Table 12 Five-factor model (turnover...

Table 12

Five-factor model (turnover rate as liquidity measure)

	$R_{m} - R_{f}$		$S M B$		$H M L$		$W M L$		$I M L$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Small size	0.76***	17.85	0.83***	16.09	0.19***	3.73	−0.02	−0.46	−0.06	−1.47
Size-2	0.66***	11.79	0.25***	3.63	0.38***	5.51	0.13**	2.36	0.08	1.50
Size-3	0.59***	9.82	0.30***	4.12	0.05	0.67	0.09	1.50	−0.06	−1.09
Size-4	0.67***	11.78	0.15**	2.21	0.07	1.03	0.02	0.28	−0.05	−0.93
Large size	0.76***	17.85	−0.17***	−3.33	0.19***	3.73	−0.02	−0.46	−0.06	−1.47
Low BM	0.71***	15.46	0.29***	5.19	−0.25***	−4.42	0.00	−0.01	0.01	0.21
BM-2	0.58***	11.09	0.16**	2.58	0.04	0.59	−0.05	−1.00	−0.17***	−3.35
BM-3	0.67***	11.95	0.27***	3.95	0.12*	1.79	0.07	1.20	−0.14***	−2.73
BM-4	0.64***	12.11	0.28***	4.35	0.32***	4.89	0.03	0.48	0.03	0.53
High BM	0.71***	15.46	0.29***	5.19	0.75***	13.43	0.00	−0.01	0.01	0.21
Low MMT	0.67***	14.93	0.31***	5.73	0.24***	4.30	−0.49***	−10.80	−0.06	−1.50
MMT-2	0.62***	11.43	0.23***	3.55	0.18***	2.77	−0.04	−0.73	−0.03	−0.51
MMT-3	0.63***	11.86	0.22***	3.48	0.12*	1.84	−0.04	−0.73	−0.08	−1.56
MMT-4	0.71***	13.32	0.18***	2.86	0.20***	3.11	0.11	2.11	0.00	0.00
High MMT	0.67***	14.93	0.31***	5.73	0.24***	4.30	0.51***	11.16	−0.06	−1.50
Low LIQ	0.75***	17.30	0.20***	3.83	0.19***	3.57	−0.03	−0.70	0.47***	11.75
LIQ-2	0.53***	9.12	0.29***	4.20	0.14**	2.00	0.02	0.41	0.04	0.66
LIQ-3	0.59***	9.59	0.31***	4.19	0.18**	2.48	−0.07	−1.19	−0.09	−1.53
LIQ-4	0.72***	13.68	0.29***	4.61	0.29***	4.61	0.13**	2.41	−0.14***	−2.82
High LIQ	0.75***	17.30	0.20***	3.83	0.19***	3.57	−0.03	−0.70	−0.53***	−13.04

	$R_{m} - R_{f}$		$S M B$		$H M L$		$W M L$		$I M L$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Small size	0.76***	17.85	0.83***	16.09	0.19***	3.73	−0.02	−0.46	−0.06	−1.47
Size-2	0.66***	11.79	0.25***	3.63	0.38***	5.51	0.13**	2.36	0.08	1.50
Size-3	0.59***	9.82	0.30***	4.12	0.05	0.67	0.09	1.50	−0.06	−1.09
Size-4	0.67***	11.78	0.15**	2.21	0.07	1.03	0.02	0.28	−0.05	−0.93
Large size	0.76***	17.85	−0.17***	−3.33	0.19***	3.73	−0.02	−0.46	−0.06	−1.47
Low BM	0.71***	15.46	0.29***	5.19	−0.25***	−4.42	0.00	−0.01	0.01	0.21
BM-2	0.58***	11.09	0.16**	2.58	0.04	0.59	−0.05	−1.00	−0.17***	−3.35
BM-3	0.67***	11.95	0.27***	3.95	0.12*	1.79	0.07	1.20	−0.14***	−2.73
BM-4	0.64***	12.11	0.28***	4.35	0.32***	4.89	0.03	0.48	0.03	0.53
High BM	0.71***	15.46	0.29***	5.19	0.75***	13.43	0.00	−0.01	0.01	0.21
Low MMT	0.67***	14.93	0.31***	5.73	0.24***	4.30	−0.49***	−10.80	−0.06	−1.50
MMT-2	0.62***	11.43	0.23***	3.55	0.18***	2.77	−0.04	−0.73	−0.03	−0.51
MMT-3	0.63***	11.86	0.22***	3.48	0.12*	1.84	−0.04	−0.73	−0.08	−1.56
MMT-4	0.71***	13.32	0.18***	2.86	0.20***	3.11	0.11	2.11	0.00	0.00
High MMT	0.67***	14.93	0.31***	5.73	0.24***	4.30	0.51***	11.16	−0.06	−1.50
Low LIQ	0.75***	17.30	0.20***	3.83	0.19***	3.57	−0.03	−0.70	0.47***	11.75
LIQ-2	0.53***	9.12	0.29***	4.20	0.14**	2.00	0.02	0.41	0.04	0.66
LIQ-3	0.59***	9.59	0.31***	4.19	0.18**	2.48	−0.07	−1.19	−0.09	−1.53
LIQ-4	0.72***	13.68	0.29***	4.61	0.29***	4.61	0.13**	2.41	−0.14***	−2.82
High LIQ	0.75***	17.30	0.20***	3.83	0.19***	3.57	−0.03	−0.70	−0.53***	−13.04

Note(s): ** and *** denote significance at 5 and 1% levels, respectively

Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream

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