% LIQUIDITY FACTORS OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2020 % 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 2020 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2020, consistent with liquidity risk being priced. % % Month Agg Liq. Innov Liq (eq8) Traded Liq (LIQ_V) 196208 -0.01753665 0.00426023 -99 196209 -0.00407476 0.01172080 -99 196210 -0.10421182 -0.07442466 -99 196211 -0.01974170 0.02854555 -99 196212 -0.00508932 0.01435009 -99 196301 -0.05579688 0.00947839 -99 196302 0.01440415 0.02613564 -99 196303 -0.02345353 -0.02024345 -99 196304 0.05413256 0.07758846 -99 196305 0.00354149 -0.01296815 -99 196306 0.00959259 -0.00137718 -99 196307 0.01432622 0.02000063 -99 196308 0.03377117 0.03825456 -99 196309 -0.00754051 0.01954142 -99 196310 0.02680674 0.03214848 -99 196311 -0.05313628 -0.06037189 -99 196312 -0.02057456 0.01277370 -99 196401 -0.07136865 -0.05458403 -99 196402 -0.02474947 0.01282732 -99 196403 0.03138953 0.04248070 -99 196404 -0.04066632 -0.02792935 -99 196405 -0.02572531 -0.00683828 -99 196406 -0.05656731 -0.01039348 -99 196407 0.05819052 0.05649022 -99 196408 -0.04851473 -0.04454675 -99 196409 -0.00816173 0.01192994 -99 196410 0.01293438 0.03857113 -99 196411 0.01488576 -0.00442306 -99 196412 -0.02673007 -0.01436105 -99 196501 0.03792484 0.06992247 -99 196502 -0.01642848 0.02190107 -99 196503 0.03397015 0.01695863 -99 196504 0.02236123 0.04021062 -99 196505 -0.01294328 0.03342692 -99 196506 -0.16340986 -0.11292735 -99 196507 -0.08097770 -0.04921501 -99 196508 -0.03474854 0.07316271 -99 196509 0.02700284 0.06296259 -99 196510 0.00619570 -0.02537194 -99 196511 0.04447103 0.06551422 -99 196512 0.04087982 0.02379832 -99 196601 0.03997342 0.02102552 -99 196602 0.03502076 0.04469427 -99 196603 -0.06624631 -0.06591837 -99 196604 0.02544957 0.05407337 -99 196605 -0.12120717 -0.07809699 -99 196606 -0.05336572 -0.01286012 -99 196607 -0.03300131 0.00835789 -99 196608 -0.10666850 -0.08614653 -99 196609 -0.08782498 -0.04525136 -99 196610 -0.20654128 -0.08383247 -99 196611 -0.05410496 0.04992297 -99 196612 -0.02167905 0.04663837 -99 196701 -0.02740850 0.01260712 -99 196702 -0.07258040 0.01452192 -99 196703 -0.00863176 0.03556079 -99 196704 -0.00152597 0.01949845 -99 196705 0.01392227 0.02380060 -99 196706 -0.06198466 -0.04897196 -99 196707 -0.02837509 0.01356010 -99 196708 0.02907304 0.07009106 -99 196709 0.02354394 0.03017888 -99 196710 -0.03053991 -0.04245539 -99 196711 -0.03066846 -0.01226540 -99 196712 0.00159134 0.03378711 -99 196801 -0.02152331 0.00230428 -0.02069996 196802 -0.03459893 -0.01935944 0.02179668 196803 -0.11694312 -0.08240106 0.01027722 196804 0.02245332 0.08781647 0.00947468 196805 -0.02061391 0.01079679 -0.01696361 196806 0.00822169 0.03216929 -0.00027125 196807 -0.01049623 0.00812814 -0.03617403 196808 -0.02019994 -0.00889438 0.00570690 196809 -0.00870728 0.01414901 0.00944864 196810 0.00660634 0.02628280 -0.00116169 196811 -0.00022576 0.01543950 -0.00871002 196812 -0.02857454 -0.01101875 0.01211096 196901 -0.03378834 -0.00780680 0.02475826 196902 -0.02503033 0.01111501 0.05795202 196903 -0.02256855 0.00674959 -0.01643798 196904 -0.01274491 0.00902366 0.02314952 196905 0.01158629 0.04582582 0.01326759 196906 -0.04735751 -0.03900522 0.05771402 196907 -0.12262451 -0.09217088 0.03783449 196908 -0.08789095 -0.04569349 -0.00286815 196909 0.01326256 0.09047711 0.01483913 196910 -0.06038219 -0.02503304 -0.05842879 196911 0.01656733 0.03989606 0.02702882 196912 -0.01985261 -0.02511817 0.03707992 197001 -0.11018564 -0.06842261 0.02316757 197002 -0.08139629 -0.01006321 -0.06139299 197003 -0.13845301 -0.06349948 0.00352673 197004 -0.09427155 -0.02921045 0.04053929 197005 -0.24058807 -0.19615737 -0.07546185 197006 -0.18762334 -0.13796525 -0.03495781 197007 -0.01379573 0.06508448 0.00068655 197008 -0.06668893 0.00841637 0.00144807 197009 -0.06687556 -0.01426695 -0.01556441 197010 0.09627156 0.09677382 -0.01527409 197011 -0.05985976 -0.04641837 -0.00580052 197012 -0.07305842 -0.01646576 0.05103302 197101 0.01775836 0.04348799 -0.05202525 197102 -0.06448822 -0.03733646 -0.02022328 197103 0.03170128 0.06183266 0.01789328 197104 -0.00998386 0.00677996 0.02803229 197105 -0.01940864 -0.02709115 0.00630164 197106 -0.04414564 -0.01288418 -0.03891157 197107 -0.10142122 -0.03313727 -0.00182260 197108 -0.04506715 -0.00715856 0.02494777 197109 0.01980991 0.06093473 0.00606665 197110 -0.05637401 -0.01271491 0.03499148 197111 -0.09198767 -0.03789747 0.00736597 197112 0.00850009 0.04730724 0.00253523 197201 -0.09412266 -0.08149424 -0.03449117 197202 -0.03060037 0.01633097 0.01024115 197203 -0.01137246 0.02503037 0.03312923 197204 -0.00295654 0.01783145 0.01514382 197205 -0.06445359 -0.04346150 -0.00067656 197206 0.00610800 0.00290168 0.01315457 197207 -0.08959187 -0.06740521 0.01574420 197208 0.01435214 0.02160167 -0.03021830 197209 -0.01895737 0.02611764 -0.01442212 197210 -0.03986215 -0.02380156 -0.01615959 197211 -0.01686769 -0.03272151 -0.00776532 197212 -0.07355568 -0.03615419 0.00898538 197301 -0.05636507 -0.02766337 -0.01456082 197302 -0.04829335 0.02652417 -0.01090211 197303 -0.03071330 -0.01399190 -0.01296570 197304 -0.04066848 -0.01090190 0.02323191 197305 -0.11566822 -0.06503431 -0.00258940 197306 -0.19991972 -0.16466846 -0.03263042 197307 -0.09645305 -0.00975221 0.00246489 197308 -0.09587568 -0.02566477 0.01564823 197309 -0.12249973 -0.00315010 0.01702993 197310 -0.05342586 0.02395885 -0.04304415 197311 -0.30129144 -0.23885130 -0.02681412 197312 -0.13417994 -0.08317223 -0.01678427 197401 -0.16222705 -0.06829662 0.10418518 197402 -0.12003827 -0.05509123 0.03646193 197403 -0.00128850 0.11396088 0.04699442 197404 -0.04192028 0.00168516 0.02100897 197405 -0.10176336 -0.08449150 0.05574471 197406 -0.06936954 -0.06535839 -0.00622637 197407 -0.23115673 -0.13658921 -0.00344100 197408 -0.10185960 -0.06352137 -0.02381915 197409 -0.11031084 -0.06678886 0.02169861 197410 -0.08565812 0.00602153 -0.07344784 197411 -0.08357406 0.03366048 -0.01935048 197412 -0.10467737 -0.04248265 0.01903864 197501 -0.11363563 -0.07691370 0.10767499 197502 -0.07571968 0.01763462 0.03711914 197503 -0.13072540 0.00549785 0.05958711 197504 0.00011554 0.03456767 0.00093400 197505 -0.06664547 -0.01212433 -0.03162696 197506 0.02342901 0.02375796 -0.01776367 197507 -0.05962827 -0.02777379 -0.01027577 197508 -0.12755964 -0.12191722 -0.00831454 197509 -0.08967729 -0.05348094 -0.01888637 197510 -0.06496285 0.02490575 0.09092135 197511 0.00741821 0.02745436 0.03603464 197512 -0.02442816 -0.02112289 -0.00322575 197601 -0.06026916 -0.03494983 0.01751494 197602 -0.01850114 0.05065476 -0.04278389 197603 -0.01869402 0.00818033 -0.01660943 197604 -0.02836403 -0.04844308 -0.01956703 197605 -0.09013978 -0.08747788 -0.04190786 197606 -0.06495230 -0.02393127 -0.00610714 197607 -0.09137023 -0.05422615 -0.02750855 197608 -0.01515904 0.03115949 0.01800230 197609 -0.03775239 0.01728078 -0.01528527 197610 -0.08540734 -0.04487753 0.00399457 197611 -0.08199193 -0.02187906 -0.02344162 197612 -0.02603303 0.05494786 -0.01253071 197701 -0.06248706 -0.04543615 -0.03090381 197702 -0.00039705 0.03559155 -0.01027310 197703 -0.05633423 0.03164065 0.01122769 197704 -0.01072185 -0.01013343 -0.02971101 197705 -0.03332456 -0.01450389 0.01743986 197706 -0.00864341 0.01634995 0.02081410 197707 -0.04816932 -0.01410088 0.00111370 197708 -0.04412220 0.00476644 0.03117883 197709 -0.04748178 -0.02216850 0.01221344 197710 -0.03260695 -0.00225677 -0.01137042 197711 -0.01279571 0.02799858 0.00429908 197712 0.02084873 0.03495030 -0.00563987 197801 -0.04222258 -0.00654007 0.00650995 197802 -0.01929822 0.01263673 0.00136091 197803 -0.01049430 0.00286442 0.01633719 197804 -0.00780383 0.01865026 0.03212413 197805 0.01785201 0.02129872 0.01593199 197806 0.01073519 0.01323557 0.00834925 197807 -0.04349239 -0.03615490 0.03180526 197808 0.02096417 0.03648256 -0.00140559 197809 -0.00570674 -0.01196613 -0.02595187 197810 -0.10828928 -0.10228680 0.04393819 197811 -0.07491575 -0.03165507 -0.03453245 197812 -0.03422058 0.03624230 0.00320466 197901 -0.01441439 0.02450473 -0.00940122 197902 -0.03296427 0.00715553 -0.03257974 197903 -0.04381288 0.02131770 -0.01101773 197904 0.00478602 0.05498130 0.02047961 197905 -0.08102735 -0.04668348 -0.02378100 197906 -0.01188102 0.02313112 -0.01699896 197907 0.02263928 0.06098743 -0.01449611 197908 0.01305124 0.03604903 0.01599076 197909 -0.07426784 -0.06374764 -0.00999328 197910 -0.15447257 -0.10401759 -0.00045465 197911 -0.03883258 0.00773802 -0.06976762 197912 -0.00920058 0.02511370 -0.01799238 198001 -0.05958447 -0.01966652 0.00018610 198002 -0.09784091 -0.04276577 0.01719526 198003 -0.14193797 -0.08665947 0.02982032 198004 -0.05117316 -0.02993486 -0.01119830 198005 0.03284126 0.07882544 -0.00725668 198006 -0.01566887 0.00233351 0.01042402 198007 -0.03519602 -0.01708173 -0.00685490 198008 0.00723605 0.05258331 0.01144489 198009 -0.04758752 -0.01742071 0.01401007 198010 -0.01239088 0.03499615 0.02764647 198011 -0.02423485 0.00301848 0.02789981 198012 -0.05639616 -0.01352665 0.02750117 198101 -0.02295500 0.00379623 0.04003611 198102 -0.00758953 0.00064304 0.00207780 198103 -0.02136465 0.01331569 0.01531355 198104 -0.02810852 0.01006892 -0.01713319 198105 0.00737341 0.02865307 -0.02528308 198106 0.00168118 0.03051993 0.06080179 198107 -0.01763500 0.01075106 -0.01412726 198108 -0.07670137 -0.04385143 -0.00151730 198109 -0.15284444 -0.12041203 0.09463966 198110 -0.04551135 -0.00188537 -0.02337636 198111 -0.03161579 -0.01305321 0.06020799 198112 -0.02358720 0.02655495 0.00777277 198201 -0.06997584 -0.05856905 -0.02015572 198202 -0.12230555 -0.08176869 -0.01174033 198203 -0.03094867 0.00947871 0.04321288 198204 0.00482292 0.04401032 -0.02440709 198205 -0.00252187 -0.00812837 0.02937871 198206 -0.01252549 0.02007366 0.04982222 198207 0.01259311 0.01761372 -0.01620085 198208 -0.05756179 -0.03681541 -0.00479533 198209 -0.02623568 0.02434378 0.04229533 198210 -0.04193409 -0.00623142 -0.03734213 198211 -0.00449950 0.02794611 0.01039021 198212 0.00074378 0.02937481 -0.03160980 198301 -0.02967754 0.00157440 -0.05260168 198302 0.00850061 0.03914698 -0.02930760 198303 -0.04780468 -0.02682476 0.04336446 198304 -0.00443029 0.02529532 0.03779305 198305 -0.07841400 -0.04640766 0.01919054 198306 -0.00060618 0.05065354 -0.00040756 198307 -0.04744859 -0.02534397 0.04569342 198308 -0.04144412 -0.01015657 0.04335315 198309 -0.02298371 0.02627969 0.01099896 198310 0.03345522 0.05939665 0.05662081 198311 0.01423580 0.05082330 -0.06996360 198312 -0.03348880 0.01485092 0.05017865 198401 -0.02523976 -0.00561742 0.06659971 198402 -0.04212642 -0.02755454 0.00850094 198403 -0.00978825 0.03028193 0.00530732 198404 -0.08441773 -0.04757494 0.00830868 198405 0.00697020 0.04583000 0.02400766 198406 -0.01612901 0.02458731 -0.00547198 198407 -0.02665909 0.01143891 0.01549686 198408 0.00195600 0.03288474 -0.02667349 198409 -0.01877065 0.01102877 0.02622654 198410 -0.02985111 -0.01128748 -0.00762248 198411 -0.00247417 0.00600792 0.01602190 198412 -0.03583777 -0.00305224 -0.00493264 198501 -0.00842203 0.01668562 -0.01578563 198502 -0.01047746 0.00591910 0.02476970 198503 0.00590626 0.00365378 0.04016570 198504 0.00999584 0.02995855 0.03773248 198505 0.00001819 0.02280348 -0.00795588 198506 -0.00496769 -0.00228380 0.00735248 198507 -0.02195016 0.02334148 -0.01765668 198508 0.02646338 0.03282890 0.02672546 198509 -0.01922887 -0.00872963 0.01093591 198510 -0.01873793 -0.01460016 0.05150047 198511 -0.00198861 0.02697470 0.00672971 198512 -0.01582619 0.02382048 -0.02013096 198601 -0.06553081 -0.03600005 0.01597593 198602 -0.00921187 0.01997954 0.00281563 198603 0.00795009 0.04419243 0.03818390 198604 0.02940505 0.02399864 -0.00300567 198605 0.00523641 0.01971416 0.02628063 198606 -0.07055618 -0.06538778 0.05867345 198607 -0.00224490 0.01844137 -0.01380785 198608 -0.02727792 0.01253462 -0.02668404 198609 -0.00465085 -0.02442319 0.04453353 198610 0.03934875 0.06263710 0.01576519 198611 0.01649715 0.02215459 -0.02940300 198612 0.01102450 0.03264338 -0.01277188 198701 -0.02906565 -0.00933986 -0.07152219 198702 0.00543703 0.02543056 -0.04061123 198703 -0.02364483 0.01683094 -0.01097802 198704 -0.12650465 -0.10927781 -0.03756075 198705 0.00526455 0.03063618 0.00815739 198706 0.00747138 0.05695636 0.02275992 198707 0.01875058 -0.02538119 0.00987008 198708 -0.00015615 0.01244316 -0.04520908 198709 -0.04195455 -0.05510694 0.00486162 198710 -0.46139309 -0.39227975 0.03480785 198711 -0.02511267 -0.07301420 -0.00927515 198712 -0.10545333 -0.02782210 0.00274312 198801 -0.11094840 -0.07626953 0.04408850 198802 -0.03343106 0.06198888 0.00385365 198803 -0.03042102 0.02640838 -0.02056734 198804 0.00875156 0.02888971 -0.02535004 198805 -0.06857307 -0.00135786 -0.00543695 198806 0.00674897 0.01914042 -0.00953852 198807 0.01685973 0.03245114 -0.00947366 198808 -0.02477769 0.02705728 0.03589580 198809 -0.02332408 0.00115736 0.01492470 198810 -0.04266479 0.00320106 0.02369342 198811 -0.06690988 -0.00933128 -0.00057618 198812 -0.02435042 0.00208937 -0.04471436 198901 0.01821528 0.07438606 -0.00220187 198902 -0.00258083 0.01283716 -0.00427192 198903 0.00023623 0.00687019 -0.00970341 198904 -0.02155447 -0.00327259 -0.02000575 198905 0.04318282 0.04809879 -0.03828178 198906 -0.00151688 0.00113782 0.07366713 198907 0.01780383 0.02504144 0.03081888 198908 -0.08469806 -0.05342750 0.00652344 198909 0.02803142 0.01573496 -0.04880614 198910 -0.15739923 -0.11291390 0.02662517 198911 -0.00958282 0.01594829 -0.02547946 198912 -0.02158866 0.00827035 0.02029981 199001 -0.02318927 -0.00523063 -0.03364272 199002 -0.00455940 0.02585831 -0.02990935 199003 -0.02215937 0.03510201 -0.02689389 199004 0.01049288 0.00971306 0.05850528 199005 0.01135475 0.00994237 -0.00628601 199006 0.00240538 -0.00285609 0.02616832 199007 -0.02548009 -0.01512908 0.05014475 199008 0.02499549 0.00316449 0.04515800 199009 -0.01568082 0.05762838 0.01964647 199010 0.05201194 0.04895393 -0.01223098 199011 0.02180098 0.00780004 -0.01153405 199012 -0.05574597 -0.02964862 -0.03337994 199101 0.03895971 0.02247130 -0.09360752 199102 -0.02117548 -0.03777752 -0.02090430 199103 -0.02611774 -0.02521540 -0.00623482 199104 0.00646525 0.04392608 0.01702663 199105 -0.00602298 0.00029327 -0.00890575 199106 0.04170756 0.04958247 0.02953914 199107 -0.00134718 0.00342438 0.01763190 199108 -0.01694843 -0.02084591 -0.01811231 199109 -0.01442521 0.01638228 0.01055563 199110 -0.02169450 0.02017948 0.02144749 199111 0.02615505 -0.00278072 0.04347328 199112 -0.05322495 -0.07313849 -0.05098599 199201 -0.06143841 -0.03791680 -0.07806138 199202 -0.03924378 0.00993810 -0.04595154 199203 -0.03850871 0.01711933 -0.00100618 199204 0.03361364 0.04553545 -0.00616180 199205 0.00132677 0.05074835 -0.00189318 199206 0.06758739 0.00836313 0.01980320 199207 -0.03719223 -0.05129192 0.02433435 199208 -0.00579089 0.00415754 0.04984212 199209 0.01255941 0.03282703 -0.02150347 199210 -0.05938488 -0.05474412 -0.01935261 199211 0.00064743 0.03181471 -0.05248292 199212 0.00963242 0.02366483 -0.02750549 199301 0.00477461 0.03499458 -0.00307993 199302 -0.02509457 -0.00207518 0.06761220 199303 -0.03729353 -0.00997588 -0.04119357 199304 0.00301429 0.03142053 -0.01662867 199305 -0.01490565 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