Table 7 Robustness Checks with Alternative Liquidity Measures

CPQSIM

− 3.164^***

− 17.486^**

(0.724)

(7.465)

ILLIQ

− 4.222^***

− 20.996^**

(1.235)

(8.829)

TSHARE

0.002

0.002

0.045^*

0.044

(0.002)

(0.002)

(0.027)

(0.027)

SHRHFD5

− 0.557^*

− 0.593^*

17.737^***

17.503^***

(0.321)

(0.323)

(6.519)

(6.462)

TO

− 5.955^***

− 5.140^***

− 19.941

-15.409

(1.297)

(1.278)

(15.412)

(15.170)

RET

0.734^***

0.805^***

5.884^*

6.170^*

(0.250)

(0.225)

(3.344)

(3.494)

FREE

0.005^*

0.003

0.019

0.009

(0.003)

(0.003)

(0.043)

(0.043)

VOL

− 0.098^**

− 0.061

− 0.165

0.049

(0.039)

(0.038)

(0.482)

(0.559)

EARN

0.263

0.158

1.665

1.147

(0.344)

(0.371)

(2.862)

(2.882)

INTAN

0.816^***

0.867^***

− 3.754

− 3.420

(0.219)

(0.221)

(3.554)

(3.684)

LEV

1.048^***

0.989^***

2.444

2.187

(0.186)

(0.179)

(3.834)

(3.806)

ROE

0.680^**

0.642^**

− 0.668

-0.823

(0.277)

(0.305)

(3.089)

(3.050)

Q

− 0.003

-0.006

− 0.198

− 0.205

(0.020)

(0.018)

(0.211)

(0.210)

BTM

0.670^***

0.660^***

10.614^***

10.434^***

(0.147)

(0.165)

(3.235)

(3.242)

CAPITAL

1.481^***

1.541^***

18.324^**

18.665^**

(0.428)

(0.440)

(8.045)

(7.921)

SALES

0.002^***

0.002^***

0.004

0.003

(0.000)

(0.000)

(0.006)

(0.007)

lnAGE

− 0.103

− 0.100

− 0.768

-0.747

(0.090)

(0.088)

(1.781)

(1.780)

CONSTANT

16.977^***

16.960^***

− 3.447

− 3.422

(0.488)

(0.515)

(5.514)

(5.436)

Year dummies

Yes

Yes

Yes

Yes

Industry dummies

Yes

Yes

Yes

Yes

N

4664

4664

4719

4719

Adj.R²

0.361

0.373

0.027

0.027