Table 5

Alternative liquidity measures

PropZeroTurnoverSpread
VariablesBLEV t+1 (1)MLEV t+1 (2)BLEV t+1 (3)MLEV t+1 (4)BLEV t+1 (5)MLEV t+1 (6)
LEV0.840***0.732***0.853***0.884***0.774***0.840***
(0.000)(0.000)(0.000)(0.000)(0.000)(0.000)
PropZero−0.0406−0.0250*    
(0.144)(0.066)    
PropZero × LEV0.284***0.183***    
(0.008)(0.001)    
Turnover  −0.0081**−0.0037  
  (0.016)(0.328)  
Turnover × LEV  0.0436***0.0541***  
  (0.000)(0.000)  
Spread    −0.156***−0.176***
    (0.002)(0.000)
Spread × LEV    1.168***0.453***
    (0.000)(0.000)
ControlYesYesYesYesYesYes
Year fixed effectsYesYesYesYesYesYes
Observations15,46915,46914,92514,92516,45716,457
Number of id2,2982,2982,2602,2602,4002,400

Note(s): This tables reports the regression results for the effects of other liquidity measures including proportion of zero-return days, turnover, and daily quoted spread to test the association between equity liquidity and leverage using two-step system GMM. The variable definition are in  Appendix. ***, ** and * indicate significance at the 1, 5 and 10% levels, respectively. The p-values are in parenthesis

Source(s): The table is created by authors

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