Industry- and liquidity-based momentum in Australian equities

Financial Innovation

Table 6 Summary Statistics of Different Levels of Liquidity

	Spread		Average Size		Return
	Mean	Std Dev	Mean	Std Dev	Mean	Std Dev
Low liquidity/large spread (L1)	0.0976	0.0246	2.62	1.19	−0.0290	0.2227
Medium-low liquidity (L2)	0.0494	0.0121	3.43	1.38	−0.0019	0.2049
Medium liquidity (L3)	0.0286	0.0073	4.21	1.50	−0.0161	0.1915
Medium-high liquidity (L4)	0.0156	0.0049	5.28	1.57	0.0201	0.1654
High liquidity/small spread (L5)	0.0062	0.0042	6.88	1.71	0.0146	0.1300

Mean returns are on a monthly basis. Average size denotes market value—that is, share price multiplied by the number of ordinary shares in issue. Market value is displayed in a natural logarithm (ln) of millions of Australian dollars