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The Pricing of Liquidity Risk and Accounting Quality in Canada

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Figure

Table 2. Descriptive statistics
Table 3. Monthly factor returns
Table 4. Factor returns by calendar month
Table 5 presents the mean of the 5197 firm-specific regressions with at least 12 monthly returns over 1992-2014, along with the t-statistic that the mean coefficient is equal to zero; the last row shows the average adjusted R2 of the 5197 regressions
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