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Table 1

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$ζ$ -Sorted portfolio characteristics

Decile	$ζ$	mkt cap($⁠ $10^{8}$ ⁠)	b/m	illiquidity(⁠ $10^{4}$ ⁠)	$β_{mkt}$	ivol (%)	vol (%)	$y_{t} (oos)$ (%)
1	0.021	6.80	0.74	2.17	1.02	2.69	3.20	15.2
2	0.028	6.52	0.71	1.54	0.98	2.85	3.32	17.6
3	0.033	6.45	0.75	2.64	0.92	2.98	3.40	18.4
4	0.037	6.48	0.72	3.50	0.95	3.07	3.50	18.9
5	0.041	6.64	0.69	2.31	0.92	3.01	3.42	18.6
6	0.047	6.33	0.76	4.20	0.85	3.16	3.52	18.9
7	0.054	6.21	0.73	4.29	0.85	3.46	3.80	17.4
8	0.065	5.83	0.76	6.42	0.79	3.67	3.98	18.3
9	0.083	5.66	0.83	6.51	0.76	4.11	4.40	19.9
10	0.139	5.61	0.95	15.06	0.71	4.56	4.83	21.0

Decile	$ζ$	mkt cap($⁠ $10^{8}$ ⁠)	b/m	illiquidity(⁠ $10^{4}$ ⁠)	$β_{mkt}$	ivol (%)	vol (%)	$y_{t} (oos)$ (%)
1	0.021	6.80	0.74	2.17	1.02	2.69	3.20	15.2
2	0.028	6.52	0.71	1.54	0.98	2.85	3.32	17.6
3	0.033	6.45	0.75	2.64	0.92	2.98	3.40	18.4
4	0.037	6.48	0.72	3.50	0.95	3.07	3.50	18.9
5	0.041	6.64	0.69	2.31	0.92	3.01	3.42	18.6
6	0.047	6.33	0.76	4.20	0.85	3.16	3.52	18.9
7	0.054	6.21	0.73	4.29	0.85	3.46	3.80	17.4
8	0.065	5.83	0.76	6.42	0.79	3.67	3.98	18.3
9	0.083	5.66	0.83	6.51	0.76	4.11	4.40	19.9
10	0.139	5.61	0.95	15.06	0.71	4.56	4.83	21.0

Notes: We sort the stock data to 10 portfolios by $ζ$ and calculate the means of stock’s characteristics in each portfolio. The return in the last column is annualized (*252).

Table 1

Open in new tab

$ζ$ -Sorted portfolio characteristics

Decile	$ζ$	mkt cap($⁠ $10^{8}$ ⁠)	b/m	illiquidity(⁠ $10^{4}$ ⁠)	$β_{mkt}$	ivol (%)	vol (%)	$y_{t} (oos)$ (%)
1	0.021	6.80	0.74	2.17	1.02	2.69	3.20	15.2
2	0.028	6.52	0.71	1.54	0.98	2.85	3.32	17.6
3	0.033	6.45	0.75	2.64	0.92	2.98	3.40	18.4
4	0.037	6.48	0.72	3.50	0.95	3.07	3.50	18.9
5	0.041	6.64	0.69	2.31	0.92	3.01	3.42	18.6
6	0.047	6.33	0.76	4.20	0.85	3.16	3.52	18.9
7	0.054	6.21	0.73	4.29	0.85	3.46	3.80	17.4
8	0.065	5.83	0.76	6.42	0.79	3.67	3.98	18.3
9	0.083	5.66	0.83	6.51	0.76	4.11	4.40	19.9
10	0.139	5.61	0.95	15.06	0.71	4.56	4.83	21.0

Decile	$ζ$	mkt cap($⁠ $10^{8}$ ⁠)	b/m	illiquidity(⁠ $10^{4}$ ⁠)	$β_{mkt}$	ivol (%)	vol (%)	$y_{t} (oos)$ (%)
1	0.021	6.80	0.74	2.17	1.02	2.69	3.20	15.2
2	0.028	6.52	0.71	1.54	0.98	2.85	3.32	17.6
3	0.033	6.45	0.75	2.64	0.92	2.98	3.40	18.4
4	0.037	6.48	0.72	3.50	0.95	3.07	3.50	18.9
5	0.041	6.64	0.69	2.31	0.92	3.01	3.42	18.6
6	0.047	6.33	0.76	4.20	0.85	3.16	3.52	18.9
7	0.054	6.21	0.73	4.29	0.85	3.46	3.80	17.4
8	0.065	5.83	0.76	6.42	0.79	3.67	3.98	18.3
9	0.083	5.66	0.83	6.51	0.76	4.11	4.40	19.9
10	0.139	5.61	0.95	15.06	0.71	4.56	4.83	21.0

Notes: We sort the stock data to 10 portfolios by $ζ$ and calculate the means of stock’s characteristics in each portfolio. The return in the last column is annualized (*252).