Table 6 The effects of stock market...

Table 6

The effects of stock market liquidity on returns – alternative liquidity measures

Model	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
const	0.018***	0.030***	0.065***	0.062***	0.030***	0.028***	0.054***	0.050***
const	(4.742)	(9.686)	(14.51)	(14.11)	(8.719)	(9.047)	(14.76)	(13.69)
Size	−0.012***	−0.012***	−0.010***	−0.011***	−0.011***	−0.011***	−0.008***	−0.009***
Size	(21.66)	(21.12)	(17.07)	(17.74)	(21.02)	(19.95)	(13.77)	(15.09)
B-MV	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
B-MV	(0.361)	(0.355)	(0.251)	(0.208)	(0.870)	(1.072)	(0.775)	(0.588)
Risk	−0.001	−0.002*	−0.005***	−0.005***	−0.002**	−0.002***	−0.004***	−0.005***
Risk	(1.142)	(1.755)	(3.861)	(4.229)	(2.192)	(2.604)	(4.378)	(4.173)
Momentum	0.008***	0.009***	0.008***	0.009***	0.009***	0.009***	0.009***	0.010***
Momentum	(6.427)	(7.160)	(6.172)	(6.648)	(7.047)	(7.316)	(6.844)	(7.078)
Reversal	−0.004	−0.007	−0.009*	−0.010**	−0.006	−0.010**	−0.007***	−0.011**
Reversal	(0.648)	(1.515)	(1.919)	(2.052)	(1.096)	(2.071)	(2.161)	(2.214)
log(PECS)	−0.003***		0.001**	0.001**
log(PECS)	(6.253)		(2.155)	(2.006)
log(Amih)					−0.0003*		0.002***	0.002***
log(Amih)					(1.866)		(11.25)	(9.263)
amPECS		0.026
amPECS		(1.093)
amAmih						0.0001
amAmih						(1.427)
log(HP)			−0.006***				−0.007***
log(HP)			(18.83)				(21.61)
log(HP^FF)				−0.007***				−0.007***
log(HP^FF)				(20.20)				(21.83)
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	142,895	137,193	137,193	129,363	149,640	143,657	143,657	133,210
LSDV R-squared	0.084	0.085	0.093	0.095	0.087	0.090	0.098	0.097
Within R-squared	0.073	0.074	0.083	0.085	0.077	0.080	0.089	0.087

Model	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
const	0.018***	0.030***	0.065***	0.062***	0.030***	0.028***	0.054***	0.050***
const	(4.742)	(9.686)	(14.51)	(14.11)	(8.719)	(9.047)	(14.76)	(13.69)
Size	−0.012***	−0.012***	−0.010***	−0.011***	−0.011***	−0.011***	−0.008***	−0.009***
Size	(21.66)	(21.12)	(17.07)	(17.74)	(21.02)	(19.95)	(13.77)	(15.09)
B-MV	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
B-MV	(0.361)	(0.355)	(0.251)	(0.208)	(0.870)	(1.072)	(0.775)	(0.588)
Risk	−0.001	−0.002*	−0.005***	−0.005***	−0.002**	−0.002***	−0.004***	−0.005***
Risk	(1.142)	(1.755)	(3.861)	(4.229)	(2.192)	(2.604)	(4.378)	(4.173)
Momentum	0.008***	0.009***	0.008***	0.009***	0.009***	0.009***	0.009***	0.010***
Momentum	(6.427)	(7.160)	(6.172)	(6.648)	(7.047)	(7.316)	(6.844)	(7.078)
Reversal	−0.004	−0.007	−0.009*	−0.010**	−0.006	−0.010**	−0.007***	−0.011**
Reversal	(0.648)	(1.515)	(1.919)	(2.052)	(1.096)	(2.071)	(2.161)	(2.214)
log(PECS)	−0.003***		0.001**	0.001**
log(PECS)	(6.253)		(2.155)	(2.006)
log(Amih)					−0.0003*		0.002***	0.002***
log(Amih)					(1.866)		(11.25)	(9.263)
amPECS		0.026
amPECS		(1.093)
amAmih						0.0001
amAmih						(1.427)
log(HP)			−0.006***				−0.007***
log(HP)			(18.83)				(21.61)
log(HP^FF)				−0.007***				−0.007***
log(HP^FF)				(20.20)				(21.83)
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	142,895	137,193	137,193	129,363	149,640	143,657	143,657	133,210
LSDV R-squared	0.084	0.085	0.093	0.095	0.087	0.090	0.098	0.097
Within R-squared	0.073	0.074	0.083	0.085	0.077	0.080	0.089	0.087

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

[ViewLarge]

Sharing Unavailable