% LIQUIDITY FACTORS OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2017 % 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 2017 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2017, consistent with liquidity risk being priced. % % Month Agg Liq. Innov Liq (eq8) Traded Liq (LIQ_V) 196208 -0.01753665 0.00437073 -99 196209 -0.00407476 0.01230259 -99 196210 -0.10420795 -0.07407571 -99 196211 -0.01974170 0.02923186 -99 196212 -0.00508915 0.01592809 -99 196301 -0.05579702 0.01013548 -99 196302 0.01440418 0.02730486 -99 196303 -0.02337483 -0.01976108 -99 196304 0.05413276 0.07753007 -99 196305 0.00354149 -0.01249653 -99 196306 0.00959261 -0.00211685 -99 196307 0.01432661 0.01999850 -99 196308 0.03377124 0.03827846 -99 196309 -0.00753905 0.01945764 -99 196310 0.02680866 0.03231324 -99 196311 -0.05313639 -0.06025887 -99 196312 -0.02057325 0.01260508 -99 196401 -0.07136749 -0.05350868 -99 196402 -0.02474942 0.01327683 -99 196403 0.03138957 0.04367344 -99 196404 -0.04066846 -0.02778300 -99 196405 -0.02572535 -0.00681325 -99 196406 -0.05656623 -0.00964912 -99 196407 0.05818911 0.05740937 -99 196408 -0.04851480 -0.04429911 -99 196409 -0.00816254 0.01159536 -99 196410 0.01293442 0.03942566 -99 196411 0.01488670 -0.00412040 -99 196412 -0.02673177 -0.01476495 -99 196501 0.03792482 0.07015886 -99 196502 -0.01642748 0.02251121 -99 196503 0.03396719 0.01712954 -99 196504 0.02236126 0.04008290 -99 196505 -0.01294330 0.03340181 -99 196506 -0.16341145 -0.11239919 -99 196507 -0.08097770 -0.04806197 -99 196508 -0.03474858 0.07510714 -99 196509 0.02700287 0.06494850 -99 196510 0.00619804 -0.02492810 -99 196511 0.04447103 0.06481355 -99 196512 0.04088096 0.02411816 -99 196601 0.03997340 0.02030621 -99 196602 0.03502075 0.04417305 -99 196603 -0.06624636 -0.06606716 -99 196604 0.02544977 0.05401130 -99 196605 -0.12120820 -0.07709662 -99 196606 -0.05336691 -0.01233751 -99 196607 -0.03300129 0.01009222 -99 196608 -0.10666605 -0.08527578 -99 196609 -0.08782642 -0.04452050 -99 196610 -0.20654296 -0.08215993 -99 196611 -0.05410494 0.05262228 -99 196612 -0.02167904 0.04960729 -99 196701 -0.02740856 0.01359720 -99 196702 -0.07258088 0.01520942 -99 196703 -0.00862977 0.03710241 -99 196704 -0.00152694 0.02055490 -99 196705 0.01392230 0.02404068 -99 196706 -0.06198561 -0.04883502 -99 196707 -0.02837613 0.01379687 -99 196708 0.02907310 0.07130688 -99 196709 0.02354391 0.03076784 -99 196710 -0.03054070 -0.04272327 -99 196711 -0.03066729 -0.01245144 -99 196712 0.00159135 0.03448269 -99 196801 -0.02152297 0.00295260 -0.02089275 196802 -0.03459975 -0.01905271 0.02207353 196803 -0.11694515 -0.08191171 0.01056183 196804 0.02245346 0.08884701 0.00874229 196805 -0.02061359 0.01256110 -0.01781111 196806 0.00822582 0.03219154 0.00036103 196807 -0.01049674 0.00867970 -0.03605746 196808 -0.02020095 -0.00872741 0.00596828 196809 -0.00870761 0.01447925 0.00986642 196810 0.00660594 0.02680072 -0.00108332 196811 -0.00022599 0.01574118 -0.00914203 196812 -0.02857531 -0.01085422 0.01202274 196901 -0.03378860 -0.00746353 0.02236225 196902 -0.02503088 0.01180665 0.05887935 196903 -0.02256787 0.00754322 -0.01746031 196904 -0.01274432 0.00962148 0.01305711 196905 0.01158513 0.04630962 0.01287557 196906 -0.04735727 -0.03847475 0.05862827 196907 -0.12262313 -0.09207978 0.03285083 196908 -0.08789173 -0.04451982 -0.01039236 196909 0.01326168 0.09220799 0.01583146 196910 -0.06038184 -0.02347459 -0.06111486 196911 0.01656803 0.04018113 0.02961128 196912 -0.01985159 -0.02428353 0.02752635 197001 -0.11018592 -0.06868295 0.02252798 197002 -0.08139735 -0.00894837 -0.05760280 197003 -0.13845329 -0.06148803 0.00219594 197004 -0.09427202 -0.02743798 0.03992687 197005 -0.24058595 -0.19406505 -0.07806459 197006 -0.18763369 -0.13638563 -0.03529677 197007 -0.01378420 0.06811821 -0.00309018 197008 -0.06661208 0.01078497 0.00134102 197009 -0.06683050 -0.01330885 -0.01776447 197010 0.09625087 0.09810137 -0.01608185 197011 -0.05983188 -0.04619745 -0.00541285 197012 -0.07301711 -0.01695415 0.04968882 197101 0.01775796 0.04514235 -0.04660219 197102 -0.06448800 -0.03660392 -0.01219320 197103 0.03170210 0.06212591 0.01507058 197104 -0.00998388 0.00770666 0.02670078 197105 -0.01940867 -0.02722769 0.01189561 197106 -0.04414571 -0.01276272 -0.02922867 197107 -0.10142136 -0.03239156 0.00133851 197108 -0.04506878 -0.00566908 0.02658130 197109 0.01981000 0.06226107 0.00441041 197110 -0.05637408 -0.01197295 0.03944508 197111 -0.09198778 -0.03741986 0.00758243 197112 0.00850079 0.04874227 -0.00257708 197201 -0.09412363 -0.08035739 -0.03374327 197202 -0.03059879 0.01650680 0.00993984 197203 -0.01137304 0.02661770 0.03309115 197204 -0.00295654 0.01840400 0.01508518 197205 -0.06445365 -0.04310836 -0.00148126 197206 0.00610801 0.00336559 0.01372639 197207 -0.08959345 -0.06690412 0.01622972 197208 0.01435214 0.02203235 -0.03104982 197209 -0.01895372 0.02697866 -0.01488973 197210 -0.03986232 -0.02336517 -0.01545361 197211 -0.01686769 -0.03225438 -0.00776205 197212 -0.07354875 -0.03598547 0.00882111 197301 -0.05636016 -0.02679339 -0.01481098 197302 -0.04831857 0.02758724 -0.01086541 197303 -0.03072104 -0.01248871 -0.01271889 197304 -0.04066723 -0.01036976 0.02308621 197305 -0.11566841 -0.06428793 -0.00263267 197306 -0.19991624 -0.16341187 -0.03231649 197307 -0.09645608 -0.00793291 0.00245030 197308 -0.09587619 -0.02273373 0.01594605 197309 -0.12252505 -0.00159801 0.01702629 197310 -0.05342640 0.02651743 -0.04308556 197311 -0.30129471 -0.23697030 -0.02650170 197312 -0.13417844 -0.08141436 -0.01684214 197401 -0.16222605 -0.06483696 0.10501732 197402 -0.12002965 -0.05278647 0.03898203 197403 -0.00128674 0.11622695 0.04593273 197404 -0.04192205 0.00398070 0.02365498 197405 -0.10176169 -0.08414107 0.06008724 197406 -0.06937052 -0.06450758 -0.01077655 197407 -0.23115520 -0.13554620 -0.00473158 197408 -0.10185960 -0.06119805 -0.02869620 197409 -0.11031084 -0.06431142 0.02436165 197410 -0.08565812 0.00740020 -0.07885913 197411 -0.08357406 0.03591119 -0.01939789 197412 -0.10467737 -0.04026986 0.02044962 197501 -0.11363574 -0.07541073 0.10931904 197502 -0.07571976 0.01913135 0.03681417 197503 -0.13072553 0.00775645 0.06133465 197504 0.00011554 0.03705778 0.00304909 197505 -0.06664547 -0.01086984 -0.03352390 197506 0.02342978 0.02449123 -0.01712027 197507 -0.05962827 -0.02729299 -0.01003340 197508 -0.12755813 -0.12157617 -0.00935562 197509 -0.08967738 -0.05256650 -0.01912464 197510 -0.06497047 0.02664365 0.09141450 197511 0.00741821 0.02938360 0.03657854 197512 -0.02442703 -0.02056652 -0.00278971 197601 -0.06028539 -0.03496320 0.01755052 197602 -0.01851747 0.05141846 -0.04261414 197603 -0.01856841 0.00976739 -0.01655556 197604 -0.03032626 -0.05010934 -0.01947486 197605 -0.09013826 -0.08883218 -0.04169475 197606 -0.06495678 -0.02335863 -0.00622104 197607 -0.09141464 -0.05279316 -0.02753544 197608 -0.01521286 0.03221601 0.01783943 197609 -0.03775866 0.01864557 -0.01533322 197610 -0.08525116 -0.04391357 0.00439052 197611 -0.08195338 -0.02089528 -0.02341377 197612 -0.02604134 0.05655522 -0.01257718 197701 -0.06248959 -0.04378443 -0.03166971 197702 -0.00043282 0.03593835 -0.01070304 197703 -0.05630659 0.03272064 0.01101828 197704 -0.01072317 -0.00892983 -0.02974709 197705 -0.03333326 -0.01412855 0.01779268 197706 -0.00864762 0.01677368 0.02016478 197707 -0.04816555 -0.01344706 0.00128995 197708 -0.04412126 0.00536833 0.03100207 197709 -0.04748593 -0.02101677 0.01193968 197710 -0.03260370 -0.00154600 -0.01119019 197711 -0.01279556 0.02884947 0.00399474 197712 0.02084733 0.03573574 -0.00545090 197801 -0.04221977 -0.00635585 0.00508788 197802 -0.01929822 0.01306556 -0.00163238 197803 -0.01049430 0.00370974 0.01606017 197804 -0.00780400 0.01894151 0.03510105 197805 0.01785113 0.02178268 0.01199666 197806 0.01073454 0.01328841 0.00832972 197807 -0.04349239 -0.03624969 0.02702278 197808 0.02096537 0.03667227 -0.00125175 197809 -0.00570324 -0.01137272 -0.02623282 197810 -0.10826536 -0.10256108 0.04366079 197811 -0.07491862 -0.03116592 -0.03527567 197812 -0.03424374 0.03792161 0.00444546 197901 -0.01440923 0.02596159 -0.00844953 197902 -0.03296828 0.00781397 -0.02939003 197903 -0.04378829 0.02202710 -0.00595439 197904 0.00479740 0.05620286 0.01636578 197905 -0.08100678 -0.04576691 -0.02231998 197906 -0.01188146 0.02363790 -0.01714101 197907 0.02264722 0.06219424 -0.01656231 197908 0.01303750 0.03645029 0.01428603 197909 -0.07425767 -0.06366482 -0.01366480 197910 -0.15445929 -0.10374397 0.00036923 197911 -0.03882917 0.00945318 -0.06913824 197912 -0.00918056 0.02699220 -0.01489211 198001 -0.05958447 -0.01908929 0.00037706 198002 -0.09784091 -0.04203830 0.01884286 198003 -0.14193797 -0.08521432 0.03095903 198004 -0.05117316 -0.02817094 -0.01062641 198005 0.03284126 0.08025314 -0.00865562 198006 -0.01566887 0.00314694 0.00990093 198007 -0.03519602 -0.01717759 -0.00932557 198008 0.00723605 0.05313563 0.01100259 198009 -0.04758864 -0.01654131 0.01349643 198010 -0.01238945 0.03535957 0.02686571 198011 -0.02423516 0.00411772 0.02640280 198012 -0.05639978 -0.01312544 0.02837046 198101 -0.02295704 0.00471735 0.03945397 198102 -0.00759491 0.00146002 0.00023300 198103 -0.02136722 0.01356804 0.01688705 198104 -0.02811204 0.01067712 -0.01462031 198105 0.00737643 0.02938781 -0.02394087 198106 0.00168512 0.03098125 0.05817124 198107 -0.01763558 0.01105357 -0.01421857 198108 -0.07656454 -0.04329035 -0.00228753 198109 -0.15284117 -0.11968354 0.09215227 198110 -0.04560690 -0.00049745 -0.02104390 198111 -0.03155473 -0.01102477 0.06184863 198112 -0.02361160 0.02697445 0.00213751 198201 -0.06997491 -0.05759624 -0.02072365 198202 -0.12230408 -0.08135388 -0.01333119 198203 -0.03095186 0.01093046 0.04197886 198204 0.00482058 0.04552922 -0.02321061 198205 -0.00251925 -0.00753664 0.02917381 198206 -0.01228039 0.01984413 0.04984903 198207 0.01259251 0.01797059 -0.01502625 198208 -0.05756437 -0.03677018 -0.00536773 198209 -0.02624405 0.02468410 0.04370580 198210 -0.04193569 -0.00496104 -0.03929616 198211 -0.00449682 0.02860498 0.00879567 198212 0.00074366 0.03014783 -0.03053992 198301 -0.02970777 0.00189640 -0.05248151 198302 0.00850392 0.03964984 -0.03142298 198303 -0.04780671 -0.02618218 0.04232334 198304 -0.00442566 0.02556918 0.03817353 198305 -0.07841554 -0.04555005 0.01981152 198306 -0.00060702 0.05121966 -0.00126194 198307 -0.04744861 -0.02397930 0.04732128 198308 -0.04144340 -0.00992154 0.04410627 198309 -0.02299806 0.02722747 0.00961408 198310 0.03344276 0.06037183 0.05643815 198311 0.01417651 0.05113283 -0.07100928 198312 -0.03348628 0.01497831 0.04851882 198401 -0.02523864 -0.00497160 0.06831230 198402 -0.04212508 -0.02697840 0.00836751 198403 -0.00982180 0.03073125 0.00565376 198404 -0.08442124 -0.04664162 0.00360444 198405 0.00696848 0.04651941 0.02462501 198406 -0.01612776 0.02579994 -0.00416672 198407 -0.02666257 0.01180929 0.01688635 198408 0.00195462 0.03360659 -0.03233679 198409 -0.01877213 0.01161752 0.02931051 198410 -0.02984941 -0.01089608 -0.00565581 198411 -0.00247202 0.00649543 0.01787270 198412 -0.03583779 -0.00268666 -0.00567600 198501 -0.00842383 0.01723409 -0.01586984 198502 -0.01416490 0.00656659 0.02514146 198503 0.00721115 0.00747759 0.04011404 198504 0.00918655 0.02943925 0.03827374 198505 -0.00012280 0.02297161 -0.00770273 198506 -0.00496763 -0.00197321 0.00711209 198507 -0.01858933 0.02340971 -0.01788944 198508 0.02646643 0.03504958 0.02688129 198509 -0.02147641 -0.00858064 0.01065697 198510 -0.01794789 -0.01256221 0.05136204 198511 -0.00215273 0.02724025 0.00697318 198512 -0.01521398 0.02494614 -0.01989964 198601 -0.06552925 -0.03501782 0.01758328 198602 -0.00921279 0.02063946 0.00235982 198603 0.00795219 0.04514624 0.03947988 198604 0.02940447 0.02444614 -0.00184481 198605 0.00523409 0.01948271 0.02279717 198606 -0.07055883 -0.06536077 0.05436224 198607 -0.00224316 0.01869330 -0.01181405 198608 -0.02727706 0.01347571 -0.02204191 198609 -0.00465437 -0.02390739 0.04716988 198610 0.03935061 0.06259826 0.01473984 198611 0.01649946 0.02249593 -0.03043060 198612 0.01102618 0.03233278 -0.01033401 198701 -0.02906564 -0.00909871 -0.07369650 198702 0.00544025 0.02569251 -0.04031035 198703 -0.02364455 0.01736875 -0.01488490 198704 -0.12649836 -0.10874873 -0.03904549 198705 0.00526550 0.03134890 0.01129104 198706 0.00747036 0.05835855 0.02579045 198707 0.01872214 -0.02499269 0.00611706 198708 -0.00015518 0.01173699 -0.05771872 198709 -0.04195289 -0.05490003 0.00276835 198710 -0.46143022 -0.39236669 0.05362571 198711 -0.02511653 -0.07054303 -0.01633546 198712 -0.10545586 -0.02464862 0.00727891 198801 -0.11095032 -0.07525404 0.04229286 198802 -0.03342877 0.06354971 0.00355999 198803 -0.03042057 0.02856048 -0.02003926 198804 0.00875387 0.02970880 -0.02519811 198805 -0.06857078 -0.00091255 -0.00518301 198806 0.00674816 0.02011836 -0.00896948 198807 0.01685931 0.03310660 -0.00873953 198808 -0.02477803 0.02711585 0.03534896 198809 -0.02332725 0.00182055 0.01519396 198810 -0.04266262 0.00375763 0.02451878 198811 -0.06690996 -0.00843400 -0.00201038 198812 -0.02435421 0.00330919 -0.04397242 198901 0.01821545 0.07524767 -0.00184144 198902 -0.00257917 0.01368712 -0.00413294 198903 0.00023630 0.00683339 -0.00856955 198904 -0.02155465 -0.00308717 -0.01899545 198905 0.04316963 0.04842080 -0.03855914 198906 -0.00159906 0.00121741 0.07276334 198907 0.01780266 0.02476395 0.03133175 198908 -0.08469954 -0.05321749 0.00576356 198909 0.02803304 0.01623048 -0.04723144 198910 -0.15740087 -0.11241064 0.02769994 198911 -0.00958120 0.01664352 -0.02391092 198912 -0.02159079 0.00999037 0.01976455 199001 -0.02319098 -0.00493634 -0.03305413 199002 -0.00455879 0.02636373 -0.02926774 199003 -0.02216372 0.03570691 -0.02717463 199004 0.01049139 0.01053861 0.05868740 199005 0.01134870 0.01001721 -0.00725714 199006 0.00240171 -0.00294480 0.02588171 199007 -0.02548410 -0.01522764 0.05157648 199008 0.02497992 0.00341516 0.04423621 199009 -0.01568347 0.05751798 0.01996423 199010 0.05201193 0.04984980 -0.01238644 199011 0.02180158 0.00768203 -0.01249727 199012 -0.05574343 -0.03026890 -0.03382609 199101 0.03896199 0.02294077 -0.09368777 199102 -0.02117577 -0.03761210 -0.02036569 199103 -0.02611880 -0.02570656 -0.00504698 199104 0.00646514 0.04434552 0.01733852 199105 -0.00605746 0.00098313 -0.00883988 199106 0.04171325 0.04956939 0.02890272 199107 -0.00134881 0.00355896 0.01752819 199108 -0.01697014 -0.02112946 -0.01800622 199109 -0.01443778 0.01649021 0.01091772 199110 -0.02167411 0.02084559 0.02057336 199111 0.02613736 -0.00210568 0.04381260 199112 -0.05323512 -0.07346443 -0.05182236 199201 -0.06143215 -0.03815877 -0.06972179 199202 -0.03925570 0.01098214 -0.05120744 199203 -0.03850107 0.01830857 -0.00365264 199204 0.03362592 0.04659509 -0.00426672 199205 0.00129319 0.05102724 0.00281423 199206 0.06758996 0.00874910 0.02257992 199207 -0.03713605 -0.05221418 0.02349546 199208 -0.00577717 0.00368445 0.05046339 199209 0.01257838 0.03346765 -0.02328183 199210 -0.05945285 -0.05456473 -0.02123562 199211 0.00066856 0.03195011 -0.05895888 199212 0.00965986 0.02468789 -0.02899647 199301 0.00478333 0.03503732 -0.00259744 199302 -0.02510693 -0.00172044 0.06807118 199303 -0.03732509 -0.00967696 -0.04093026 199304 0.00301181 0.03211750 -0.01767445 199305 -0.01454372 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