Table 13 Five-factor model (illiquidity...

Table 13

Five-factor model (illiquidity cost 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	0.80***	19.81	0.82***	13.70	0.19***	3.60	−0.02	−0.52	−0.01	−0.12
Size-2	0.70***	13.39	0.15	1.90	0.32***	4.64	0.12**	2.21	0.21***	2.97
Size-3	0.63***	11.18	0.28***	3.34	0.05	0.63	0.09	1.43	0.00	0.06
Size-4	0.68***	12.72	0.17**	2.16	0.09	1.19	0.02	0.30	−0.06	−0.78
Large size	0.80***	19.81	−0.18***	−3.06	0.19***	3.60	−0.02	−0.52	−0.01	−0.12
Low BM	0.73***	16.84	0.26***	4.08	−0.26***	−4.50	0.00	−0.08	0.05	0.87
BM-2	0.63***	12.62	0.21***	2.79	0.07	1.11	−0.05	−0.95	−0.15**	−2.19
BM-3	0.74***	13.85	0.27***	3.35	0.14	1.91	0.06	1.12	−0.06	−0.85
BM-4	0.69***	13.96	0.20***	2.71	0.28***	4.19	0.02	0.32	0.15**	2.28
High BM	0.73***	16.84	0.26***	4.08	0.74***	12.76	0.00	−0.08	0.05	0.87
Low MMT	0.73***	17.19	0.27***	4.34	0.23***	3.95	−0.50***	−10.86	0.04	0.65
MMT-2	0.65***	12.74	0.21***	2.77	0.18**	2.57	−0.04	−0.78	0.03	0.41
MMT-3	0.67***	13.27	0.23***	3.04	0.13	1.91	−0.04	−0.75	−0.04	−0.59
MMT-4	0.72***	14.36	0.17**	2.32	0.20***	2.92	0.11**	2.08	0.02	0.31
High MMT	0.73***	17.19	0.27***	4.34	0.23***	3.95	0.50***	10.96	0.04	0.65
Low LIQ	0.82***	21.10	0.16***	2.77	0.20***	3.77	−0.06	−1.40	−0.40***	−7.42
LIQ-2	0.69***	12.69	0.25***	3.04	0.10	1.33	−0.01	−0.11	−0.11	−1.47
LIQ-3	0.62***	11.42	0.24***	2.98	0.14	1.96	0.10	1.74	0.00	0.03
LIQ-4	0.57***	10.37	0.35***	4.31	0.31***	4.23	0.04	0.75	0.03	0.38
High LIQ	0.82***	21.10	0.16***	2.77	0.20***	3.77	−0.06	−1.40	0.60***	11.16

	$R_{m} - R_{f}$		$S M B$		$H M L$		$W M L$		$I M L$
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Small size	0.80***	19.81	0.82***	13.70	0.19***	3.60	−0.02	−0.52	−0.01	−0.12
Size-2	0.70***	13.39	0.15	1.90	0.32***	4.64	0.12**	2.21	0.21***	2.97
Size-3	0.63***	11.18	0.28***	3.34	0.05	0.63	0.09	1.43	0.00	0.06
Size-4	0.68***	12.72	0.17**	2.16	0.09	1.19	0.02	0.30	−0.06	−0.78
Large size	0.80***	19.81	−0.18***	−3.06	0.19***	3.60	−0.02	−0.52	−0.01	−0.12
Low BM	0.73***	16.84	0.26***	4.08	−0.26***	−4.50	0.00	−0.08	0.05	0.87
BM-2	0.63***	12.62	0.21***	2.79	0.07	1.11	−0.05	−0.95	−0.15**	−2.19
BM-3	0.74***	13.85	0.27***	3.35	0.14	1.91	0.06	1.12	−0.06	−0.85
BM-4	0.69***	13.96	0.20***	2.71	0.28***	4.19	0.02	0.32	0.15**	2.28
High BM	0.73***	16.84	0.26***	4.08	0.74***	12.76	0.00	−0.08	0.05	0.87
Low MMT	0.73***	17.19	0.27***	4.34	0.23***	3.95	−0.50***	−10.86	0.04	0.65
MMT-2	0.65***	12.74	0.21***	2.77	0.18**	2.57	−0.04	−0.78	0.03	0.41
MMT-3	0.67***	13.27	0.23***	3.04	0.13	1.91	−0.04	−0.75	−0.04	−0.59
MMT-4	0.72***	14.36	0.17**	2.32	0.20***	2.92	0.11**	2.08	0.02	0.31
High MMT	0.73***	17.19	0.27***	4.34	0.23***	3.95	0.50***	10.96	0.04	0.65
Low LIQ	0.82***	21.10	0.16***	2.77	0.20***	3.77	−0.06	−1.40	−0.40***	−7.42
LIQ-2	0.69***	12.69	0.25***	3.04	0.10	1.33	−0.01	−0.11	−0.11	−1.47
LIQ-3	0.62***	11.42	0.24***	2.98	0.14	1.96	0.10	1.74	0.00	0.03
LIQ-4	0.57***	10.37	0.35***	4.31	0.31***	4.23	0.04	0.75	0.03	0.38
High LIQ	0.82***	21.10	0.16***	2.77	0.20***	3.77	−0.06	−1.40	0.60***	11.16

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

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

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