| ln(Volume) | ILLIQ (10−6) | R^2 | Price delay | |||||
| Di | −0.38 （−1.51） | −0.26 (−1.79) | 1.27* (2.12) | 1.09* (2.05) | −0.24 (−1.39) | −0.20 (−1.26) | 0.03 (1.19) | 0.02 (1.03) |
| Dt | −0.15 (−0.59) | −0.02 (−0.16) | 0.0265 (0.04) | −0.327 (−0.61) | 0.14 (0.84) | 0.17 (1.09) | 0.05* (1.99) | 0.03 (1.53) |
| Dt * Di | 0.15 (0.42) | 0.19 (0.95) | 0.489 (0.58) | 0.428 (0.56) | 0.14 (0.84) | 0.15 (0.66) | 0.06 (1.72) | 0.05 (1.85) |
| Size | 0.59** (18.21) | −0.791** (−6.63) | 0.25** (7.04) | −0.02** (−6.44) | ||||
| ROA | −0.04** (−2.86) | −0.064 (−1.15) | −0.04** (−2.58) | −0.004 (−1.73) | ||||
| Leverage | 0.30 (0.95) | −0.612 (−0.53) | −0.59 (−1.75) | −0.06 (−1.36) | ||||
| Con | 16.38 （93.28） | 12.61 (48.40) | 0.0398 (0.09) | 5.84** (6.14) | −0.23 (−1.89) | −1.23** (−4.39) | 0.04** (2.54) | 0.29** (5.79) |
| R square | 0.014 | 0.663 | 0.054 | 0.261 | 0.022 | 0.205 | 0.129 | 0.327 |