Properties of liquidity-based portfolios
| Liquidity | Excess return | Market beta | Size | BM | |
|---|---|---|---|---|---|
| Panel A: Turnover rate | |||||
| Illiquid | 0.07 | 5.94 | 0.30 | 1270.23 | 1.79 |
| LIQ-2 | 0.29 | 6.84 | 0.45 | 792.04 | 1.86 |
| LIQ-3 | 0.68 | 8.79 | 0.57 | 713.93 | 2.20 |
| LIQ-4 | 1.68 | 4.26 | 0.72 | 937.25 | 2.21 |
| Liquid | 16.84 | 9.40 | 1.07 | 2826.47 | 1.61 |
| Panel B: Illiquidity cost | |||||
| Liquid | 0.00 | 7.86 | 1.02 | 10762.40 | 0.89 |
| LIQ-2 | 0.00 | 11.75 | 0.71 | 2391.36 | 1.26 |
| LIQ-3 | 0.02 | 3.61 | 0.55 | 1015.06 | 1.60 |
| LIQ-4 | 0.06 | 6.46 | 0.45 | 457.67 | 2.30 |
| Illiquid | 2.63 | 5.67 | 0.38 | 173.39 | 3.58 |
| Liquidity | Excess return | Market beta | Size | BM | |
|---|---|---|---|---|---|
| Illiquid | 0.07 | 5.94 | 0.30 | 1270.23 | 1.79 |
| LIQ-2 | 0.29 | 6.84 | 0.45 | 792.04 | 1.86 |
| LIQ-3 | 0.68 | 8.79 | 0.57 | 713.93 | 2.20 |
| LIQ-4 | 1.68 | 4.26 | 0.72 | 937.25 | 2.21 |
| Liquid | 16.84 | 9.40 | 1.07 | 2826.47 | 1.61 |
| Liquid | 0.00 | 7.86 | 1.02 | 10762.40 | 0.89 |
| LIQ-2 | 0.00 | 11.75 | 0.71 | 2391.36 | 1.26 |
| LIQ-3 | 0.02 | 3.61 | 0.55 | 1015.06 | 1.60 |
| LIQ-4 | 0.06 | 6.46 | 0.45 | 457.67 | 2.30 |
| Illiquid | 2.63 | 5.67 | 0.38 | 173.39 | 3.58 |
Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream
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