Table 4 The effects of stock market...

Table 4

The effects of stock market liquidity on returns

Model	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
const	0.030***	0.024***	0.029***	0.033***	0.029***	0.031***	0.029***	0.032***
const	(8.783)	(6.602)	(9.194)	(10.08)	(8.488)	(8.819)	(9.214)	(9.904)
Size	−0.011***	−0.012***	−0.011***	−0.012***	−0.011***	−0.012***	−0.011***	−0.012***
Size	(21.28)	(21.30)	(20.28)	(21.20)	(21.09)	(20.88)	(20.37)	(21.29)
B-MV	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
B-MV	(0.362)	(0.360)	(0.009)	(0.0204)	(0.357)	(0.352)	(0.134)	(0.355)
Risk	−0.002	−0.002	−0.002**	−0.002*	−0.002**	−0.002**	−0.002**	−0.002*
Risk	(1.330)	(1.358)	(2.048)	(1.866)	(2.102)	(2.112)	(2.518)	(1.708)
Momentum	0.009***	0.008***	0.009***	0.011***	0.009***	0.009***	0.009***	0.011***
Momentum	(6.708)	(6.640)	(7.021)	(7.909)	(7.302)	(7.112)	(7.354)	(7.959)
Reversal	−0.003	−0.004	−0.007	−0.007	−0.003	−0.004	−0.006	−0.008
Reversal	(0.590)	(0.604)	(1.502)	(1.544)	(0.539)	(0.609)	(1.376)	(1.580)
PQCS	−0.009
PQCS	(1.221)
log(PQCS)		−0.002***
log(PQCS)		(3.421)
amPQCS			0.399**
amPQCS			(2.126)
amPQCS^FF				0.014**
amPQCS^FF				(2.011)
ILLIQ					0.000
ILLIQ					(1.234)
log(ILLIQ)						−0.0005***
log(ILLIQ)						(2.667)
amILLIQ							0.0001**
amILLIQ							(2.526)
amILLIQ^FF								0.000
amILLIQ^FF								(1.152)
Stock Fixed Effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Time Fixed Effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Number of observations	142,767	142,767	137,052	129,240	143,063	143,063	137,379	128,691
LSDV R-squared	0.084	0.084	0.087	0.086	0.087	0.087	0.090	0.087
Within R-squared	0.073	0.073	0.076	0.075	0.076	0.076	0.079	0.076

Model	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
const	0.030***	0.024***	0.029***	0.033***	0.029***	0.031***	0.029***	0.032***
const	(8.783)	(6.602)	(9.194)	(10.08)	(8.488)	(8.819)	(9.214)	(9.904)
Size	−0.011***	−0.012***	−0.011***	−0.012***	−0.011***	−0.012***	−0.011***	−0.012***
Size	(21.28)	(21.30)	(20.28)	(21.20)	(21.09)	(20.88)	(20.37)	(21.29)
B-MV	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
B-MV	(0.362)	(0.360)	(0.009)	(0.0204)	(0.357)	(0.352)	(0.134)	(0.355)
Risk	−0.002	−0.002	−0.002**	−0.002*	−0.002**	−0.002**	−0.002**	−0.002*
Risk	(1.330)	(1.358)	(2.048)	(1.866)	(2.102)	(2.112)	(2.518)	(1.708)
Momentum	0.009***	0.008***	0.009***	0.011***	0.009***	0.009***	0.009***	0.011***
Momentum	(6.708)	(6.640)	(7.021)	(7.909)	(7.302)	(7.112)	(7.354)	(7.959)
Reversal	−0.003	−0.004	−0.007	−0.007	−0.003	−0.004	−0.006	−0.008
Reversal	(0.590)	(0.604)	(1.502)	(1.544)	(0.539)	(0.609)	(1.376)	(1.580)
PQCS	−0.009
PQCS	(1.221)
log(PQCS)		−0.002***
log(PQCS)		(3.421)
amPQCS			0.399**
amPQCS			(2.126)
amPQCS^FF				0.014**
amPQCS^FF				(2.011)
ILLIQ					0.000
ILLIQ					(1.234)
log(ILLIQ)						−0.0005***
log(ILLIQ)						(2.667)
amILLIQ							0.0001**
amILLIQ							(2.526)
amILLIQ^FF								0.000
amILLIQ^FF								(1.152)
Stock Fixed Effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Time Fixed Effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Number of observations	142,767	142,767	137,052	129,240	143,063	143,063	137,379	128,691
LSDV R-squared	0.084	0.084	0.087	0.086	0.087	0.087	0.090	0.087
Within R-squared	0.073	0.073	0.076	0.075	0.076	0.076	0.079	0.076

Note(s): The table presents the estimated effect of market liquidity on stock returns with different approaches to taking the holding period into account. The dependent variable is the monthly excess (over risk-free return) return on the stock. t-statistics are given in the parentheses and asterisks denote the statistical significance at the 0.1 (*), 0.05 (**) and 0.01 (***) levels

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