The results of the estimation of the liquidity premium in various subsamples
| Panel A: estimates for bull and bear markets | ||||
| Variable | All | Bull market | Bear market | |
| amILLIQR | 8.899*** (3.923) | 8.711*** (3.904) | 28.176 (1.507) | |
| ILLIQRU | −0.134*** (2.675) | −0.133*** (2.600) | −0.165 (0.771) | |
| Level of liquidity (multiplied by 103) | 0.121 [0.0072] | 0.127 [0.0074] | 0.112 [0.0077] | |
| Total liquidity premium [%] | 0.108 [0.006] | 0.111 [0.006] | 0.317/0.000 [0.022/0.000] | |
| Panel B: Estimates for stocks with different capitalisations | ||||
| Variable | Low MV | 2 | 3 | High MV |
| amILLIQR | 8.741*** (3.871) | 19.143*** (2.842) | 67.136*** (2.839) | 219.492** (2.485) |
| ILLIQRU | −0.082 (1.121) | −0.267*** (3.631) | −0.105 (1.121) | −0.386* (1.684) |
| Level of liquidity (multiplied by 103) | 0.377 [0.053] | 0.055 [0.013] | 0.019 [0.0046] | 0.0026 [0.00048] |
| Total liquidity premium | 0.329 [0.047] | 0.105 [0.026] | 0.127 [0.031] | 0.057 [0.011] |
| Panel C: estimates for stocks with different book-to-market values | ||||
| Variable | Low B-MV | 2 | 3 | High B-MV |
| amILLIQR | 7.981** (2.077) | 26.446** (2.332) | 12.188*** (4.087) | 8.368*** (3.031) |
| ILLIQRU | −0.109 (0.734) | −0.036 (0.259) | −0.175** (2.404) | −0.147** (2.306) |
| Level of liquidity (multiplied by 103) | 0.140 [0.0047] | 0.047 [0.0050] | 0.090 [0.0073] | 0.176 [0.016] |
| Total liquidity premium | 0.112 [0.004] | 0.124 [0.013] | 0.110 [0.009] | 0.147 [0.014] |
| Panel D: estimates for stocks with different levels of risk | ||||
| Variable | Low risk | 2 | 3 | High risk |
| amILLIQR | 28.133*** (3.382) | 19.800*** (3.529) | 17.057*** (2.766) | 8.004*** (3.614) |
| ILLIQRU | −0.113 (1.428) | −0.042 (0.702) | −0.202*** (3.279) | −0.245* (1.907) |
| Level of liquidity (multiplied by 103) | 0.030 [0.0018] | 0.069 [0.0063] | 0.097 [0.011] | 0.315 [0.021] |
| Total liquidity premium | 0.085 [0.005] | 0.137 [0.013] | 0.166 [0.019] | 0.252 [0.016] |
| Variable | All | Bull market | Bear market | |
| 8.899 | 8.711 | 28.176 (1.507) | ||
| −0.134 | −0.133 | −0.165 (0.771) | ||
| 0.121 [0.0072] | 0.127 [0.0074] | 0.112 [0.0077] | ||
| 0.108 [0.006] | 0.111 [0.006] | 0.317/0.000 [0.022/0.000] | ||
| Variable | Low MV | 2 | 3 | High MV |
| 8.741 | 19.143 | 67.136 | 219.492 | |
| −0.082 (1.121) | −0.267 | −0.105 (1.121) | −0.386 | |
| 0.377 [0.053] | 0.055 [0.013] | 0.019 [0.0046] | 0.0026 [0.00048] | |
| 0.329 [0.047] | 0.105 [0.026] | 0.127 [0.031] | 0.057 [0.011] | |
| Variable | Low B-MV | 2 | 3 | High B-MV |
| 7.981 | 26.446 | 12.188 | 8.368 | |
| −0.109 (0.734) | −0.036 (0.259) | −0.175 | −0.147 | |
| 0.140 [0.0047] | 0.047 [0.0050] | 0.090 [0.0073] | 0.176 [0.016] | |
| 0.112 [0.004] | 0.124 [0.013] | 0.110 [0.009] | 0.147 [0.014] | |
| Variable | Low risk | 2 | 3 | High risk |
| 28.133 | 19.800 | 17.057 | 8.004 | |
| −0.113 (1.428) | −0.042 (0.702) | −0.202 | −0.245* (1.907) | |
| 0.030 [0.0018] | 0.069 [0.0063] | 0.097 [0.011] | 0.315 [0.021] | |
| 0.085 [0.005] | 0.137 [0.013] | 0.166 [0.019] | 0.252 [0.016] | |
Notes:
The table presents estimated parameters for amILLIQR and ILLIQRU, as well as the level of liquidity and total liquidity premium in various subsamples. Panel A presents the results for bull and bear markets identified with the use of Markov-switching state-dependent variance AR(1) model; Panel B presents the estimates for stocks of different size as measured by market capitalisation (MV); Panel C presents the results for stocks with different book-to-market values (B-MV) and Panel D contains estimates for stocks with different levels of return volatility. t-statistics are given in the parentheses and asterisks denote the statistical significance at the 0.1 (*), 0.05 (**) and 0.01 (***) level
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