Table 7.

Relationship between VPIN or Bid-Ask Spread and loan information

Variables	VPIN		Bid-Ask Spread
	1	2	3	4
Loan size	$-$ 0.0017**		$-$ 0.0067*
	($-$ 2.47)		($-$ 1.74)
OL rate		0.0065***		0.0461***
		(2.94)		(4.53)
Controls	Yes	Yes	Yes	Yes
Year $\times$ industry-fixed effect	Yes	Yes	Yes	Yes
Firm-fixed effect	Yes	Yes	Yes	Yes
Adjusted $R^2$	0.4782	0.4628	0.6470	0.6689
Obs.	43,525	26,893	43,525	26,893

This table reports the OLS results of the tests on the relationships between VPIN or Bid-Ask Spread and loan information. It represents the results of the regression: $VPI{N}_{i,t}/Bid-AskSprea{d}_{i,t}=\alpha +{\beta }_1\times Positive\_loan\_informatio{n}_{i,t}/Loan\_defaul{t}_{i,t}+\sum {\beta }_i\times Contro{l}_{i,t}+{\epsilon }_{i,t}$, with VPIN defined as the absolute value of the difference between sell trades and buy trades divided by total trades. Bid-Ask Spread is calculated as the difference between bid price and ask price, to measure market liquidity. The control variables in previous tables are included in the regressions. The t-statistics reported are based on standard errors clustered by firm. Symbols *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively