August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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Elsevier UK CH09-H8321 jobcode: FEF 28-6-2007 2:25p.m. Page:211 Trimsize:165
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211 Cross-sectional stock returns in the UK market: the role of liquidity risk
Table 9.10 Different factor models for illiquid minus liquid portfolios
Dependent variables: ILLIQ–LIQ_D
C −0010 −0012 −0014 −00147 −0016
−2183 −2543 −2622 −2702 −2846
RM-Tbill −0461 −0614 −0552 −05595 −0504
−3446 −4845 −4506 −3844 −3730
SMB −0478 −0361 −04354 −0338
−3
776 −2499 −2933 −2109
HML 0.401 0.444 0.4119 0.452
2.216 2.443
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