% LIQUIDITY FACTORS OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2019 % 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 2019 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2019, consistent with liquidity risk being priced. % % Month Agg Liq. Innov Liq (eq8) Traded Liq (LIQ_V) 196208 -0.01753665 0.00425972 -99 196209 -0.00407476 0.01146090 -99 196210 -0.10420845 -0.07482611 -99 196211 -0.01974170 0.02861509 -99 196212 -0.00508878 0.01458425 -99 196301 -0.05579702 0.00902222 -99 196302 0.01440418 0.02624625 -99 196303 -0.02345358 -0.02063379 -99 196304 0.05413276 0.07705298 -99 196305 0.00354149 -0.01348994 -99 196306 0.00959261 -0.00232440 -99 196307 0.01432661 0.01938772 -99 196308 0.03377124 0.03763912 -99 196309 -0.00753905 0.01881467 -99 196310 0.02680866 0.03166908 -99 196311 -0.05313639 -0.06098393 -99 196312 -0.02057325 0.01227642 -99 196401 -0.07136749 -0.05458767 -99 196402 -0.02474942 0.01268178 -99 196403 0.03138957 0.04254577 -99 196404 -0.04066846 -0.02854037 -99 196405 -0.02572535 -0.00728218 -99 196406 -0.05656623 -0.01053910 -99 196407 0.05818911 0.05652259 -99 196408 -0.04851480 -0.04519142 -99 196409 -0.00816254 0.01133828 -99 196410 0.01293442 0.03842309 -99 196411 0.01488670 -0.00490033 -99 196412 -0.02673177 -0.01518388 -99 196501 0.03792482 0.06953666 -99 196502 -0.01642748 0.02149332 -99 196503 0.03396719 0.01650783 -99 196504 0.02236126 0.03946191 -99 196505 -0.01294330 0.03276330 -99 196506 -0.16341145 -0.11321754 -99 196507 -0.08097770 -0.04873763 -99 196508 -0.03474858 0.07376254 -99 196509 0.02700287 0.06343840 -99 196510 0.00619804 -0.02582491 -99 196511 0.04447103 0.06457706 -99 196512 0.04088096 0.02323094 -99 196601 0.03997340 0.01997176 -99 196602 0.03502075 0.04373820 -99 196603 -0.06624636 -0.06668082 -99 196604 0.02544977 0.05366741 -99 196605 -0.12120820 -0.07828040 -99 196606 -0.05336691 -0.01281616 -99 196607 -0.03300129 0.00877147 -99 196608 -0.10666605 -0.08620850 -99 196609 -0.08782642 -0.04515308 -99 196610 -0.20654296 -0.08334228 -99 196611 -0.05410494 0.05127449 -99 196612 -0.02167904 0.04764474 -99 196701 -0.02740856 0.01256587 -99 196702 -0.07258088 0.01435350 -99 196703 -0.00862977 0.03594294 -99 196704 -0.00152694 0.01944757 -99 196705 0.01392230 0.02333789 -99 196706 -0.06198561 -0.04953242 -99 196707 -0.02837613 0.01328344 -99 196708 0.02907310 0.07017899 -99 196709 0.02354391 0.02978801 -99 196710 -0.03054070 -0.04323948 -99 196711 -0.03066729 -0.01284112 -99 196712 0.00159135 0.03363278 -99 196801 -0.02152297 0.00202722 -0.02086175 196802 -0.03459975 -0.01972854 0.02197712 196803 -0.11694515 -0.08264259 0.01057792 196804 0.02245346 0.08809128 0.00915347 196805 -0.02061359 0.01098892 -0.01774824 196806 0.00822582 0.03166385 0.00042735 196807 -0.01049674 0.00778298 -0.03620883 196808 -0.02020095 -0.00936513 0.00601579 196809 -0.00870761 0.01378749 0.00953921 196810 0.00660594 0.02597528 -0.00088817 196811 -0.00022599 0.01498096 -0.00881651 196812 -0.02857531 -0.01152191 0.01184482 196901 -0.03378860 -0.00813598 0.02444780 196902 -0.02503088 0.01096850 0.05900419 196903 -0.02256787 0.00662520 -0.01704519 196904 -0.01274432 0.00879775 0.01892827 196905 0.01158513 0.04551378 0.01366945 196906 -0.04735727 -0.03936952 0.05930900 196907 -0.12262313 -0.09256159 0.03570685 196908 -0.08789173 -0.04533371 -0.00522826 196909 0.01326168 0.09099570 0.01875260 196910 -0.06038184 -0.02491061 -0.05876586 196911 0.01656803 0.03963811 0.03169131 196912 -0.01985159 -0.02535264 0.03674571 197001 -0.11018592 -0.06906808 0.02356810 197002 -0.08139735 -0.00977016 -0.05868693 197003 -0.13845329 -0.06286627 0.00237280 197004 -0.09427202 -0.02851421 0.04070456 197005 -0.24058595 -0.19544468 -0.07564881 197006 -0.18762468 -0.13698813 -0.03427691 197007 -0.01379429 0.06653644 -0.00023298 197008 -0.06668903 0.00897839 0.00002363 197009 -0.06687487 -0.01418854 -0.01722116 197010 0.09627185 0.09705168 -0.01507792 197011 -0.05985656 -0.04720098 -0.00518356 197012 -0.07305852 -0.01710815 0.05062283 197101 0.01775796 0.04391458 -0.05148672 197102 -0.06448800 -0.03762345 -0.02100080 197103 0.03170210 0.06159148 0.01722159 197104 -0.00998388 0.00654229 0.02730959 197105 -0.01940867 -0.02770784 0.00571536 197106 -0.04414571 -0.01334807 -0.03743005 197107 -0.10142136 -0.03322561 -0.00041068 197108 -0.04506878 -0.00671366 0.02398105 197109 0.01981000 0.06112746 0.00553154 197110 -0.05637408 -0.01300372 0.03750459 197111 -0.09198778 -0.03807604 0.00751077 197112 0.00850079 0.04769766 0.00199699 197201 -0.09412363 -0.08155979 -0.03374327 197202 -0.03059879 0.01612639 0.00993984 197203 -0.01137304 0.02530207 0.03309115 197204 -0.00295654 0.01755833 0.01508518 197205 -0.06445365 -0.04386567 -0.00148126 197206 0.00610801 0.00274170 0.01372639 197207 -0.08959345 -0.06776759 0.01622972 197208 0.01435214 0.02150417 -0.03104982 197209 -0.01895372 0.02590460 -0.01488973 197210 -0.03986232 -0.02411673 -0.01545361 197211 -0.01686769 -0.03295676 -0.00776205 197212 -0.07355568 -0.03660608 0.00882111 197301 -0.05636308 -0.02760023 -0.01481098 197302 -0.04829286 0.02663892 -0.01086541 197303 -0.03071518 -0.01370601 -0.01271889 197304 -0.04066723 -0.01113607 0.02308621 197305 -0.11566841 -0.06513352 -0.00263267 197306 -0.19991624 -0.16428826 -0.03231649 197307 -0.09645608 -0.00884419 0.00245030 197308 -0.09587882 -0.02454659 0.01594605 197309 -0.12252505 -0.00270459 0.01702629 197310 -0.05342640 0.02498777 -0.04308556 197311 -0.30129471 -0.23836639 -0.02650170 197312 -0.13417844 -0.08197568 -0.01684214 197401 -0.16222605 -0.06680593 0.10501732 197402 -0.12002965 -0.05406207 0.03898203 197403 -0.00128674 0.11483520 0.04593273 197404 -0.04192205 0.00220313 0.02365498 197405 -0.10176169 -0.08477524 0.06008724 197406 -0.06937052 -0.06521746 -0.01077655 197407 -0.23115520 -0.13645609 -0.00473158 197408 -0.10185960 -0.06227357 -0.02869620 197409 -0.11031084 -0.06586937 0.02436165 197410 -0.08565812 0.00644177 -0.07885913 197411 -0.08357406 0.03442125 -0.01939789 197412 -0.10467737 -0.04174650 0.02044962 197501 -0.11363574 -0.07645153 0.10883999 197502 -0.07571976 0.01812169 0.03674259 197503 -0.13072553 0.00623149 0.05999037 197504 0.00011554 0.03558312 0.00210471 197505 -0.06664547 -0.01210685 -0.03234878 197506 0.02342978 0.02373394 -0.01805181 197507 -0.05962827 -0.02819902 -0.00983661 197508 -0.12755964 -0.12215161 -0.00842826 197509 -0.08967729 -0.05322922 -0.01923828 197510 -0.06496285 0.02543765 0.09125723 197511 0.00741821 0.02799526 0.03609542 197512 -0.02442816 -0.02146334 -0.00323456 197601 -0.06026915 -0.03545591 0.01755052 197602 -0.01850114 0.05062813 -0.04261414 197603 -0.01869402 0.00834891 -0.01655556 197604 -0.02836402 -0.04878687 -0.01947486 197605 -0.09014351 -0.08799559 -0.04169475 197606 -0.06495307 -0.02395872 -0.00622104 197607 -0.09137420 -0.05390076 -0.02753544 197608 -0.01515902 0.03138774 0.01783943 197609 -0.03775432 0.01739135 -0.01533322 197610 -0.08540869 -0.04496550 0.00439052 197611 -0.08199309 -0.02171245 -0.02341377 197612 -0.02603545 0.05541215 -0.01257718 197701 -0.06249116 -0.04514595 -0.03111569 197702 -0.00039971 0.03538227 -0.01063134 197703 -0.05633518 0.03156194 0.01106640 197704 -0.01072185 -0.00996349 -0.02957247 197705 -0.03332456 -0.01486819 0.01764153 197706 -0.00864341 0.01607481 0.02062001 197707 -0.04816932 -0.01434662 0.00105081 197708 -0.04412220 0.00462139 0.03122732 197709 -0.04748178 -0.02206055 0.01184949 197710 -0.03260695 -0.00235343 -0.01135630 197711 -0.01279571 0.02792530 0.00411296 197712 0.02084873 0.03478454 -0.00533581 197801 -0.04222258 -0.00710093 0.00576362 197802 -0.01929822 0.01239097 -0.00164297 197803 -0.01049430 0.00274672 0.01568233 197804 -0.00780383 0.01823995 0.03447846 197805 0.01785201 0.02097252 0.01246015 197806 0.01073519 0.01262310 0.00816507 197807 -0.04349239 -0.03681610 0.02739885 197808 0.02096417 0.03612548 -0.00124714 197809 -0.00570674 -0.01233423 -0.02601002 197810 -0.10828928 -0.10299497 0.04434662 197811 -0.07491575 -0.03165842 -0.03524500 197812 -0.03422058 0.03671039 0.00439879 197901 -0.01441439 0.02472947 -0.00997206 197902 -0.03296427 0.00693807 -0.02951648 197903 -0.04381288 0.02117060 -0.00618526 197904 0.00478602 0.05511989 0.01756117 197905 -0.08102735 -0.04684656 -0.02161642 197906 -0.01188102 0.02304644 -0.01745838 197907 0.02263928 0.06101773 -0.01690610 197908 0.01305124 0.03559798 0.01554346 197909 -0.07426784 -0.06433814 -0.01165099 197910 -0.15447257 -0.10424803 -0.00122565 197911 -0.03883258 0.00846505 -0.06874130 197912 -0.00920058 0.02554243 -0.01634542 198001 -0.05958447 -0.01995062 -0.00118280 198002 -0.09784091 -0.04281488 0.01681297 198003 -0.14193797 -0.08624620 0.03135061 198004 -0.05117316 -0.02923197 -0.01028562 198005 0.03284126 0.07908525 -0.00698730 198006 -0.01566887 0.00203821 0.01083281 198007 -0.03519602 -0.01766119 -0.00792257 198008 0.00723605 0.05237466 0.01137689 198009 -0.04758752 -0.01760437 0.01353462 198010 -0.01239088 0.03473481 0.02801081 198011 -0.02423500 0.00300066 0.02711584 198012 -0.05640115 -0.01384416 0.02796543 198101 -0.02295765 0.00382847 0.03993729 198102 -0.00759087 0.00052481 0.00206586 198103 -0.02136751 0.01287610 0.01536375 198104 -0.02811204 0.00984284 -0.01733653 198105 0.00737643 0.02851159 -0.02535517 198106 0.00168512 0.03013754 0.06057139 198107 -0.01763558 0.01030733 -0.01399180 198108 -0.07656454 -0.04403801 -0.00151579 198109 -0.15284117 -0.12043074 0.09453292 198110 -0.04560690 -0.00133990 -0.02318665 198111 -0.03155473 -0.01244691 0.06008077 198112 -0.02361177 0.02624983 0.00759270 198201 -0.06997491 -0.05862722 -0.02015572 198202 -0.12230408 -0.08193441 -0.01174033 198203 -0.03095186 0.00996939 0.04321288 198204 0.00482058 0.04424989 -0.02440709 198205 -0.00251925 -0.00844071 0.02937871 198206 -0.01228039 0.01935022 0.04982222 198207 0.01259251 0.01712201 -0.01620085 198208 -0.05756437 -0.03744684 -0.00479533 198209 -0.02624405 0.02409870 0.04229533 198210 -0.04193569 -0.00612287 -0.03734213 198211 -0.00449671 0.02781198 0.01039021 198212 0.00074071 0.02917276 -0.03160980 198301 -0.02969839 0.00113884 -0.05400334 198302 0.00850323 0.03890092 -0.03102775 198303 -0.04780716 -0.02712689 0.04124019 198304 -0.00442833 0.02499291 0.03768411 198305 -0.07841554 -0.04656628 0.01979461 198306 -0.00060507 0.05058745 0.00161806 198307 -0.04744861 -0.02527181 0.04651723 198308 -0.04144340 -0.01047879 0.04248757 198309 -0.02298211 0.02629236 0.01338540 198310 0.03345248 0.05935347 0.05601174 198311 0.01423521 0.05031220 -0.07239271 198312 -0.03348914 0.01430233 0.05041631 198401 -0.02523864 -0.00578668 0.06745702 198402 -0.04212508 -0.02778223 0.00870775 198403 -0.00978903 0.03006131 0.00486617 198404 -0.08441743 -0.04768477 0.00848320 198405 0.00697124 0.04583797 0.02408758 198406 -0.01612776 0.02456348 -0.00553726 198407 -0.02666257 0.01108190 0.01576677 198408 0.00195559 0.03273105 -0.02742872 198409 -0.01877108 0.01072251 0.02757599 198410 -0.02984971 -0.01162382 -0.00731473 198411 -0.00247202 0.00575262 0.01642862 198412 -0.03583779 -0.00345251 -0.00550148 198501 -0.00842383 0.01647614 -0.01576028 198502 -0.01047934 0.00567224 0.02532160 198503 0.00590567 0.00323412 0.04007483 198504 0.00999762 0.02939151 0.03801279 198505 0.00002201 0.02231235 -0.00774433 198506 -0.00496763 -0.00275295 0.00733651 198507 -0.02195187 0.02280637 -0.01779483 198508 0.02646643 0.03268333 0.02686818 198509 -0.01922848 -0.00932316 0.01096273 198510 -0.01873488 -0.01512617 0.05133601 198511 -0.00198920 0.02661202 0.00652371 198512 -0.01582624 0.02351662 -0.02018618 198601 -0.06552925 -0.03626618 0.01834367 198602 -0.00921279 0.01991605 0.00265464 198603 0.00795219 0.04409597 0.04138383 198604 0.02940447 0.02360488 -0.00457233 198605 0.00523409 0.01892851 0.02593823 198606 -0.07055883 -0.06597396 0.05798251 198607 -0.00224316 0.01820052 -0.01316594 198608 -0.02727706 0.01240982 -0.02813310 198609 -0.00465437 -0.02467579 0.04417669 198610 0.03935061 0.06205184 0.01676026 198611 0.01649946 0.02161415 -0.03107634 198612 0.01102618 0.03186131 -0.01192073 198701 -0.02906564 -0.00984161 -0.07341739 198702 0.00544025 0.02506565 -0.04335856 198703 -0.02364455 0.01648852 -0.00985237 198704 -0.12649836 -0.10953081 -0.03701776 198705 0.00526550 0.03078830 0.00951407 198706 0.00747036 0.05702725 0.02378235 198707 0.01872214 -0.02581607 0.01152099 198708 -0.00015518 0.01147200 -0.04692197 198709 -0.04195289 -0.05558642 0.00548224 198710 -0.46143022 -0.39279272 0.03540442 198711 -0.02511653 -0.07097799 -0.00970268 198712 -0.10545586 -0.02680588 0.00510210 198801 -0.11095032 -0.07603817 0.04403158 198802 -0.03342877 0.06249954 0.00340222 198803 -0.03042057 0.02695936 -0.01999528 198804 0.00875387 0.02879477 -0.02540826 198805 -0.06857078 -0.00175341 -0.00534737 198806 0.00674872 0.01923889 -0.00984275 198807 0.01685931 0.03216092 -0.00860539 198808 -0.02477803 0.02645057 0.03559253 198809 -0.02332725 0.00096807 0.01503447 198810 -0.04266262 0.00295870 0.02371407 198811 -0.06690996 -0.00935157 -0.00079888 198812 -0.02435304 0.00229764 -0.04437137 198901 0.01821545 0.07429225 -0.00253105 198902 -0.00257917 0.01260549 -0.00315509 198903 0.00023630 0.00627815 -0.00957560 198904 -0.02155465 -0.00376689 -0.01689219 198905 0.04316963 0.04773402 -0.03947445 198906 -0.00159906 0.00041441 0.07688385 198907 0.01780266 0.02434939 0.03476273 198908 -0.08469954 -0.05395651 0.00485453 198909 0.02803304 0.01565413 -0.04735992 198910 -0.15740087 -0.11334323 0.02588414 198911 -0.00958120 0.01618851 -0.02464571 198912 -0.02159079 0.00853953 0.02271479 199001 -0.02319098 -0.00560520 -0.03381150 199002 -0.00455879 0.02559047 -0.02992397 199003 -0.02216372 0.03482259 -0.02601628 199004 0.01049139 0.00959439 0.05788329 199005 0.01134870 0.00936069 -0.00631234 199006 0.00240171 -0.00351631 0.02640566 199007 -0.02548410 -0.01576692 0.05108192 199008 0.02497992 0.00277534 0.04550806 199009 -0.01568347 0.05691408 0.02006349 199010 0.05201193 0.04885036 -0.01340196 199011 0.02180158 0.00699987 -0.01205725 199012 -0.05574343 -0.03059535 -0.03357507 199101 0.03896199 0.02228786 -0.09368777 199102 -0.02117577 -0.03840248 -0.02036569 199103 -0.02611880 -0.02596738 -0.00504698 199104 0.00646514 0.04362607 0.01733852 199105 -0.00605746 0.00000624 -0.00883988 199106 0.04171325 0.04901772 0.02890272 199107 -0.00134881 0.00277703 0.01752819 199108 -0.01697014 -0.02156936 -0.01800622 199109 -0.01443778 0.01590167 0.01091772 199110 -0.02167411 0.01996916 0.02057336 199111 0.02613736 -0.00298392 0.04381260 199112 -0.05323512 -0.07396108 -0.05182236 199201 -0.06143215 -0.03844181 -0.06950411 199202 -0.03925570 0.01004122 -0.05088761 199203 -0.03850107 0.01722995 -0.00363603 199204 0.03362592 0.04558582 -0.00434155 199205 0.00129319 0.05018159 0.00252168 199206 0.06758835 0.00796520 0.02317403 199207 -0.03713605 -0.05249734 0.02357120 199208 -0.00577717 0.00346198 0.05003105 199209 0.01257838 0.03257315 -0.02288804 199210 -0.05945285 -0.05531572 -0.02121410 199211 0.00066856 0.03149540 -0.05875097 199212 0.00965986 0.02358106 -0.02856879 199301 0.00478333 0.03440114 -0.00214896 199302 -0.02510693 -0.00251058 0.06782499 199303 -0.03732509 -0.01035173 -0.04096191 199304 0.00301181 0.03129125 -0.01757492 199305 -0.01454372 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