| Â | SPR | PSPR | DEP | ESPR | PESPR |
|---|
STD | 0.151 | 0.122 | -0.056 | 0.362 | 0.306 |
Price | 0.094 | -0.583 | -0.204 | 0.109 | -0.510 |
Volume | -0.168 | -0.119 | 0.483 | -0.165 | -0.110 |
Industry | 0.470 | 0.508 | 0.510 | 0.485 | 0.546 |
- Cross-sectional regression of daily individual stock liquidity measures on individual daily returns from the preceeding month (STD), the concurrent day’s mean prices level (Price), the day’s dollar trading volume (Volume), and equally-weighted liquidity measure of all the stocks in the same industry (Industry). SPR is the quoted spread, PSPR is the proportional spread, DEP is the depth, ESPR is the effective spread, and PESPR is the proportional effective spread. The cross-sectional regression coefficients are averaged across the 996 trading days
