Stocks Traded Only in Periods 2 and 3: Summary statistics by group
| Parameter: | alpha (α) |
delta (δ) |
epsilon (ε) |
mu (μ) |
||||
|
Period 2 |
Period 3 |
Period 2 |
Period 3 |
Period 2 |
Period 3 |
Period 2 |
Period 3 |
| A: First decile |
|
|
|
|
|
|
|
|
| Mean | 0.579 |
0.344 |
0.174 |
0.147 |
2,538 |
1,708 |
10,095 |
43,595 |
| Median | 0.938 |
0.135 |
0.088 |
0.033 |
744 |
196 |
595 |
460 |
| Std. dev. | 0.452 |
0.412 |
0.239 |
0.225 |
6,129 |
4,173 |
31,195 |
151,559 |
| Stat. sign. at 5% | 38.1% |
54.8% |
54.8% |
26.2% |
100.0% |
100.0% |
64.3% |
59.5% |
|
|
|
|
|
|
|
|
|
| B: Second decile |
|
|
|
|
|
|
|
|
| Mean | 0.321 |
0.206 |
0.105 |
0.179 |
342 |
93 |
1,664 |
1,160 |
| Median | 0.150 |
0.066 |
0.045 |
0.014 |
191 |
47 |
167 |
21 |
| Std. dev. | 0.398 |
0.299 |
0.184 |
0.303 |
369 |
115 |
3,451 |
2,830 |
| Stat. sign. at 5% | 47.1% |
38.2% |
38.2% |
20.6% |
100.0% |
100.0% |
52.9% |
52.9% |
|
|
|
|
|
|
|
|
|
| C: Third decile |
|
|
|
|
|
|
|
|
| Mean | 0.367 |
0.201 |
0.126 |
0.159 |
443 |
69 |
2,418 |
401 |
| Median | 0.114 |
0.206 |
0.000 |
0.050 |
421 |
26 |
0 |
56 |
| Std. dev. | 0.467 |
0.197 |
0.257 |
0.262 |
332 |
88 |
3,948 |
635 |
| Stat. sign. at 5% | 26.7% |
60.0% |
26.7% |
13.3% |
100.0% |
100.0% |
40.0% |
73.3% |
|
|
|
|
|
|
|
|
|
| D: 4th-10th decile |
|
|
|
|
|
|
|
|
| Mean | 0.105 |
0.290 |
0.236 |
0.513 |
214 |
375 |
1,057 |
1,503 |
| Median | 0.111 |
0.125 |
0.096 |
0.770 |
140 |
36 |
378 |
25 |
| Std. dev. | 0.108 |
0.328 |
0.338 |
0.458 |
252 |
1,043 |
1,422 |
3,476 |
| Stat. sign. at 5% | 54.5% |
45.5% |
45.5% |
27.3% |
100.0% |
100.0% |
63.6% |
63.6% |