% LIQUIDITY FACTORS OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2016 % Column 1: Month % Column 2: Levels of aggregated liquidity (Figure 1 in the paper) % Column 3: Innovations in aggregated liquidity (non-traded liquidity factor; equation(8); the main series) % Column 4: Traded liquidity factor (LIQ_V, 10-1 portfolio return) % Note: The traded factor is the value-weighted return on the 10-1 portfolio from a sort on historical % liquidity betas. This procedure is simpler than sorting on predicted betas (as in the original study) % and through 2016 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2016, consistent with liquidity risk being priced. % % Month Agg Liq. Innov Liq (eq8) Traded Liq (LIQ_V) 196208 -0.01753750 0.00436972 -99 196209 -0.00407173 0.01294007 -99 196210 -0.10420795 -0.07335464 -99 196211 -0.01965568 0.02939911 -99 196212 -0.00508915 0.01649668 -99 196301 -0.05579702 0.01083256 -99 196302 0.01440418 0.02769192 -99 196303 -0.02337483 -0.01892303 -99 196304 0.05413276 0.07813242 -99 196305 0.00354149 -0.01140583 -99 196306 0.00959261 -0.00133794 -99 196307 0.01432661 0.02080996 -99 196308 0.03377124 0.03911979 -99 196309 -0.00753905 0.02042344 -99 196310 0.02680866 0.03301448 -99 196311 -0.05313639 -0.05933891 -99 196312 -0.02057325 0.01301916 -99 196401 -0.07136749 -0.05289760 -99 196402 -0.02474942 0.01357007 -99 196403 0.03138957 0.04425702 -99 196404 -0.04066846 -0.02683421 -99 196405 -0.02572535 -0.00632147 -99 196406 -0.05656623 -0.00906813 -99 196407 0.05818911 0.05779290 -99 196408 -0.04851480 -0.04318078 -99 196409 -0.00816254 0.01204015 -99 196410 0.01293442 0.04011739 -99 196411 0.01488670 -0.00329014 -99 196412 -0.02673177 -0.01391663 -99 196501 0.03792482 0.07073753 -99 196502 -0.01642748 0.02349785 -99 196503 0.03396719 0.01777420 -99 196504 0.02236126 0.04105030 -99 196505 -0.01294330 0.03429461 -99 196506 -0.16341145 -0.11173525 -99 196507 -0.08097770 -0.04835941 -99 196508 -0.03474858 0.07532731 -99 196509 0.02700287 0.06546217 -99 196510 0.00619804 -0.02400955 -99 196511 0.04447103 0.06560903 -99 196512 0.04088096 0.02514873 -99 196601 0.03997340 0.02132229 -99 196602 0.03502075 0.04518178 -99 196603 -0.06624636 -0.06509290 -99 196604 0.02544977 0.05434120 -99 196605 -0.12120820 -0.07619243 -99 196606 -0.05336691 -0.01236165 -99 196607 -0.03300129 0.01048957 -99 196608 -0.10666605 -0.08474204 -99 196609 -0.08782642 -0.04445389 -99 196610 -0.20654296 -0.08198113 -99 196611 -0.05410494 0.05203829 -99 196612 -0.02167904 0.04999005 -99 196701 -0.02740856 0.01420193 -99 196702 -0.07258088 0.01578015 -99 196703 -0.00862977 0.03737919 -99 196704 -0.00152694 0.02124203 -99 196705 0.01392230 0.02477951 -99 196706 -0.06198561 -0.04799717 -99 196707 -0.02837613 0.01415145 -99 196708 0.02907310 0.07186724 -99 196709 0.02354391 0.03169837 -99 196710 -0.03054070 -0.04182101 -99 196711 -0.03066729 -0.01189359 -99 196712 0.00159135 0.03503265 -99 196801 -0.02152297 0.00370798 -0.02089275 196802 -0.03459975 -0.01844151 0.02207353 196803 -0.11694515 -0.08138511 0.01056183 196804 0.02245346 0.08884590 0.00874229 196805 -0.02061359 0.01344013 -0.01781111 196806 0.00822582 0.03281084 0.00036103 196807 -0.01049674 0.00947801 -0.03605746 196808 -0.02020095 -0.00804502 0.00596828 196809 -0.00870761 0.01509867 0.00986642 196810 0.00660594 0.02749168 -0.00108332 196811 -0.00022599 0.01653121 -0.00914203 196812 -0.02857531 -0.01010651 0.01202274 196901 -0.03378860 -0.00689744 0.02260782 196902 -0.02503088 0.01233680 0.05884844 196903 -0.02256787 0.00812822 -0.01766721 196904 -0.01274432 0.01022371 0.01394771 196905 0.01158513 0.04697519 0.01153763 196906 -0.04735727 -0.03765490 0.05894194 196907 -0.12262313 -0.09163104 0.03343958 196908 -0.08789173 -0.04455818 -0.01020914 196909 0.01326168 0.09238591 0.01647163 196910 -0.06038184 -0.02265233 -0.06015396 196911 0.01656803 0.04054552 0.02934810 196912 -0.01985159 -0.02343445 0.02774934 197001 -0.11018592 -0.06805657 0.02252798 197002 -0.08139735 -0.00890720 -0.05760280 197003 -0.13845329 -0.06127107 0.00219594 197004 -0.09427202 -0.02758175 0.03992687 197005 -0.24058595 -0.19393056 -0.07806459 197006 -0.18763369 -0.13717797 -0.03529677 197007 -0.01378420 0.06765176 -0.00309018 197008 -0.06661208 0.01142935 0.00134102 197009 -0.06683050 -0.01298937 -0.01776447 197010 0.09625087 0.09841613 -0.01608185 197011 -0.05983188 -0.04483681 -0.00541285 197012 -0.07301711 -0.01657987 0.04968882 197101 0.01775796 0.04541559 -0.04924146 197102 -0.06448800 -0.03574646 -0.01212727 197103 0.03170210 0.06246414 0.01989124 197104 -0.00998388 0.00865120 0.02666134 197105 -0.01940867 -0.02653958 0.01516061 197106 -0.04414571 -0.01213659 -0.02901134 197107 -0.10142136 -0.03192767 0.00394562 197108 -0.04506878 -0.00557521 0.02733361 197109 0.01981000 0.06271444 0.00549846 197110 -0.05637408 -0.01110252 0.04239923 197111 -0.09198778 -0.03703154 0.01002840 197112 0.00850079 0.04889655 0.00197667 197201 -0.09412363 -0.07956203 -0.03374327 197202 -0.03059879 0.01665761 0.00993984 197203 -0.01137304 0.02716093 0.03309115 197204 -0.00295654 0.01907759 0.01508518 197205 -0.06445365 -0.04237952 -0.00148126 197206 0.00610801 0.00370266 0.01372639 197207 -0.08959345 -0.06611886 0.01622972 197208 0.01435214 0.02220990 -0.03104982 197209 -0.01895372 0.02781347 -0.01488973 197210 -0.03986232 -0.02273868 -0.01545361 197211 -0.01686769 -0.03176103 -0.00776205 197212 -0.07353895 -0.03533527 0.00882111 197301 -0.05635917 -0.02651802 -0.01485640 197302 -0.04832450 0.02796432 -0.01093083 197303 -0.03072225 -0.01206082 -0.01279653 197304 -0.04065523 -0.00980505 0.02315828 197305 -0.11568161 -0.06381467 -0.00287078 197306 -0.19991204 -0.16340149 -0.03243896 197307 -0.09644786 -0.00846048 0.00256278 197308 -0.09591682 -0.02266603 0.01580603 197309 -0.12251698 -0.00144956 0.01698757 197310 -0.05342570 0.02647185 -0.04307098 197311 -0.30129536 -0.23657767 -0.02657195 197312 -0.13415272 -0.08256938 -0.01698868 197401 -0.16220764 -0.06495474 0.10075292 197402 -0.12004188 -0.05310339 0.03963822 197403 -0.00128681 0.11619652 0.04361550 197404 -0.04192560 0.00470274 0.02164613 197405 -0.10176543 -0.08366128 0.06053269 197406 -0.06937103 -0.06440986 -0.00694888 197407 -0.23114818 -0.13523869 -0.00457639 197408 -0.10185366 -0.06193158 -0.03129645 197409 -0.11031084 -0.06423041 0.02280320 197410 -0.08565655 0.00743876 -0.07279490 197411 -0.08357406 0.03609873 -0.02532073 197412 -0.10467795 -0.04006921 0.01928950 197501 -0.11363574 -0.07533755 0.10827995 197502 -0.07571976 0.01914762 0.03705374 197503 -0.13072553 0.00800752 0.06009436 197504 0.00011554 0.03695737 0.00132409 197505 -0.06664547 -0.01012870 -0.02867422 197506 0.02342966 0.02481213 -0.01416778 197507 -0.05962870 -0.02639790 -0.00741521 197508 -0.12755883 -0.12120801 -0.01068739 197509 -0.08968142 -0.05263823 -0.01531991 197510 -0.06497197 0.02680982 0.08932931 197511 0.00741821 0.02970697 0.03543367 197512 -0.02442598 -0.01977215 -0.00058379 197601 -0.06028533 -0.03436842 0.01834159 197602 -0.01851577 0.05178067 -0.04116757 197603 -0.01856708 0.01038896 -0.01499048 197604 -0.03032466 -0.04947929 -0.02068506 197605 -0.09013826 -0.08827477 -0.03971411 197606 -0.06495332 -0.02318311 -0.00685273 197607 -0.09141386 -0.05246784 -0.02795871 197608 -0.01521122 0.03237725 0.01688391 197609 -0.03776127 0.01928571 -0.01578918 197610 -0.08525126 -0.04340940 0.00586833 197611 -0.08195464 -0.02069573 -0.02509994 197612 -0.02604091 0.05677272 -0.01131219 197701 -0.06248688 -0.04321033 -0.03156393 197702 -0.00043525 0.03628688 -0.01183231 197703 -0.05629876 0.03346655 0.01541530 197704 -0.01072546 -0.00855032 -0.03234673 197705 -0.03333186 -0.01344916 0.01156175 197706 -0.00864647 0.01731067 0.02035381 197707 -0.04816349 -0.01275481 0.00650285 197708 -0.04412567 0.00580295 0.02946679 197709 -0.04748638 -0.02055504 0.01364738 197710 -0.03263484 -0.00113427 -0.00693940 197711 -0.01279082 0.02940114 -0.00009115 197712 0.02084558 0.03640155 -0.00085657 197801 -0.04222358 -0.00547910 0.00500556 197802 -0.01929945 0.01354478 -0.00207522 197803 -0.01049260 0.00433357 0.01585214 197804 -0.00780379 0.01962223 0.03456712 197805 0.01801557 0.02265128 0.01202683 197806 0.01074912 0.01410252 0.00895461 197807 -0.04348651 -0.03546189 0.02796665 197808 0.02096538 0.03713972 -0.00090836 197809 -0.00569622 -0.01048839 -0.02658020 197810 -0.10825953 -0.10184158 0.04416663 197811 -0.07492896 -0.03111949 -0.03554527 197812 -0.03425399 0.03817555 0.00195119 197901 -0.01440862 0.02648788 -0.00880834 197902 -0.03296662 0.00847092 -0.02868451 197903 -0.04378820 0.02256202 -0.00607737 197904 0.00478267 0.05665015 0.01673039 197905 -0.08100423 -0.04498570 -0.02229514 197906 -0.01187617 0.02387658 -0.01658945 197907 0.02265039 0.06286071 -0.01630870 197908 0.01303613 0.03733737 0.01495381 197909 -0.07425408 -0.06282964 -0.01313397 197910 -0.15445873 -0.10346798 0.00105207 197911 -0.03883130 0.00920515 -0.06813184 197912 -0.00917878 0.02748257 -0.01594490 198001 -0.05958518 -0.01840314 -0.00034753 198002 -0.09783961 -0.04167153 0.01809852 198003 -0.14193864 -0.08509822 0.03126481 198004 -0.05117423 -0.02833813 -0.01027524 198005 0.03284468 0.08067061 -0.00828890 198006 -0.01566756 0.00409935 0.01154684 198007 -0.03519590 -0.01652692 -0.00882604 198008 0.00723515 0.05365693 0.01145475 198009 -0.04758851 -0.01575149 0.01129889 198010 -0.01238983 0.03580435 0.02496052 198011 -0.02423355 0.00478231 0.02833696 198012 -0.05640096 -0.01253385 0.02862722 198101 -0.02295704 0.00510194 0.03963336 198102 -0.00759491 0.00205818 0.00082738 198103 -0.02136812 0.01426763 0.01776403 198104 -0.02811122 0.01128771 -0.01422677 198105 0.00737385 0.02995095 -0.02228796 198106 0.00168551 0.03177584 0.05857818 198107 -0.01763558 0.01181274 -0.01453893 198108 -0.07656512 -0.04265611 -0.00248446 198109 -0.15284117 -0.11942570 0.09311662 198110 -0.04560690 -0.00072965 -0.02061074 198111 -0.03155473 -0.01057928 0.06213176 198112 -0.02361160 0.02752066 0.00255839 198201 -0.06997543 -0.05700431 -0.02042678 198202 -0.12230408 -0.08105133 -0.01339365 198203 -0.03095186 0.01089197 0.04206502 198204 0.00482058 0.04607076 -0.02348630 198205 -0.00251925 -0.00676025 0.02926282 198206 -0.01228039 0.02057982 0.04983788 198207 0.01259251 0.01863831 -0.01532320 198208 -0.05756437 -0.03594053 -0.00519702 198209 -0.02624405 0.02506588 0.04361457 198210 -0.04193569 -0.00438755 -0.04013251 198211 -0.00450718 0.02907277 0.00864667 198212 0.00074071 0.03086540 -0.03062639 198301 -0.02970069 0.00266005 -0.05259091 198302 0.00846175 0.04015947 -0.03071703 198303 -0.04779845 -0.02535935 0.04233095 198304 -0.00442833 0.02601709 0.03793692 198305 -0.07841554 -0.04483533 0.01936183 198306 -0.00060284 0.05147138 -0.00150119 198307 -0.04744808 -0.02324419 0.04688488 198308 -0.04144467 -0.00947656 0.04403138 198309 -0.02299806 0.02770673 0.00937462 198310 0.03344276 0.06096839 0.05666364 198311 0.01417651 0.05209291 -0.07142022 198312 -0.03348628 0.01581758 0.04858160 198401 -0.02523864 -0.00443914 0.06923081 198402 -0.04212508 -0.02639297 0.00894583 198403 -0.00982180 0.03121008 0.00477158 198404 -0.08442124 -0.04596099 0.00467063 198405 0.00696845 0.04672776 0.02498221 198406 -0.01612776 0.02658516 -0.00396384 198407 -0.02666257 0.01245429 0.01592738 198408 0.00195559 0.03418248 -0.03180290 198409 -0.01877108 0.01237651 0.03033879 198410 -0.02984971 -0.01026858 -0.00578402 198411 -0.00247202 0.00705218 0.01855375 198412 -0.03583779 -0.00195480 -0.00629567 198501 -0.00842383 0.01775235 -0.01597463 198502 -0.01416490 0.00725831 0.02508403 198503 0.00721115 0.00813538 0.04027487 198504 0.00918655 0.03023463 0.03816972 198505 -0.00012362 0.02377785 -0.00763116 198506 -0.00496763 -0.00122534 0.00706041 198507 -0.01858933 0.02412818 -0.01783614 198508 0.02646643 0.03567619 0.02687113 198509 -0.02147548 -0.00766224 0.01078852 198510 -0.01794789 -0.01194877 0.05161399 198511 -0.00215273 0.02787350 0.00704594 198512 -0.01521398 0.02567844 -0.01989054 198601 -0.06552925 -0.03436852 0.01724950 198602 -0.00921234 0.02096819 0.00348415 198603 0.00795219 0.04583053 0.04065464 198604 0.02940447 0.02524351 -0.00262406 198605 0.00523409 0.02042191 0.02585506 198606 -0.07055883 -0.06457726 0.05734932 198607 -0.00224316 0.01899330 -0.01194971 198608 -0.02727706 0.01420437 -0.02777989 198609 -0.00465437 -0.02333447 0.04580921 198610 0.03935061 0.06331947 0.01478675 198611 0.01649946 0.02349379 -0.03040460 198612 0.01102618 0.03319062 -0.01037894 198701 -0.02906564 -0.00828010 -0.07138244 198702 0.00544025 0.02625616 -0.04049760 198703 -0.02364455 0.01814947 -0.01235452 198704 -0.12649836 -0.10815275 -0.03660865 198705 0.00526550 0.03128962 0.00656923 198706 0.00747036 0.05913122 0.02313501 198707 0.01872214 -0.02419809 0.00849825 198708 -0.00015518 0.01261223 -0.04501333 198709 -0.04195289 -0.05415216 0.00653400 198710 -0.46143022 -0.39188248 0.03534059 198711 -0.02511653 -0.07274525 -0.00956594 198712 -0.10545586 -0.02408322 0.00165529 198801 -0.11095032 -0.07518201 0.04245245 198802 -0.03342877 0.06358247 0.00350789 198803 -0.03042057 0.02908120 -0.02018728 198804 0.00875387 0.03025936 -0.02515701 198805 -0.06857078 -0.00011001 -0.00511427 198806 0.00674872 0.02042567 -0.00897232 198807 0.01685931 0.03389453 -0.00871657 198808 -0.02477803 0.02797291 0.03541921 198809 -0.02332725 0.00240819 0.01508065 198810 -0.04266262 0.00435538 0.02459149 198811 -0.06690996 -0.00796190 -0.00198770 198812 -0.02435421 0.00362455 -0.04405040 198901 0.01821545 0.07583644 -0.00422115 198902 -0.00257917 0.01454656 -0.00336555 198903 0.00023630 0.00756776 -0.00844045 198904 -0.02155465 -0.00233669 -0.01632057 198905 0.04316963 0.04903162 -0.04010600 198906 -0.00159906 0.00224094 0.07571418 198907 0.01780266 0.02550676 0.03427990 198908 -0.08469954 -0.05235543 0.00447218 198909 0.02803304 0.01643863 -0.04658994 198910 -0.15740087 -0.11148604 0.02783851 198911 -0.00958120 0.01638797 -0.02561802 198912 -0.02159079 0.01066612 0.02289639 199001 -0.02319098 -0.00432547 -0.03601051 199002 -0.00455879 0.02696275 -0.03143693 199003 -0.02216372 0.03642354 -0.02480294 199004 0.01049139 0.01114157 0.06015919 199005 0.01134870 0.01083372 -0.00921118 199006 0.00240171 -0.00212149 0.02550667 199007 -0.02548410 -0.01446113 0.05165237 199008 0.02497992 0.00400155 0.04537959 199009 -0.01568347 0.05842809 0.02257502 199010 0.05201193 0.05049342 -0.01540078 199011 0.02180158 0.00876404 -0.01503670 199012 -0.05574343 -0.02937489 -0.03528369 199101 0.03896199 0.02333317 -0.10041006 199102 -0.02117577 -0.03661532 -0.01969445 199103 -0.02611880 -0.02508675 -0.00818608 199104 0.00646514 0.04492661 0.01909559 199105 -0.00605746 0.00176893 -0.00851303 199106 0.04264926 0.05123749 0.02564572 199107 -0.00134881 0.00424788 0.01588949 199108 -0.01697014 -0.02056578 -0.01715215 199109 -0.01443778 0.01713191 0.01494653 199110 -0.02167411 0.02149908 0.02069723 199111 0.02613736 -0.00149857 0.04440820 199112 -0.05323512 -0.07254526 -0.05450655 199201 -0.06143215 -0.03774461 -0.06978265 199202 -0.03925570 0.01133368 -0.05095162 199203 -0.03850107 0.01880001 -0.00379815 199204 0.03362592 0.04709243 -0.00438693 199205 0.00129319 0.05198900 0.00245025 199206 0.06758996 0.00950476 0.02314905 199207 -0.03713605 -0.05102628 0.02354029 199208 -0.00577717 0.00420263 0.04991417 199209 0.01257838 0.03417632 -0.02307267 199210 -0.05945285 -0.05373631 -0.02152169 199211 0.00066856 0.03232181 -0.05873671 199212 0.00965986 0.02543457 -0.02846412 199301 0.00479430 0.03585336 -0.00238970 199302 -0.02515221 -0.00099108 0.06814177 199303 -0.03735582 -0.00910222 -0.04078293 199304 0.00301368 0.03264641 -0.01756510 199305 -0.01452714 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