ivolliq

illiq

SIZE

BM

TURN

IVOL

COV(r, c)

RET1M

RET12M

β c C

β c R

β r C

β r R

ivolliq

1

illiq

0.02

1

SIZE

−0.01

−0.04

1

BM

−0.01

0.41

−0.01

1

TURN

0.18

−0.13

−0.07

−0.12

1

IVOL

0.15

−0.04

−0.04

−0.06

0.39

1

COV(r, c)

0.02

−0.21

0.01

−0.12

0.07

0.14

1

RET1M

0.08

−0.02

0.00

−0.01

0.14

0.08

0.00

1

RET12M

0.029

−0.090

0.03

−0.051

0.10

−0.006

−0.029

−0.02

1

β c C

0.22

0.73

−0.04

0.45

−0.12

−0.04

−0.19

0.00

−0.082

1

β c R

0.24

−0.51

0.03

−0.33

0.11

0.04

0.17

0.01

0.000

−0.52

1

β r C

0.06

0.10

0.12

0.09

−0.34

−0.13

−0.05

0.00

0.064

0.12

−0.08

1

β r R

0.00

0.00

0.01

0.01

−0.04

−0.05

−0.02

0.00

0.055

0.02

−0.02

0.11

1