% LIQUIDITY FACTORS OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2022 % 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 2022 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2022, 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 0.01151288 -99 196210 -0.10421182 -0.07470525 -99 196211 -0.01974170 0.02884837 -99 196212 -0.00508932 0.01412051 -99 196301 -0.05579688 0.00920771 -99 196302 0.01440415 0.02613714 -99 196303 -0.02345353 -0.02063897 -99 196304 0.05413256 0.07743671 -99 196305 0.00354149 -0.01359920 -99 196306 0.00959259 -0.00166598 -99 196307 0.01432622 0.01965071 -99 196308 0.03377117 0.03787560 -99 196309 -0.00754051 0.01905062 -99 196310 0.02680674 0.03189470 -99 196311 -0.05313628 -0.06082809 -99 196312 -0.02057456 0.01280226 -99 196401 -0.07136865 -0.05479147 -99 196402 -0.02474947 0.01294308 -99 196403 0.03138953 0.04229404 -99 196404 -0.04066632 -0.02841397 -99 196405 -0.02572531 -0.00689047 -99 196406 -0.05656731 -0.01055898 -99 196407 0.05819052 0.05650194 -99 196408 -0.04851473 -0.04519402 -99 196409 -0.00816173 0.01193667 -99 196410 0.01293438 0.03829746 -99 196411 0.01488576 -0.00480323 -99 196412 -0.02673007 -0.01472880 -99 196501 0.03792484 0.06978027 -99 196502 -0.01642848 0.02136188 -99 196503 0.03397015 0.01675734 -99 196504 0.02236123 0.03972012 -99 196505 -0.01294328 0.03300190 -99 196506 -0.16340986 -0.11316153 -99 196507 -0.08097770 -0.04857627 -99 196508 -0.03474854 0.07328455 -99 196509 0.02700284 0.06280828 -99 196510 0.00619570 -0.02584051 -99 196511 0.04447103 0.06520830 -99 196512 0.04087982 0.02323012 -99 196601 0.03997342 0.02051412 -99 196602 0.03502076 0.04418150 -99 196603 -0.06624631 -0.06641442 -99 196604 0.02544957 0.05417618 -99 196605 -0.12120717 -0.07857544 -99 196606 -0.05336572 -0.01245070 -99 196607 -0.03300131 0.00832282 -99 196608 -0.10666850 -0.08627307 -99 196609 -0.08782498 -0.04493546 -99 196610 -0.20654128 -0.08366070 -99 196611 -0.05410496 0.05076525 -99 196612 -0.02167905 0.04656553 -99 196701 -0.02740850 0.01240914 -99 196702 -0.07258040 0.01436831 -99 196703 -0.00863176 0.03564656 -99 196704 -0.00152597 0.01922061 -99 196705 0.01392227 0.02350847 -99 196706 -0.06198466 -0.04935240 -99 196707 -0.02837509 0.01362735 -99 196708 0.02907304 0.06992519 -99 196709 0.02354394 0.02969300 -99 196710 -0.03053991 -0.04287919 -99 196711 -0.03066846 -0.01237052 -99 196712 0.00159134 0.03365260 -99 196801 -0.02152331 0.00197968 -0.02540564 196802 -0.03459893 -0.01953504 0.02213928 196803 -0.11694312 -0.08250522 0.00838539 196804 0.02245332 0.08818328 0.00504472 196805 -0.02061391 0.01031011 -0.01514423 196806 0.00822169 0.03199817 -0.00026051 196807 -0.01049623 0.00776736 -0.03551518 196808 -0.02019994 -0.00913078 0.00505116 196809 -0.00870728 0.01396477 0.01300449 196810 0.00660634 0.02602385 -0.00071775 196811 -0.00022576 0.01509693 -0.00615564 196812 -0.02857454 -0.01131605 0.01175393 196901 -0.03378834 -0.00794171 0.02260170 196902 -0.02503033 0.01099917 0.05643482 196903 -0.02256855 0.00657827 -0.01703415 196904 -0.01274491 0.00884438 0.01674071 196905 0.01158629 0.04559198 0.00647644 196906 -0.04735751 -0.03938518 0.05729539 196907 -0.12262451 -0.09218551 0.03244715 196908 -0.08789095 -0.04529788 -0.01348752 196909 0.01326256 0.09064729 0.02041740 196910 -0.06038219 -0.02545806 -0.05642570 196911 0.01656733 0.03995218 0.03169597 196912 -0.01985261 -0.02553813 0.02600825 197001 -0.11018564 -0.06858877 0.02194959 197002 -0.08139629 -0.00973951 -0.05988703 197003 -0.13845301 -0.06337744 0.00277473 197004 -0.09427155 -0.02874117 0.03971232 197005 -0.24058807 -0.19596152 -0.07777586 197006 -0.18762334 -0.13688645 -0.03616947 197007 -0.01379573 0.06580301 -0.00137115 197008 -0.06668893 0.00812672 0.00208282 197009 -0.06687556 -0.01419595 -0.01567859 197010 0.09627156 0.09683169 -0.01643634 197011 -0.05985976 -0.04729035 -0.00559368 197012 -0.07305842 -0.01638553 0.04992480 197101 0.01775836 0.04357330 -0.04014598 197102 -0.06448822 -0.03776001 -0.01763190 197103 0.03170128 0.06191290 0.01863740 197104 -0.00998386 0.00626690 0.02572797 197105 -0.01940864 -0.02732016 0.00384779 197106 -0.04414564 -0.01306599 -0.04189905 197107 -0.10142122 -0.03319339 -0.00583513 197108 -0.04506715 -0.00689974 0.02469990 197109 0.01980991 0.06086429 0.00327777 197110 -0.05637401 -0.01315097 0.03220380 197111 -0.09198767 -0.03787177 0.00706075 197112 0.00850009 0.04751191 -0.00224165 197201 -0.09412266 -0.08187662 -0.03669286 197202 -0.03060037 0.01659137 0.00969740 197203 -0.01137246 0.02486498 0.03382246 197204 -0.00295654 0.01758648 0.01401382 197205 -0.06445359 -0.04374899 -0.00251954 197206 0.00610800 0.00297586 0.01461396 197207 -0.08959187 -0.06775168 0.01614596 197208 0.01435214 0.02182640 -0.02701586 197209 -0.01895737 0.02571007 -0.01634573 197210 -0.03986215 -0.02399685 -0.01902972 197211 -0.01686769 -0.03279360 -0.00816412 197212 -0.07355568 -0.03635253 0.00900269 197301 -0.05781599 -0.02754881 -0.01481267 197302 -0.04853245 0.02716627 -0.01084836 197303 -0.03054217 -0.01352139 -0.01272228 197304 -0.04049684 -0.01088688 0.02311953 197305 -0.11534552 -0.06485991 -0.00270427 197306 -0.20033228 -0.16492434 -0.03230874 197307 -0.09612580 -0.00847738 0.00247033 197308 -0.09691967 -0.02668860 0.01591954 197309 -0.12374937 -0.00380199 0.01708394 197310 -0.05408999 0.02430749 -0.04304216 197311 -0.30250782 -0.23963280 -0.02651634 197312 -0.13258622 -0.07958411 -0.01679927 197401 -0.16222705 -0.06669846 0.10075292 197402 -0.12089040 -0.05449880 0.03963822 197403 -0.00128850 0.11392643 0.04361550 197404 -0.04192028 0.00132130 0.02164613 197405 -0.10176336 -0.08454731 0.06053269 197406 -0.06936954 -0.06507570 -0.00694888 197407 -0.23115673 -0.13650553 -0.00457639 197408 -0.10185960 -0.06251999 -0.03129645 197409 -0.11031084 -0.06656114 0.02280320 197410 -0.08565812 0.00633700 -0.07279490 197411 -0.08357406 0.03379967 -0.02532073 197412 -0.10467737 -0.04235455 0.01928950 197501 -0.11363563 -0.07663595 0.10876389 197502 -0.07571968 0.01796582 0.03662677 197503 -0.13072540 0.00557771 0.05969079 197504 0.00011554 0.03496651 0.00217849 197505 -0.06664547 -0.01246086 -0.03349678 197506 0.02342901 0.02383599 -0.01748245 197507 -0.05962827 -0.02822246 -0.00961332 197508 -0.12755964 -0.12186747 -0.00855122 197509 -0.08967729 -0.05304710 -0.01921566 197510 -0.06496285 0.02508606 0.09069118 197511 0.00741821 0.02748167 0.03623193 197512 -0.02442816 -0.02147889 -0.00279676 197601 -0.06026916 -0.03509769 0.01930918 197602 -0.01850114 0.05069364 -0.04225125 197603 -0.01869402 0.00794778 -0.01797504 197604 -0.02836403 -0.04863787 -0.01965143 197605 -0.09013978 -0.08760092 -0.04059278 197606 -0.06495230 -0.02370822 -0.00572528 197607 -0.09137023 -0.05418368 -0.02705599 197608 -0.01515904 0.03137199 0.01794591 197609 -0.03775239 0.01703172 -0.01542257 197610 -0.08540734 -0.04497322 0.00385740 197611 -0.08199193 -0.02169902 -0.02387473 197612 -0.02567946 0.05508376 -0.01240966 197701 -0.06248706 -0.04547493 -0.03064272 197702 -0.00039705 0.03565709 -0.00984019 197703 -0.05633423 0.03131420 0.01079852 197704 -0.01072185 -0.01013280 -0.02492795 197705 -0.03332456 -0.01474635 0.01811865 197706 -0.00864341 0.01624045 0.02199312 197707 -0.04816932 -0.01436463 0.00119646 197708 -0.04412220 0.00473917 0.03132657 197709 -0.04748178 -0.02223877 0.01051654 197710 -0.03260695 -0.00229172 -0.01108198 197711 -0.01279571 0.02787026 0.00253713 197712 0.02084873 0.03470644 -0.00612393 197801 -0.04222258 -0.00696314 0.00672525 197802 -0.01929822 0.01258000 0.00010469 197803 -0.01049430 0.00265722 0.01720571 197804 -0.00780383 0.01840967 0.03084663 197805 0.01785201 0.02103554 0.01378779 197806 0.01073519 0.01283467 0.01089029 197807 -0.04349239 -0.03650846 0.03138675 197808 0.02096417 0.03644160 -0.00088631 197809 -0.00570674 -0.01240366 -0.02730711 197810 -0.10828928 -0.10253564 0.04280582 197811 -0.07491575 -0.03132182 -0.03162120 197812 -0.03422058 0.03633616 0.00199465 197901 -0.01441439 0.02436508 -0.01029938 197902 -0.03296427 0.00692534 -0.02811765 197903 -0.04381288 0.02119685 -0.00695441 197904 0.00478602 0.05490693 0.01849867 197905 -0.08102735 -0.04703591 -0.02188811 197906 -0.01188102 0.02330211 -0.01669465 197907 0.02263928 0.06072394 -0.01719865 197908 0.01305124 0.03560709 0.01475767 197909 -0.07426784 -0.06412053 -0.00978073 197910 -0.15447257 -0.10387787 -0.00030052 197911 -0.03883258 0.00830385 -0.06750272 197912 -0.00920058 0.02498792 -0.01807817 198001 -0.05958447 -0.01992410 0.00013109 198002 -0.09784091 -0.04272951 0.02114945 198003 -0.14193797 -0.08642037 0.02794556 198004 -0.05117316 -0.02944458 -0.01240179 198005 0.03284126 0.07878780 -0.00782060 198006 -0.01566887 0.00181756 0.01010759 198007 -0.03519602 -0.01727834 -0.00569326 198008 0.00723605 0.05248061 0.01373905 198009 -0.04758752 -0.01778678 0.00919783 198010 -0.01239088 0.03497360 0.02758604 198011 -0.02423485 0.00276155 0.03062221 198012 -0.05639616 -0.01368942 0.02748807 198101 -0.02295500 0.00380682 0.03893398 198102 -0.00758953 0.00045841 0.00211983 198103 -0.02136465 0.01305917 0.01393817 198104 -0.02810852 0.00988208 -0.01912218 198105 0.00737341 0.02850215 -0.02798762 198106 0.00168118 0.03016749 0.06094841 198107 -0.01763500 0.01043767 -0.01241394 198108 -0.07670137 -0.04405405 -0.00142182 198109 -0.15284444 -0.12027560 0.09223195 198110 -0.04551135 -0.00131825 -0.02465792 198111 -0.03161579 -0.01313996 0.06060739 198112 -0.02358720 0.02643417 0.00907384 198201 -0.06997584 -0.05875611 -0.01978417 198202 -0.12230555 -0.08165997 -0.01144574 198203 -0.03094867 0.00986286 0.04354018 198204 0.00482292 0.04384930 -0.02399156 198205 -0.00252187 -0.00847011 0.02935751 198206 -0.01252549 0.01980092 0.04970968 198207 0.01259311 0.01737505 -0.01586295 198208 -0.05756179 -0.03718701 -0.00509109 198209 -0.02623568 0.02438094 0.04186289 198210 -0.04193409 -0.00641180 -0.03783243 198211 -0.00449950 0.02787999 0.01049033 198212 0.00074378 0.02908209 -0.03135686 198301 -0.02964785 0.00130966 -0.05475749 198302 0.00812041 0.03900716 -0.03120860 198303 -0.04766193 -0.02681557 0.04017853 198304 -0.00471343 0.02499740 0.03559141 198305 -0.07871142 -0.04690172 0.01816680 198306 -0.00339973 0.04810814 0.00092081 198307 -0.04793408 -0.02488961 0.04384996 198308 -0.04234025 -0.01037261 0.04344734 198309 -0.02372007 0.02593158 0.01391928 198310 0.03439859 0.06028563 0.05772609 198311 0.01370172 0.04949880 -0.07196858 198312 -0.03358922 0.01376385 0.05002490 198401 -0.02518414 -0.00580862 0.06525340 198402 -0.04222727 -0.02785671 0.00521760 198403 -0.00982163 0.03021491 0.00941229 198404 -0.08444471 -0.04783221 0.00409888 198405 0.00682982 0.04588402 0.02360299 198406 -0.01601648 0.02438643 -0.00288699 198407 -0.02663180 0.01124325 0.02081929 198408 0.00187372 0.03261035 -0.03492146 198409 -0.01898864 0.01052592 0.02426426 198410 -0.02988708 -0.01141948 -0.00664306 198411 -0.00231840 0.00607849 0.01563082 198412 -0.03602564 -0.00358444 -0.00023396 198501 -0.00841324 0.01664228 -0.01660344 198502 -0.01040315 0.00575777 0.02277367 198503 0.00593392 0.00339921 0.03882319 198504 0.01006849 0.02968025 0.03804409 198505 0.00000677 0.02240364 -0.00808688 198506 -0.00496640 -0.00259739 0.00855668 198507 -0.02202200 0.02301828 -0.01828073 198508 0.02641898 0.03261366 0.02600935 198509 -0.01917228 -0.00909584 0.01085101 198510 -0.01874444 -0.01480385 0.05068405 198511 -0.00196966 0.02679538 0.00714591 198512 -0.01579079 0.02356093 -0.01941905 198601 -0.06592515 -0.03721785 0.01882153 198602 -0.00938448 0.01992839 0.00280428 198603 0.00792626 0.04405100 0.03946652 198604 0.02937072 0.02365303 -0.00513904 198605 0.00463582 0.01866728 0.02732007 198606 -0.06956802 -0.06443195 0.05863968 198607 -0.00237977 0.01892841 -0.01490146 198608 -0.02734166 0.01217406 -0.02610917 198609 -0.00466824 -0.02456268 0.04365573 198610 0.03939260 0.06243723 0.01596314 198611 0.01677837 0.02188727 -0.03037115 198612 0.01118096 0.03231530 -0.01180831 198701 -0.02911501 -0.00985140 -0.07334350 198702 0.00529227 0.02514955 -0.04018167 198703 -0.02361702 0.01660034 -0.01323575 198704 -0.12662749 -0.10956067 -0.03988962 198705 0.00544621 0.03127609 0.01258425 198706 0.00750473 0.05657753 0.02582911 198707 0.01877447 -0.02578796 0.00803324 198708 -0.00003515 0.01217454 -0.05904169 198709 -0.04182135 -0.05534377 0.00162348 198710 -0.46169773 -0.39268927 0.05431057 198711 -0.02515845 -0.07073068 -0.01692999 198712 -0.10552480 -0.02809042 0.00835925 198801 -0.11083843 -0.07583863 0.04415469 198802 -0.03348581 0.06221758 0.00330430 198803 -0.03029858 0.02637721 -0.01998427 198804 0.00880543 0.02876195 -0.02541647 198805 -0.06855347 -0.00171222 -0.00520483 198806 0.00688993 0.01933267 -0.00962875 198807 0.01712411 0.03229522 -0.00893175 198808 -0.02484266 0.02649088 0.03565788 198809 -0.02317842 0.00111598 0.01488299 198810 -0.04267395 0.00297793 0.02375891 198811 -0.06681857 -0.00931725 -0.00070705 198812 -0.02431808 0.00213971 -0.04442614 198901 0.01842500 0.07441023 -0.00066201 198902 -0.00261030 0.01227245 -0.00370499 198903 0.00049190 0.00683067 -0.01005239 198904 -0.02148396 -0.00360202 -0.01942944 198905 0.04337706 0.04803131 -0.03793897 198906 -0.00150094 0.00050057 0.07322710 198907 0.01777991 0.02469981 0.03174884 198908 -0.08467239 -0.05378194 0.00711113 198909 0.02786316 0.01571399 -0.04838182 198910 -0.15749531 -0.11341527 0.02414736 198911 -0.00979964 0.01638802 -0.02475016 198912 -0.02131812 0.00835103 0.01943802 199001 -0.02371547 -0.00601552 -0.03403647 199002 -0.00493618 0.02545627 -0.02993156 199003 -0.02227970 0.03496192 -0.02618451 199004 0.00903327 0.00813897 0.05838816 199005 0.01200611 0.01081232 -0.00653357 199006 0.00178264 -0.00391630 0.02597323 199007 -0.02635311 -0.01622790 0.05079944 199008 0.02512102 0.00356192 0.04516347 199009 -0.01568082 0.05742455 0.01963880 199010 0.05201194 0.04872363 -0.01307316 199011 0.02180100 0.00720201 -0.01186456 199012 -0.05574597 -0.03005000 -0.03435371 199101 0.03895971 0.02249361 -0.09480416 199102 -0.02117548 -0.03830775 -0.01976099 199103 -0.02611774 -0.02536583 -0.00719494 199104 0.00646525 0.04377399 0.01658207 199105 -0.00602298 -0.00006267 -0.01043347 199106 0.04170756 0.04932604 0.02998807 199107 -0.00135326 0.00287164 0.01557791 199108 -0.01695233 -0.02112269 -0.01699254 199109 -0.01442521 0.01618941 0.01170763 199110 -0.02169450 0.01995082 0.02183811 199111 0.02615505 -0.00296858 0.04312706 199112 -0.05322488 -0.07357594 -0.04932854 199201 -0.06539798 -0.04227593 -0.07748136 199202 -0.03882487 0.01188019 -0.04885885 199203 -0.03465568 0.02156560 -0.00085337 199204 0.03518324 0.04550346 -0.00461487 199205 0.00132677 0.05052605 -0.00157019 199206 0.06758642 0.00804843 0.01939018 199207 -0.05001814 -0.05195348 0.02428208 199208 -0.00621343 -0.00201209 0.04932559 199209 0.01457686 0.03270762 -0.02176638 199210 -0.05938540 -0.05414941 -0.01951491 199211 0.00064767 0.03187124 -0.05071980 199212 0.00997473 0.02333135 -0.03053146 199301 0.01066849 0.04052532 -0.00898190 199302 -0.03033735 -0.01025181 0.06623622 199303 -0.03524115 -0.00706513 -0.03846259 199304 0.00905305 0.03761870 -0.01728532 199305 -0.01625729 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