From: Industry- and liquidity-based momentum in Australian equities
 | 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 |