臺大管理論叢 NTU Management Review VOL.29 NO.1

The Illiquidity Premium: Further Evidence from Global and Asia-Pacific Markets 18 Table 3 Evidence of the Illiquidity Premium – Fama-MacBeth Regression Analysis The table reports the summary of the estimated coefficients of the following cross-sectional regression model: R c,j,t = b0 c,t + b1 c,t * ILLIQ c,j,t-2 + b2 c,t * SIZE c,j,t-2 + b3 c,t * B/M c,j,t-n + b4 c,t * logSD c,j,t-2 + b5 c,t * R c,j,t-2-4 + b6 c,t * R c,j,t-5-13 + e c,j,t R j,t is the return of stock j in month t ; ILLIQ j,t-2 is the Amihud illiquidity measure which is mean- adjusted for the country in each month, thus providing a standardized measure of illiquidity for all countries and over time; SIZE j,t-2 is the log value of the market capitalization of firm j ; B/M j,t-n is the lagged book-to-market ratio known in month t , following the procedure of Fama and French (1993); log SD j,t-2 is the stock j ’s daily return standard deviation; R j,t-2-4 and R j,t-5-13 are the stock’s lagged returns during t -2 to t -4 and t -5 to t -13 respectively. Amihud and SD are calculated over a rolling window of three months, then we skip one month and the model is estimated for each month. All variables are in US dollars. The regressions are estimated for each of the 44 countries, and are return-weighted to reduce potential bias, following Asparouhova et al. (2010, 2013). The mean coefficient is calculated for each country c following the Fama-MacBeth (1973) procedure. The table reports the statistics of the country mean coefficients across the 44 countries. The associated t -statistics are included in parenthesis. The p -value is the significance level of the test for the null hypothesis that across countries, the mean values of the coefficient estimates are equally likely to be positive or negative (i.e., probability of 50%). Market constant ILLIQ SIZE B/M logSD R j,t-2-4 R j,t-5-13 R 2 Emerging Markets (18 countries) Mean 4.647 0.086 -0.286 0.304 -0.629 0.007 0.003 15.0% ( t -statistic) (4.60) (2.61) (-3.91) (1.79) (-4.17) (2.78) (2.70) Median 3.964 0.076 -0.203 0.271 -0.622 0.011 0.002 13.2% % positive 94.4% 83.3% 11.1% 83.3% 11.1% 72.2% 66.7% p -value 0.000 0.004 1.000 0.004 1.000 0.048 0.119 Developed Markets (26 countries) Mean 2.051 0.077 -0.103 0.300 -0.553 0.018 0.008 12.0% ( t -statistic) (5.58) (4.17) (-3.89) (5.89) (-7.32) (8.49) (7.64) Median 1.688 0.067 -0.072 0.239 -0.488 0.019 0.008 11.6% % positive 92.3% 88.5% 23.1% 92.3% 7.7% 96.2% 92.3% p -value 0.000 0.000 0.999 0.000 1.000 0.000 0.000 Global Markets (all 44 countries) Mean 3.113 0.081 -0.178 0.302 -0.584 0.014 0.006 13.2% ( t -statistic) (6.24) (4.71) (-4.94) (4.05) (-7.76) (7.50) (7.04) Median 2.146 0.070 -0.107 0.262 -0.546 0.014 0.006 12.1% % positive 93.2% 86.4% 18.2% 88.6% 9.1% 86.4% 81.8% p -value 0.000 0.000 1.000 0.000 1.000 0.000 0.000