Table 19 Variable definitions and data sources
From: Stock liquidity, financial constraints, and innovation in Chinese SMEs
Variables | Definition | Data Sources |
|---|---|---|
INNOV_EXP | The natural logarithm of R&D expenditures is used to measure the innovation input | WIND Database |
INNOV_PAT | The number of granted patents is used in the baseline model to measure the innovation output | CSMAR Database |
EXP_REVENUE | The ratio of R&D expenditures and revenue as an alternative proxy for innovation input is used in robustness checks | WIND Database |
EXP_ASSET | The ratio of R&D expenditures and total assets used in robustness checks, which is an alternative proxy for innovation input | WIND Database |
APPLIED_PAT | The number of applied patents is an alternative proxy for innovation output in robustness tests | CSMAR Database |
CPQS | Chung and Zhang (2014) proposed that the low-frequency liquidity proxy is the Closing Percent Quoted Spread (CPQS). CPQS is an inverse measure of liquidity, calculated as the ratio of the difference between the closing ask and bid prices over the midpoint of these prices. The CPQS is initially estimated daily, and then all daily estimates are averaged across the year to give yearly values for each stock and each year | Refinitiv Datastream |
CPQSIM | The CPQS Impact is calculated as the daily ratio of the CPQS divided by the local currency trading volume, and it is utilized as an alternate liquidity proxy in our robustness assessment. The yearly CPQSIM estimates for each stock are calculated by averaging the estimated daily ratios over all the trading days in each year | Refinitiv Datastream |
ILLIQ | Amihud's (2002) illiquidity ratio is calculated as the daily ratio of absolute stock returns to local currency trading volume, and it is utilized as an alternate liquidity metric in our robustness assessment. The yearly ILLIQ values for each stock are calculated by averaging the computed daily ratios over all the trading days in a given year | Refinitiv Datastream |
TSHARE | Tradable shares are the number of shares of listed firms that can be traded in the exchange. In the Chinese market, it can be divided into individual investors and blockholdings | WIND Database |
SHRHFD5 | SHRHFD5 is the Herfindahl–Hirschman Index, the sum of the squared shareholding ratios of the top five shareholders | WIND Database |
TO | Stock turnover is defined as the number of shares trading divided by the number of outstanding shares. The yearly value for each stock is calculated by taking the time-series averages of daily turnover ratios over each year | Refinitiv Datastream |
RET | The daily stock return is calculated as the natural logarithm of price and then averaged over the year to get the annual stock return for each stock and year | Refinitiv Datastream |
FREE | Free float is the portion of TSHARE that excludes blockholders with more than 5% of the shares | WIND Database |
VOL | The standard deviation of daily stock returns over the year is used to calculate annual return volatility | Refinitiv Datastream |
EARN | Earnings are calculated by dividing operating income by the book value of total assets | Refinitiv Datastream |
INTAN | The ratio of intangible assets divided by the book value of total assets is used to calculate intangibles | Refinitiv Datastream |
LEV | Leverage is the book value of debts scaled by the book value of assets at year's end | Refinitiv Datastream |
ROE | The ratio of operating income divided by the book value of equity is used to calculate return on equity | Refinitiv Datastream |
Q | Tobin's Q ratio is a measure of firm value that is the market value of assets divided by the book value of assets at the end of the year | Refinitiv Datastream |
BTM | Book-to-market is computed as the ratio of the book value of equity divided by the market value of equity | Refinitiv Datastream |
CAPITAL | Capital is the ratio of capital expenditures over the book value of assets measured at year-end | Refinitiv Datastream |
SALES | Sales growth is defined as the annual percentage change in sales | Refinitiv Datastream |
lnAGE | Natural logarithm of firm age, measured by taking the number of whole years which covers 365 or 366Â days from the establishment date to the end of 2020 | WIND Database |
INSTITUTION | INSTITUTION is the ratio of institutional shareholdings to the total shares of SMEs listed on GEM | WIND Database |
CFF | CFF is the cash flow from financing activities, measured by the difference between cash inflows from debt and equity issuance and outflows from share repurchases, debt repayments, and dividend payments | Refinitiv Datastream |
MA | MA is a dummy variable that takes the value of 1 for M&A occurring and 0 for not occurring based on the date of the first announcement for the whole year | CSMAR Database |
NMA | The number of M&A over the year is based on the date of the first announcement for the whole year | CSMAR Database |