% LIQUIDITY FACTOR OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2008 % % Column 1: Month % Column 2: Levels of aggregate liquidity (Figure 1; equation (5)) % Column 3: Innovations in aggregate 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 2008 it is similarly successful at creating a spread in post-ranking betas. Whether the traded factor % is formed based on historical or predicted betas, it has a positive and significant alphas through 2008, % consistent with liquidity risk being priced. 196208 -0.01762100 0.00433410 -99.00000000 196209 -0.00408550 0.01518400 -99.00000000 196210 -0.10423000 -0.07039900 -99.00000000 196211 -0.01962000 0.02978600 -99.00000000 196212 -0.00501670 0.01621900 -99.00000000 196301 -0.05579100 0.01412700 -99.00000000 196302 0.01440300 0.02792100 -99.00000000 196303 -0.02337200 -0.01597700 -99.00000000 196304 0.05412700 0.08172700 -99.00000000 196305 0.00354110 -0.00770300 -99.00000000 196306 0.00959150 0.00441060 -99.00000000 196307 0.01432500 0.02487400 -99.00000000 196308 0.03376700 0.04320300 -99.00000000 196309 -0.00753820 0.02512400 -99.00000000 196310 0.02680600 0.03636500 -99.00000000 196311 -0.05313000 -0.05523800 -99.00000000 196312 -0.02057100 0.01635900 -99.00000000 196401 -0.07135900 -0.05198700 -99.00000000 196402 -0.02474800 0.01507500 -99.00000000 196403 0.03138600 0.04479400 -99.00000000 196404 -0.04066400 -0.02273800 -99.00000000 196405 -0.02572200 -0.00322760 -99.00000000 196406 -0.05656000 -0.00744960 -99.00000000 196407 0.05818200 0.05841600 -99.00000000 196408 -0.04850900 -0.03884100 -99.00000000 196409 -0.00816160 0.01586400 -99.00000000 196410 0.01293300 0.04177700 -99.00000000 196411 0.01488500 0.00009750 -99.00000000 196412 -0.02672900 -0.00878250 -99.00000000 196501 0.03792100 0.07356200 -99.00000000 196502 -0.01636700 0.02664700 -99.00000000 196503 0.03396300 0.02092000 -99.00000000 196504 0.02235900 0.04584800 -99.00000000 196505 -0.01294200 0.03864300 -99.00000000 196506 -0.16339000 -0.10935000 -99.00000000 196507 -0.08096800 -0.05021500 -99.00000000 196508 -0.03474500 0.07302100 -99.00000000 196509 0.02700000 0.06389000 -99.00000000 196510 0.00619590 -0.02070800 -99.00000000 196511 0.04446600 0.07130200 -99.00000000 196512 0.04087600 0.02905900 -99.00000000 196601 0.03996900 0.02769100 -99.00000000 196602 0.03501700 0.05105100 -99.00000000 196603 -0.06623900 -0.06020500 -99.00000000 196604 0.02681200 0.05718000 -99.00000000 196605 -0.12119000 -0.07359400 -99.00000000 196606 -0.05336100 -0.01193100 -99.00000000 196607 -0.03299800 0.00920030 -99.00000000 196608 -0.10665000 -0.08355100 -99.00000000 196609 -0.08781900 -0.04426600 -99.00000000 196610 -0.20652000 -0.08373500 -99.00000000 196611 -0.05409900 0.04563800 -99.00000000 196612 -0.02381500 0.04568200 -99.00000000 196701 -0.02740500 0.01423100 -99.00000000 196702 -0.07257300 0.01750000 -99.00000000 196703 -0.00862880 0.03621300 -99.00000000 196704 -0.00152680 0.02240000 -99.00000000 196705 0.01392100 0.02805300 -99.00000000 196706 -0.06197900 -0.04418800 -99.00000000 196707 -0.02837300 0.01634300 -99.00000000 196708 0.02907000 0.07228200 -99.00000000 196709 0.02354100 0.03467600 -99.00000000 196710 -0.03053700 -0.03685500 -99.00000000 196711 -0.03066400 -0.00810060 -99.00000000 196712 0.00159120 0.03667200 -99.00000000 196801 -0.02152100 0.00604840 -0.02287584 196802 -0.03459600 -0.01568800 0.02202845 196803 -0.11693000 -0.07930600 0.01125352 196804 0.02245100 0.08811300 0.01300463 196805 -0.02061100 0.01344500 -0.01308793 196806 0.00822490 0.03627900 -0.00527110 196807 -0.01049600 0.01216700 -0.03962767 196808 -0.02019900 -0.00475620 0.00417351 196809 -0.00870660 0.01781800 0.01236168 196810 0.00660520 0.02996000 -0.00152079 196811 -0.00022596 0.01980300 -0.00873524 196812 -0.02857200 -0.00662310 0.01268240 196901 -0.03378500 -0.00435840 0.02033860 196902 -0.02502800 0.01393200 0.05646986 196903 -0.02256500 0.00963680 -0.01328913 196904 -0.01252900 0.01225200 0.00902740 196905 0.01148800 0.04923100 0.01463511 196906 -0.04735900 -0.03485000 0.04980237 196907 -0.12244000 -0.08862300 0.02874267 196908 -0.08713000 -0.04501400 -0.00773546 196909 0.01315700 0.09002900 0.02406060 196910 -0.06064400 -0.02268700 -0.05155566 196911 0.01629300 0.04250900 0.03199743 196912 -0.01972100 -0.02099200 0.02743257 197001 -0.11017000 -0.06375800 0.02214593 197002 -0.08138800 -0.00971740 -0.05993313 197003 -0.13844000 -0.06373200 0.00338047 197004 -0.09426100 -0.03049400 0.03947215 197005 -0.24056000 -0.19680000 -0.07700504 197006 -0.18761000 -0.14174000 -0.03358631 197007 -0.01378300 0.06078800 -0.00429562 197008 -0.06660500 0.00947030 0.00132597 197009 -0.06682300 -0.01260100 -0.01763598 197010 0.09624000 0.09777700 -0.01751250 197011 -0.05982500 -0.03969500 -0.00587592 197012 -0.07300900 -0.01252400 0.04843017 197101 0.01775600 0.04400800 -0.04884957 197102 -0.06448100 -0.03331400 -0.01100474 197103 0.03169800 0.06447000 0.01600182 197104 -0.00998270 0.01085700 0.02752263 197105 -0.01940600 -0.02249800 0.01171902 197106 -0.04414100 -0.00889310 -0.03082243 197107 -0.10141000 -0.03064500 0.00073195 197108 -0.04506400 -0.00713870 0.02719810 197109 0.01980800 0.06256100 0.00431991 197110 -0.05636800 -0.00865900 0.03899809 197111 -0.09197700 -0.03531700 0.00574770 197112 0.00849980 0.04763300 -0.00099670 197201 -0.09411200 -0.07827700 -0.03427796 197202 -0.03059500 0.01842300 0.01066607 197203 -0.01137200 0.02663400 0.03347165 197204 -0.00295620 0.02136600 0.01525463 197205 -0.06444600 -0.03939900 -0.00112640 197206 0.00610730 0.00530010 0.01339480 197207 -0.08958300 -0.06333500 0.01604215 197208 0.01435100 0.02343400 -0.03069676 197209 -0.01895200 0.02987300 -0.01457896 197210 -0.03985800 -0.02025400 -0.01588501 197211 -0.01686600 -0.02972600 -0.00793903 197212 -0.07342500 -0.03205400 0.00884463 197301 -0.05617300 -0.02592400 -0.01529725 197302 -0.04913700 0.02735700 -0.01073584 197303 -0.02959700 -0.01140600 -0.01343561 197304 -0.04043300 -0.00745060 0.02294935 197305 -0.11542000 -0.06244800 -0.00306998 197306 -0.20084000 -0.16522000 -0.03227696 197307 -0.09647500 -0.01246600 0.00259252 197308 -0.09744600 -0.02906600 0.01543493 197309 -0.12177000 -0.00184470 0.01750586 197310 -0.05278800 0.02224200 -0.04321045 197311 -0.29742000 -0.23725000 -0.02719476 197312 -0.13378000 -0.08578200 -0.01672213 197401 -0.16214000 -0.07190700 0.10213079 197402 -0.11996000 -0.05770800 0.03970162 197403 -0.00128610 0.11236000 0.04429702 197404 -0.04192400 0.00296400 0.02197518 197405 -0.10174000 -0.08136000 0.06182898 197406 -0.06936300 -0.06441900 -0.00799425 197407 -0.23112000 -0.13512000 -0.00408694 197408 -0.10184000 -0.06785100 -0.03112770 197409 -0.11030000 -0.06819300 0.02339480 197410 -0.08564700 0.00598620 -0.07440254 197411 -0.08356500 0.03296800 -0.02523889 197412 -0.10467000 -0.04306100 0.01929969 197501 -0.11362000 -0.07698100 0.11217509 197502 -0.07572800 0.01735000 0.04327455 197503 -0.13048000 0.00524940 0.06667075 197504 0.00007970 0.03233700 0.00804441 197505 -0.06673500 -0.00942160 -0.03665102 197506 0.02337700 0.02573600 -0.01912361 197507 -0.05940300 -0.02298800 -0.01004150 197508 -0.12752000 -0.11924000 -0.00934303 197509 -0.08997800 -0.05360500 -0.01955274 197510 -0.06497400 0.02491000 0.09318688 197511 0.00760940 0.02801600 0.03746527 197512 -0.02458200 -0.01733000 -0.00461132 197601 -0.06027700 -0.03105600 0.01848831 197602 -0.01851400 0.05270400 -0.04120427 197603 -0.01856500 0.01041800 -0.01499298 197604 -0.03032100 -0.04683700 -0.02069025 197605 -0.09012800 -0.08483000 -0.03972813 197606 -0.06494600 -0.02231400 -0.00684733 197607 -0.09140300 -0.05334100 -0.02791919 197608 -0.01440800 0.03194500 0.01692729 197609 -0.03775400 0.02001300 -0.01572670 197610 -0.08729200 -0.04212500 0.00586552 197611 -0.08194800 -0.02181800 -0.02505680 197612 -0.02528500 0.05515900 -0.01133119 197701 -0.06248200 -0.04345200 -0.03065560 197702 -0.00043496 0.03813200 -0.01138171 197703 -0.05629600 0.03479200 0.01272469 197704 -0.01072300 -0.00860450 -0.02916583 197705 -0.03332800 -0.01069000 0.01656455 197706 -0.00864550 0.01956100 0.01922035 197707 -0.04815800 -0.01059500 0.00047949 197708 -0.04758100 0.00736090 0.03053168 197709 -0.04721000 -0.01813400 0.00972644 197710 -0.03328900 -0.00000788 -0.01145105 197711 -0.01271300 0.03077200 0.00217181 197712 0.01931800 0.03714700 -0.01001365 197801 -0.04221900 -0.00259320 0.00571376 197802 -0.01929700 0.01562600 -0.00153510 197803 -0.01049100 0.00581710 0.01790805 197804 -0.00780290 0.02261000 0.03797551 197805 0.01801400 0.02521800 0.01342624 197806 0.01074900 0.01818600 0.00666184 197807 -0.04348200 -0.03114000 0.03033768 197808 0.02090800 0.03978300 -0.00014175 197809 -0.00556580 -0.00746690 -0.02830372 197810 -0.10816000 -0.09725600 0.03934765 197811 -0.07502600 -0.03056800 -0.03385251 197812 -0.03395100 0.03688900 0.00178992 197901 -0.01440700 0.02641100 -0.00902348 197902 -0.03296300 0.01047200 -0.02857578 197903 -0.04378200 0.02416400 -0.00610308 197904 0.00478210 0.05677200 0.01665017 197905 -0.08099500 -0.04321100 -0.02235042 197906 -0.01187500 0.02505300 -0.01651275 197907 0.02264800 0.06360300 -0.01624461 197908 0.01303500 0.04060500 0.01496131 197909 -0.07424600 -0.05886400 -0.01308115 197910 -0.15444000 -0.10152000 0.00111976 197911 -0.03853800 0.00609950 -0.06798518 197912 -0.00922140 0.02594100 -0.01598058 198001 -0.05957800 -0.01612700 -0.01012561 198002 -0.09782900 -0.04062200 0.01369368 198003 -0.14192000 -0.08647700 0.04562855 198004 -0.05116800 -0.03129300 -0.00383651 198005 0.03284100 0.08015700 -0.01622261 198006 -0.01566600 0.00660180 0.01295452 198007 -0.03519200 -0.01268700 -0.00588734 198008 0.00723430 0.05556100 0.00414014 198009 -0.04758900 -0.01387600 0.00344757 198010 -0.01237500 0.03796500 0.02211926 198011 -0.02429600 0.00570620 0.01445645 198012 -0.05659600 -0.01025800 0.03433195 198101 -0.02296200 0.00581080 0.04121018 198102 -0.00731620 0.00385040 0.00329608 198103 -0.02136300 0.01730700 0.01289133 198104 -0.02797500 0.01339500 -0.01524973 198105 0.00739070 0.03149900 -0.02393692 198106 0.00167850 0.03464400 0.06043297 198107 -0.01766400 0.01496000 -0.01491202 198108 -0.07661300 -0.04015800 -0.00492322 198109 -0.15282000 -0.11875000 0.09860457 198110 -0.04559800 -0.00301550 -0.02192524 198111 -0.03155400 -0.01209200 0.06094567 198112 -0.02360500 0.02972100 0.00503071 198201 -0.06996200 -0.05596500 -0.02124435 198202 -0.12229000 -0.07942200 -0.01264089 198203 -0.03094800 0.00903610 0.04260088 198204 0.00482070 0.04569900 -0.02286874 198205 -0.00251900 -0.00421440 0.02972232 198206 -0.01227900 0.02479500 0.05054169 198207 0.01259100 0.02088400 -0.01644398 198208 -0.05755800 -0.03207900 -0.00449809 198209 -0.02563000 0.02706500 0.04379818 198210 -0.04161700 -0.00405380 -0.04011451 198211 -0.00494250 0.03034400 0.00923068 198212 0.00064003 0.03286300 -0.03065277 198301 -0.02969700 0.00571130 -0.05378282 198302 0.00843340 0.04229300 -0.03071775 198303 -0.04779300 -0.02286200 0.04137818 198304 -0.00434920 0.02838700 0.03708326 198305 -0.07908900 -0.04399600 0.01860842 198306 -0.00057044 0.05279300 -0.00165805 198307 -0.04812400 -0.02360400 0.04600531 198308 -0.04069600 -0.00593190 0.04535393 198309 -0.02398000 0.02745800 0.01084281 198310 0.03598200 0.06490400 0.05762153 198311 0.01444500 0.05513300 -0.07136584 198312 -0.03257300 0.01984400 0.04762075 198401 -0.02523600 -0.00218860 0.06165862 198402 -0.04211900 -0.02435400 0.00293867 198403 -0.00982070 0.03315700 0.00644096 198404 -0.08436000 -0.04449200 0.01014344 198405 0.00622470 0.04663700 0.02210518 198406 -0.01611500 0.02788700 -0.00188321 198407 -0.02585200 0.01608600 0.01898693 198408 0.00258290 0.03620200 -0.02535961 198409 -0.01769400 0.01551200 0.02607538 198410 -0.03104300 -0.00941780 -0.00882210 198411 -0.00279090 0.00918120 0.01281694 198412 -0.03456900 0.00260280 -0.00461850 198501 -0.00842290 0.02054300 -0.01455137 198502 -0.01416300 0.00941760 0.02520107 198503 0.00721030 0.01096600 0.03929875 198504 0.00918440 0.03396700 0.03895772 198505 -0.00012360 0.02726400 -0.00554804 198506 -0.00680060 0.00204750 0.00585999 198507 -0.01838100 0.02894200 -0.01800787 198508 0.02896900 0.04017300 0.02633592 198509 -0.02241100 -0.00522700 0.01009465 198510 -0.01660900 -0.00714530 0.05352693 198511 -0.00201630 0.02935800 0.00622683 198512 -0.01135700 0.03166800 -0.01914385 198601 -0.06552200 -0.02957800 0.02127022 198602 -0.00921130 0.02206500 0.00031261 198603 0.00795130 0.04723300 0.03331164 198604 0.02937900 0.02817600 -0.00507545 198605 0.00468500 0.02542000 0.02627808 198606 -0.06984800 -0.05961200 0.05651733 198607 -0.00426120 0.02166600 -0.01796031 198608 -0.02620100 0.01554300 -0.02770244 198609 -0.00534620 -0.02235900 0.03935961 198610 0.04014600 0.06803400 0.02370650 198611 0.01657500 0.02709600 -0.02991962 198612 0.01129900 0.03821700 -0.00944909 198701 -0.02906200 -0.00461630 -0.07119909 198702 0.00543960 0.02898800 -0.03850964 198703 -0.02364200 0.02082400 -0.01738154 198704 -0.12632000 -0.10596000 -0.04007088 198705 0.00589590 0.03124100 0.01021881 198706 0.00810030 0.06000700 0.02687599 198707 0.01639200 -0.02560100 0.00487415 198708 -0.00221260 0.01904700 -0.05664928 198709 -0.03012300 -0.03630600 0.00288782 198710 -0.46101000 -0.38214000 0.05430852 198711 -0.02426800 -0.08248100 -0.01653155 198712 -0.10209000 -0.02516100 0.00360142 198801 -0.11094000 -0.07356300 0.04438171 198802 -0.03342500 0.06167500 0.01582941 198803 -0.03057000 0.02713200 -0.01220827 198804 0.00888010 0.03182600 -0.02420490 198805 -0.06853700 0.00282820 -0.00580616 198806 0.00700290 0.02067700 0.00655526 198807 0.01683400 0.03613500 -0.01222623 198808 -0.02581400 0.03082400 0.03078336 198809 -0.02290700 0.00501790 0.01657163 198810 -0.04318900 0.00639160 0.02352026 198811 -0.06559000 -0.00537440 -0.00473470 198812 -0.02427700 0.00296880 -0.05117894 198901 0.01821300 0.07700600 -0.01030598 198902 -0.00257890 0.01669900 -0.00118956 198903 0.00023628 0.01149600 -0.00870936 198904 -0.02155200 0.00110480 -0.01797886 198905 0.04316500 0.05172600 -0.04120447 198906 -0.00338350 0.00650140 0.07949163 198907 0.01737300 0.02866900 0.03231778 198908 -0.08488700 -0.04868400 0.00322342 198909 0.02778500 0.01758600 -0.04638791 198910 -0.15786000 -0.10872000 0.02937326 198911 -0.00983040 0.01580600 -0.02507310 198912 -0.02163000 0.01036400 0.02434315 199001 -0.02318800 -0.00152510 -0.05143226 199002 -0.00455830 0.02920300 -0.04668418 199003 -0.02216100 0.03875200 -0.02422393 199004 0.01049000 0.01262100 0.05773601 199005 0.01134700 0.01471500 0.00087489 199006 0.00240140 0.00218550 0.03564255 199007 -0.03170100 -0.01027200 0.04948089 199008 0.02945500 0.01502100 0.05258155 199009 -0.01568200 0.06707500 0.03600487 199010 0.05371000 0.05192200 0.00734568 199011 0.03011500 0.02139400 0.00364952 199012 -0.05558000 -0.02732100 -0.01917587 199101 0.03895700 0.02370200 -0.08785590 199102 -0.02117300 -0.03242600 -0.02691274 199103 -0.02611600 -0.02038700 -0.01064116 199104 0.00646540 0.04732100 0.00925927 199105 -0.00593560 0.00402740 -0.01640017 199106 0.04170800 0.05404000 0.02700680 199107 -0.00128660 0.00892820 0.01462627 199108 -0.01693800 -0.01586100 -0.01091593 199109 -0.01447800 0.02036400 0.00946721 199110 -0.01923000 0.02372700 0.02299736 199111 0.02751900 0.00047795 0.05375609 199112 -0.05344900 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0.03443600 0.01297459 199401 0.03880100 0.07502100 -0.00242010 199402 -0.05104600 -0.03363500 0.01496189 199403 -0.01538400 -0.00669760 0.02851611 199404 -0.07483700 -0.04872700 0.00652575 199405 -0.03901700 0.00033586 0.03730482 199406 -0.07848100 -0.03288700 -0.00289526 199407 0.01187600 0.06341600 -0.00772944 199408 -0.01737600 0.03842700 0.00915269 199409 0.02063500 0.01883800 0.03114516 199410 0.03006900 0.03780700 0.00684833 199411 -0.01459200 -0.04004700 -0.01817482 199412 -0.02958100 -0.00443340 0.01551232 199501 0.02210500 0.06670600 -0.03293831 199502 0.02343700 0.02833200 -0.00716258 199503 0.00998250 -0.00705290 0.01614320 199504 0.03156100 0.05587100 0.01227189 199505 -0.00228230 0.00865730 -0.00597155 199506 -0.02610800 -0.02850500 0.00597419 199507 -0.00698730 0.01577700 0.04917866 199508 -0.00334310 0.02233000 -0.00765548 199509 -0.02781700 -0.01991200 -0.07520622 199510 -0.00492580 0.01241600 0.03003348 199511 0.03189800 0.06460500 -0.02055178 199512 -0.06312000 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