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