Table 5 The effects of stock market...

Table 5

The effects of stock market liquidity on returns – the role of the holding period

Model	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
const	0.080***	0.077***	0.033***	0.031***	0.070***	0.066***	0.055***	0.052***
const	(18.58)	(18.89)	(10.41)	(9.299)	(16.43)	(15.95)	(14.59)	(13.73)
Size	−0.009***	−0.010***	−0.008***	−0.009***	−0.010***	−0.011***	−0.009***	−0.010***
Size	(15.88)	(16.82)	(14.36)	(15.22)	(16.51)	(17.23)	(15.03)	(16.07)
B-MV	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
B-MV	(0.256)	(0.195)	(0.307)	(0.291)	(0.245)	(0.200)	(0.244)	(0.206)
Risk	−0.005***	−0.006***	−0.003***	−0.003***	−0.005***	−0.005***	−0.005***	−0.005***
Risk	(4.203)	(4.706)	(3.309)	(2.744)	(4.037)	(4.415)	(4.562)	(3.963)
Momentum	0.009***	0.010***	0.010***	0.011***	0.008***	0.010***	0.009***	0.010***
Momentum	(6.775)	(7.267)	(8.021)	(8.057)	(6.383)	(6.774)	(6.950)	(6.906)
Reversal	−0.008*	−0.009*	−0.005	−0.007	−0.009*	−0.010**	−0.008	−0.009*
Reversal	(1.772)	(1.904)	(1.098)	(1.369)	(1.860)	(2.018)	(1.593)	(1.913)
log(amPQCS)	0.006***
log(amPQCS)	(19.52)
log(amPQCS^FF)		0.007***
log(amPQCS^FF)		(20.68)
log(amILLIQ)			0.004***
log(amILLIQ)			(18.64)
log(amILLIQ^FF)				0.004***
log(amILLIQ^FF)				(18.82)
log(PQCS)					0.003***	0.003***
log(PQCS)					(5.398)	(4.783)
log(ILLIQ)							0.002***	0.002***
log(ILLIQ)							(8.397)	(6.822)
log(HP)					−0.007***		−0.007***
log(HP)					(19.49)		(20.38)
log(HP^FF)						−0.007***		−0.007***
log(HP^FF)						(20.76)		(21.01)
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	137,052	129,240	137,379	128,691	137,052	127,240	137,379	128,691
LSDV R-squared	0.093	0.095	0.093	0.092	0.093	0.096	0.097	0.097
Within R-squared	0.083	0.085	0.083	0.082	0.083	0.085	0.087	0.086

Model	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
const	0.080***	0.077***	0.033***	0.031***	0.070***	0.066***	0.055***	0.052***
const	(18.58)	(18.89)	(10.41)	(9.299)	(16.43)	(15.95)	(14.59)	(13.73)
Size	−0.009***	−0.010***	−0.008***	−0.009***	−0.010***	−0.011***	−0.009***	−0.010***
Size	(15.88)	(16.82)	(14.36)	(15.22)	(16.51)	(17.23)	(15.03)	(16.07)
B-MV	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
B-MV	(0.256)	(0.195)	(0.307)	(0.291)	(0.245)	(0.200)	(0.244)	(0.206)
Risk	−0.005***	−0.006***	−0.003***	−0.003***	−0.005***	−0.005***	−0.005***	−0.005***
Risk	(4.203)	(4.706)	(3.309)	(2.744)	(4.037)	(4.415)	(4.562)	(3.963)
Momentum	0.009***	0.010***	0.010***	0.011***	0.008***	0.010***	0.009***	0.010***
Momentum	(6.775)	(7.267)	(8.021)	(8.057)	(6.383)	(6.774)	(6.950)	(6.906)
Reversal	−0.008*	−0.009*	−0.005	−0.007	−0.009*	−0.010**	−0.008	−0.009*
Reversal	(1.772)	(1.904)	(1.098)	(1.369)	(1.860)	(2.018)	(1.593)	(1.913)
log(amPQCS)	0.006***
log(amPQCS)	(19.52)
log(amPQCS^FF)		0.007***
log(amPQCS^FF)		(20.68)
log(amILLIQ)			0.004***
log(amILLIQ)			(18.64)
log(amILLIQ^FF)				0.004***
log(amILLIQ^FF)				(18.82)
log(PQCS)					0.003***	0.003***
log(PQCS)					(5.398)	(4.783)
log(ILLIQ)							0.002***	0.002***
log(ILLIQ)							(8.397)	(6.822)
log(HP)					−0.007***		−0.007***
log(HP)					(19.49)		(20.38)
log(HP^FF)						−0.007***		−0.007***
log(HP^FF)						(20.76)		(21.01)
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	137,052	129,240	137,379	128,691	137,052	127,240	137,379	128,691
LSDV R-squared	0.093	0.095	0.093	0.092	0.093	0.096	0.097	0.097
Within R-squared	0.083	0.085	0.083	0.082	0.083	0.085	0.087	0.086

Note(s): The table presents the estimated effect of market liquidity and holding period on stock returns. 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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