I am reading the paper Chordia, Tarun and Subrahmanyam, Avanidhar and Anshuman, V. Ravi, Trading Activity and Expected Stock Returns (Undated). Available at SSRN: https://ssrn.com/abstract=204488 or http://dx.doi.org/10.2139/ssrn.204488
The results in Table 4 seem odd, for most of the factors we have exactly the same estimates on the two panels.
I couldn't find any errata for this paper, so my questions are:
- despite no errata is it a typo from authors?
- or am I missing something that explains that results are the same for both regressions?