Panel A: The statistics for the proportion of zero daily volumes | ||||||
Periods | R_original | R_rearrange | Zero_Volume | Proportion |
|
|
07/1926-12/2014 | 70,614,037 | 61,470,621 | 9,143,416 | 12.95% |
|
|
07/1926-06/1963 | 9,027,597 | 6,701,477 | 2,326,120 | 25.77% |
|
|
07/1963-12/2014 | 61,586,440 | 54,769,144 | 6,817,296 | 11.07% |
|
|
Number of stocks | 24,114 | 24,103 | 17,359 | 71.99% |
|
|
Panel B: The descriptive statistics of main variables during 07/1926-12/2014 | ||||||
Variables | N | Mean | Std. | Min | Max |
|
IV_FF3FM | 3,305,450 | 0.0272 | 0.0085 | 0.0104 | 0.0625 |
|
IV_FF3FM_Infre | 2,777,844 | 0.0282 | 0.0092 | 0.0106 | 0.0839 |
|
Size | 2,254,957 | 4.7406 | 2.1995 | −4.5504 | 13.4553 |
|
B/M | 2,254,957 | 0.9808 | 4.1963 | 0.0000 | 3040.55 |
|
OP | 2,254,957 | 14.7785 | 2334.16 | −194,133.33 | 942,375.00 |
|
AGR | 2,254,957 | 19.2963 | 767.7825 | −98.0832 | 789,850.00 |
|
Panel C: The correlation of main variables during 07/1926-12/2014 | ||||||
Variables | IV_FF3FM | IV_FF3FM_Infre | Size | B/M | OP | AGR |
IV_FF3FM | 1.0000 | 0.9897 | −0.4348 | 0.1317 | −0.0675 | 0.0136 |
IV_FF3FM_Infre | 0.9897 | 1.0000 | −0.5788 | 0.1337 | −0.0751 | 0.0199 |
Size | −0.4348 | −0.5788 | 1.0000 | −0.2919 | 0.0758 | 0.0462 |
B/M | 0.1317 | 0.1337 | −0.2919 | 1.0000 | −0.0781 | −0.0899 |
OP | −0.0675 | −0.0751 | 0.0758 | −0.0781 | 1.0000 | 0.0412 |
AGR | 0.0136 | 0.0199 | 0.0462 | −0.0899 | 0.0412 | 1.0000 |