CH	0.010	0.032	0.059	0.094	0.212	0.202
CH_DEV	−0.077	−0.059	−0.033	−0.004	0.109	0.186
CHNA	0.011	0.034	0.063	0.104	0.303	0.292
LEV	0.177	0.230	0.253	0.240	0.199	0.022
CFA	−0.002	−0.004	−0.002	−0.001	−0.004	−0.002
CFA_DEV	0.025	0.023	0.024	0.026	0.033	0.008
DIVP	−0.938	−0.838	−0.934	−0.937	−1.123	−0.185
Panel B. Portfolios sorted on the basis of the firm size
	Small				Big
	1	2	3	4	5	Small-big	t-statistic
R	0.007	0.018	0.016	0.014	0.003	0.004	0.9699
ASSETS _ LN	18.553	20.187	21.183	21.861	21.439	−2.886
MKCAP_LN	17.341	19.633	21.008	22.614	25.617	−8.276
BEME	2.109	1.120	0.650	0.397	0.053	2.056
CH	0.063	0.070	0.097	0.086	0.089	−0.026
CH_DEV	−0.026	−0.028	−0.001	−0.009	−0.004	−0.022
CHNA	0.094	0.083	0.119	0.106	0.108	−0.014
LEV	0.162	0.204	0.239	0.242	0.236	−0.074
CFA	−0.002	−0.004	−0.002	−0.003	−0.002	0.000
CFA_DEV	0.026	0.024	0.028	0.026	0.024	0.002
DIVP	−0.730	−1.113	−0.906	−0.937	−1.014	0.284
Panel C. Portfolios sorted on the basis of BEME
	Low				High
	1	2	3	4	5	High-low	t-statistic
R	0.001	0.023	0.02	0.007	0.005	0.004	0.8674
ASSETS _ LN	20.572	21.268	21.124	20.562	19.787	−0.785
MKCAP_LN	25.378	21.86	20.985	19.861	18.357	−7.021
BEME	0.012	0.241	0.507	0.915	2.601	2.589
CH	0.088	0.101	0.076	0.083	0.060	−0.028
CH_DEV	−0.007	0.004	−0.020	−0.015	−0.026	−0.019
CHNA	0.110	0.128	0.090	0.107	0.080	−0.030
LEV	0.231	0.236	0.249	0.191	0.187	−0.044
CFA	−0.007	−0.006	0.001	−0.003	−0.001	0.006
CFA_DEV	0.027	0.031	0.023	0.022	0.025	−0.002
DIVP	−1.217	−0.831	−0.942	−1.105	−0.712	0.505

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