% LIQUIDITY FACTORS OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2025 % 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 2025 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2025, consistent with liquidity risk being priced. % % Month Agg Liq. Innov Liq (eq8) Traded Liq (LIQ_V) 196208 -0.01753789 0.00425841 -99 196209 -0.00415731 0.01112344 -99 196210 -0.10412209 -0.07388795 -99 196211 -0.01824947 0.02812444 -99 196212 -0.00509050 0.01495171 -99 196301 -0.05642739 0.00941523 -99 196302 0.01185297 0.02178415 -99 196303 -0.02395734 -0.01969161 -99 196304 0.05562412 0.07847414 -99 196305 0.00354064 -0.00906589 -99 196306 0.00938516 -0.00267686 -99 196307 0.01587546 0.02159807 -99 196308 0.03380066 0.03688214 -99 196309 -0.00752384 0.01933947 -99 196310 0.02808224 0.03170314 -99 196311 -0.05313499 -0.05939643 -99 196312 -0.02023270 0.01140819 -99 196401 -0.07113593 -0.05404823 -99 196402 -0.02474991 0.01105828 -99 196403 0.03396787 0.04679998 -99 196404 -0.04026889 -0.02680916 -99 196405 -0.02572298 -0.00843588 -99 196406 -0.05645846 -0.01051378 -99 196407 0.05873522 0.05557532 -99 196408 -0.04930573 -0.04355568 -99 196409 -0.00816300 0.00871626 -99 196410 0.01277831 0.03905382 -99 196411 0.01488699 -0.00308632 -99 196412 -0.02673156 -0.01476794 -99 196501 0.03792251 0.06907628 -99 196502 -0.01642620 0.02327839 -99 196503 0.03436055 0.01699815 -99 196504 0.02236666 0.04134488 -99 196505 -0.01294343 0.03363387 -99 196506 -0.16337374 -0.11288011 -99 196507 -0.08128503 -0.05257815 -99 196508 -0.03474532 0.07384417 -99 196509 0.02698768 0.06445738 -99 196510 0.00619744 -0.02450848 -99 196511 0.04540888 0.06600396 -99 196512 0.04088016 0.02533187 -99 196601 0.03811289 0.01707468 -99 196602 0.03501151 0.04360995 -99 196603 -0.06624408 -0.06554850 -99 196604 0.02545024 0.05177691 -99 196605 -0.12156914 -0.07677926 -99 196606 -0.05336881 -0.01609734 -99 196607 -0.03300108 0.00885982 -99 196608 -0.10666724 -0.08628354 -99 196609 -0.08782702 -0.04752141 -99 196610 -0.20655655 -0.08432203 -99 196611 -0.05460822 0.04700143 -99 196612 -0.02167761 0.04846665 -99 196701 -0.02730605 0.01293472 -99 196702 -0.07258044 0.01432923 -99 196703 -0.00863020 0.03530452 -99 196704 -0.00152601 0.02026335 -99 196705 0.01392218 0.02362685 -99 196706 -0.06196398 -0.04872730 -99 196707 -0.02843717 0.01175350 -99 196708 0.02907322 0.07046546 -99 196709 0.02354400 0.03128358 -99 196710 -0.03057043 -0.04273159 -99 196711 -0.03066821 -0.01380812 -99 196712 0.00158985 0.03347359 -99 196801 -0.02152292 0.00277601 -0.02725374 196802 -0.04012737 -0.02540306 0.02387298 196803 -0.11694720 -0.08725577 0.00783476 196804 0.02245336 0.08557644 0.00450124 196805 -0.02061336 0.01335513 -0.01657204 196806 0.00827881 0.03147734 -0.00481875 196807 -0.01049552 0.00883564 -0.03370015 196808 -0.02020000 -0.00938142 0.00620141 196809 -0.00869260 0.01361618 0.01302535 196810 0.00662270 0.02631525 -0.00030881 196811 -0.00021616 0.01553122 -0.00533361 196812 -0.02857451 -0.01126491 0.01128683 196901 -0.03378827 -0.00855144 0.02437267 196902 -0.02503146 0.01071191 0.05609802 196903 -0.02243807 0.00680963 -0.02095685 196904 -0.01268436 0.00891276 0.00818278 196905 0.01167229 0.04560715 0.01182251 196906 -0.04760217 -0.03880222 0.05770140 196907 -0.12262557 -0.09391598 0.03421764 196908 -0.08788926 -0.04776415 -0.01483182 196909 0.01326210 0.09007984 0.01180608 196910 -0.06028536 -0.02290642 -0.05502000 196911 0.01656767 0.03817769 0.02940307 196912 -0.01985064 -0.02401808 0.02159208 197001 -0.11004578 -0.07056516 0.02091910 197002 -0.08134631 -0.01198773 -0.06326719 197003 -0.13943247 -0.06301844 0.00313357 197004 -0.09404720 -0.02770165 0.04374087 197005 -0.24058962 -0.19541433 -0.08160192 197006 -0.18763661 -0.14255644 -0.02973870 197007 -0.01379302 0.06382024 -0.00053293 197008 -0.06668942 0.01075939 -0.00036914 197009 -0.06687686 -0.01518667 -0.01589989 197010 0.09626963 0.09642307 -0.01705225 197011 -0.05985777 -0.04406559 -0.00300729 197012 -0.07305925 -0.01921523 0.04879788 197101 0.01775738 0.04334929 -0.05336803 197102 -0.06448738 -0.03632252 -0.02201064 197103 0.03170202 0.06007194 0.01530460 197104 -0.00994426 0.00843583 0.02560520 197105 -0.01747033 -0.02575965 0.00818005 197106 -0.04414689 -0.01236814 -0.03594836 197107 -0.10143692 -0.03375357 0.00194722 197108 -0.04506738 -0.00823844 0.02514275 197109 0.01981043 0.06111170 0.00725001 197110 -0.05636502 -0.01162682 0.04217397 197111 -0.09198452 -0.03919008 0.00379761 197112 0.00849975 0.04639057 0.00063541 197201 -0.09412327 -0.08016783 -0.03165405 197202 -0.03059229 0.01361054 0.01305736 197203 -0.01137194 0.02590858 0.04358142 197204 -0.00296181 0.01784912 0.01318491 197205 -0.06445105 -0.04371539 0.00285359 197206 0.00610678 0.00135076 0.01522601 197207 -0.08955118 -0.06715545 0.00345166 197208 0.01516739 0.01972162 -0.03811519 197209 -0.01895513 0.02765723 -0.01763365 197210 -0.03729688 -0.02429956 -0.02682961 197211 -0.01693803 -0.03248441 -0.00271402 197212 -0.07355433 -0.03677899 0.01256418 197301 -0.05781597 -0.02885299 -0.01537384 197302 -0.04848609 0.02639260 -0.00968023 197303 -0.02981713 -0.01234340 -0.01262037 197304 -0.04049673 -0.01377473 0.02396101 197305 -0.11534524 -0.06584186 -0.00250674 197306 -0.20033396 -0.16704995 -0.03279152 197307 -0.09612574 -0.01255388 0.00209132 197308 -0.09688873 -0.02452639 0.01626121 197309 -0.12374833 -0.00369548 0.01614033 197310 -0.05408868 0.02394273 -0.04158776 197311 -0.31161667 -0.24446654 -0.02700703 197312 -0.13158119 -0.09117083 -0.01678583 197401 -0.16222720 -0.06862406 0.10003954 197402 -0.12088687 -0.05727756 0.03842331 197403 -0.00128861 0.11306718 0.04638777 197404 -0.04192198 0.00435129 0.02470078 197405 -0.10176213 -0.08557808 0.05899909 197406 -0.06932317 -0.06728401 -0.00833562 197407 -0.23112680 -0.13741161 -0.00878758 197408 -0.10245791 -0.06685314 -0.03188770 197409 -0.11024509 -0.06634915 0.02138904 197410 -0.08558988 0.00466818 -0.07730951 197411 -0.08357197 0.03403166 -0.02264659 197412 -0.10501184 -0.04211269 0.01489029 197501 -0.11363304 -0.07821616 0.10976251 197502 -0.07571792 0.01623686 0.03499710 197503 -0.13072618 0.00614601 0.06108324 197504 -0.00006113 0.03409114 0.00043326 197505 -0.06664295 -0.01093392 -0.03311745 197506 0.02342892 0.02254493 -0.01986401 197507 -0.05962913 -0.02695871 -0.00811703 197508 -0.12755959 -0.12348514 -0.00868076 197509 -0.08962069 -0.05607044 -0.01823398 197510 -0.06301793 0.02443988 0.09022603 197511 0.00742798 0.02586179 0.03834046 197512 -0.02442823 -0.02109105 -0.00272206 197601 -0.06023961 -0.03606710 0.01794455 197602 -0.01924537 0.05301211 -0.04174809 197603 -0.01869400 0.00927455 -0.01820854 197604 -0.02011328 -0.03566353 -0.01956240 197605 -0.09060680 -0.08033670 -0.04101378 197606 -0.06467719 -0.02551086 -0.00525381 197607 -0.09339624 -0.05275649 -0.02909312 197608 -0.01602767 0.02794463 0.01859199 197609 -0.05769310 0.00369029 -0.01632100 197610 -0.08626924 -0.03865046 0.00456528 197611 -0.07746049 -0.02005604 -0.02211375 197612 -0.02567970 0.05372852 -0.01317446 197701 -0.06248761 -0.04469347 -0.03013849 197702 -0.00041356 0.03390502 -0.01092329 197703 -0.05633369 0.03260058 0.01184224 197704 -0.01032901 -0.00883858 -0.02500654 197705 -0.03332118 -0.01420621 0.01711153 197706 -0.00864477 0.01557654 0.02131602 197707 -0.04797844 -0.01357351 0.00144966 197708 -0.04286200 0.00418159 0.03236101 197709 -0.04744495 -0.02160316 0.00955317 197710 -0.03264378 -0.00299758 -0.01171720 197711 -0.01413313 0.02537035 0.00264034 197712 0.02184360 0.03700739 -0.00462444 197801 -0.04222161 -0.00745734 0.00636645 197802 -0.01929964 0.01119200 0.00270727 197803 -0.01023073 0.00305676 0.01500502 197804 -0.00805639 0.01760854 0.02308472 197805 0.01783673 0.02102591 0.01600690 197806 0.01073975 0.01332505 0.00999950 197807 -0.04356201 -0.03670640 0.02569966 197808 0.02052930 0.03465909 -0.00140460 197809 -0.00565282 -0.01110552 -0.02920765 197810 -0.10691945 -0.10188948 0.04567036 197811 -0.07501652 -0.03542851 -0.02900266 197812 -0.03418043 0.03568307 -0.00453097 197901 -0.01440727 0.02706821 -0.01087817 197902 -0.03296980 0.00765570 -0.02345606 197903 -0.04423462 0.01975332 -0.00203792 197904 0.00478472 0.05502433 0.02216162 197905 -0.08097956 -0.04561946 -0.01406950 197906 -0.01187941 0.02127492 -0.01214278 197907 0.02264797 0.06271329 -0.01906363 197908 0.01305040 0.03691428 0.00586222 197909 -0.07359716 -0.06388385 0.00130524 197910 -0.15447308 -0.10704909 -0.00706412 197911 -0.03883441 0.00543371 -0.07403055 197912 -0.00891616 0.02607975 -0.01040247 198001 -0.06313817 -0.01949866 0.00100541 198002 -0.09729581 -0.04539253 0.01627368 198003 -0.14217057 -0.08757214 0.02994381 198004 -0.05118416 -0.03178045 -0.01623630 198005 0.03280189 0.07870487 -0.00393587 198006 -0.01566810 0.00378214 0.01371114 198007 -0.03519421 -0.01808971 -0.00917213 198008 0.00723644 0.05195176 0.01656570 198009 -0.04756753 -0.01648384 0.01804179 198010 -0.01238973 0.03378589 0.02657372 198011 -0.02429895 0.00134727 0.02653416 198012 -0.05639731 -0.01806163 0.01939291 198101 -0.02291504 0.00169444 0.03327909 198102 -0.00754928 0.00061179 0.00090160 198103 -0.02147489 0.01293751 0.02090940 198104 -0.02817511 0.00977441 -0.02119140 198105 0.00737477 0.02839085 -0.02298277 198106 0.00135700 0.03066047 0.05604918 198107 -0.01763217 0.01076856 -0.02038374 198108 -0.07666692 -0.04412805 -0.00098809 198109 -0.15284600 -0.12177768 0.09810113 198110 -0.04551140 -0.00442765 -0.04948534 198111 -0.03166738 -0.01213462 0.06519300 198112 -0.02358742 0.02391481 -0.00330438 198201 -0.06997618 -0.05556571 -0.02018509 198202 -0.12233288 -0.08332503 -0.01215763 198203 -0.03094939 0.00807643 0.04154777 198204 0.00500120 0.04369277 -0.02995132 198205 -0.00224146 -0.00717264 0.02966996 198206 -0.01252347 0.01958767 0.04776314 198207 0.01257093 0.01761608 -0.01648322 198208 -0.05831918 -0.03747059 -0.00598873 198209 -0.02623736 0.02271662 0.04137366 198210 -0.04187155 -0.00555004 -0.03943777 198211 -0.00572726 0.02543839 0.01210727 198212 0.00379786 0.03914617 -0.03364760 198301 -0.02963851 0.00520623 -0.05447119 198302 0.00812226 0.03859901 -0.03265981 198303 -0.04961278 -0.02785344 0.04196209 198304 -0.00461908 0.02455770 0.03604726 198305 -0.07688049 -0.04803618 0.01854094 198306 -0.00384776 0.04415118 -0.00080960 198307 -0.04841123 -0.02401982 0.04285284 198308 -0.04242583 -0.01143774 0.04648331 198309 -0.02261566 0.02611671 0.00721436 198310 0.03644112 0.06091725 0.05816067 198311 0.01370513 0.04986462 -0.06886543 198312 -0.03522105 0.01238093 0.05144194 198401 -0.02519692 -0.00721478 0.06132256 198402 -0.04231888 -0.02804698 0.00893417 198403 -0.00982183 0.02931887 0.00765951 198404 -0.08444467 -0.04701569 -0.00146363 198405 0.00682961 0.04395005 0.02611593 198406 -0.01600858 0.02614927 -0.00361177 198407 -0.02663482 0.01108539 0.01588913 198408 0.00230374 0.03313032 -0.03330146 198409 -0.01898911 0.01152923 0.02693650 198410 -0.02988379 -0.01151368 -0.01134402 198411 -0.00231840 0.00565695 0.01802403 198412 -0.03602581 -0.00331403 0.00246035 198501 -0.00765290 0.01619212 -0.01782297 198502 -0.01410505 0.00658756 0.02936636 198503 0.00720014 0.00670880 0.03405048 198504 0.00901303 0.02816703 0.03553141 198505 -0.00013452 0.02244757 -0.00844015 198506 -0.00484939 -0.00175553 0.00562177 198507 -0.01871951 0.02260707 -0.01180150 198508 0.02621661 0.03407842 0.02611030 198509 -0.02130767 -0.00799510 0.01286013 198510 -0.01880363 -0.01414660 0.04678209 198511 -0.00212306 0.02468008 0.00528381 198512 -0.01957930 0.00155745 -0.02039082 198601 -0.06592524 -0.04325419 0.01431808 198602 -0.00938557 0.01854145 0.00243202 198603 0.00790680 0.04488095 0.04043431 198604 0.02936804 0.02434735 -0.00824375 198605 0.00463478 0.01912123 0.01746769 198606 -0.06951066 -0.06428337 0.05209829 198607 -0.00237085 0.01694161 -0.00953660 198608 -0.02734152 0.01327046 -0.02342888 198609 -0.00467005 -0.02488018 0.04162510 198610 0.03981759 0.06280832 0.01202620 198611 0.01677911 0.02381070 -0.03058675 198612 0.01125900 0.03543939 -0.00535338 198701 -0.02911564 -0.00865155 -0.07048133 198702 0.00529232 0.02440038 -0.02557195 198703 -0.02342583 0.01736261 -0.00561796 198704 -0.12648759 -0.10958961 -0.02438669 198705 0.00277618 0.02810016 0.00726190 198706 0.00755713 0.05751319 0.01543611 198707 0.01890020 -0.02512554 0.02398888 198708 0.00082182 0.01241978 -0.02999547 198709 -0.04093002 -0.05472642 0.01534270 198710 -0.46169417 -0.39474466 0.01676061 198711 -0.02580478 -0.08326671 -0.00868214 198712 -0.10552490 -0.02467329 0.00668359 198801 -0.11084856 -0.07796180 0.04206837 198802 -0.03346945 0.06059561 0.00247786 198803 -0.03026995 0.02801820 -0.02090480 198804 0.00880462 0.02874981 -0.02141079 198805 -0.06878537 -0.00120563 -0.01060843 198806 0.00663280 0.01770456 -0.01002156 198807 0.01719523 0.03318242 -0.01293205 198808 -0.02463327 0.02717790 0.03227775 198809 -0.02331615 0.00034134 0.01381571 198810 -0.04239610 0.00325246 0.02442312 198811 -0.06796251 -0.00979093 0.00382416 198812 -0.02451366 0.00091409 -0.04450392 198901 0.01841251 0.07455944 -0.00576786 198902 -0.00261042 0.01388458 -0.00210380 198903 0.00049263 0.00652014 -0.01066712 198904 -0.02148434 -0.00349584 -0.01692185 198905 0.04336612 0.04761388 -0.04002686 198906 -0.00150128 0.00195632 0.07760897 198907 0.01777779 0.02403404 0.03296662 198908 -0.08467307 -0.05310543 0.00435347 198909 0.02820585 0.01484912 -0.04468798 198910 -0.15736335 -0.11141897 0.02538577 198911 -0.00973287 0.01214795 -0.02472614 198912 -0.02133141 0.01042408 0.02146244 199001 -0.02308625 -0.00582111 -0.05490276 199002 -0.00493503 0.02582296 -0.04366024 199003 -0.02227662 0.03553753 -0.01047738 199004 0.00903189 0.00841991 0.05493463 199005 0.01200079 0.01104623 0.00385441 199006 0.00178130 -0.00379657 0.03937438 199007 -0.02635509 -0.01649034 0.05012009 199008 0.02431449 0.00220998 0.05460016 199009 -0.01567902 0.05742383 0.03800788 199010 0.05201230 0.04930672 0.01678617 199011 0.02328538 0.00857068 0.00433790 199012 -0.05090714 -0.02626434 -0.01977452 199101 0.03895870 0.02406355 -0.09666328 199102 -0.02117392 -0.03698305 -0.01971310 199103 -0.02611882 -0.02691389 -0.00658552 199104 0.00646248 0.04334754 0.01680051 199105 -0.00497130 0.00099001 -0.01010905 199106 0.04170888 0.04940591 0.02941998 199107 -0.00135246 0.00423715 0.01245250 199108 -0.01695278 -0.02171223 -0.01616565 199109 -0.01442613 0.01562950 0.01128677 199110 -0.02169486 0.02023036 0.01980389 199111 0.02616296 -0.00284921 0.04221521 199112 -0.05322325 -0.07335422 -0.05000757 199201 -0.06539803 -0.04453109 -0.07457946 199202 -0.03882485 0.01108780 -0.04985735 199203 -0.03465565 0.02188919 -0.00479757 199204 0.03515199 0.04552894 -0.00489199 199205 0.00282330 0.05335237 0.00124407 199206 0.07344082 0.01391817 0.02485120 199207 -0.05007397 -0.05383138 0.02353420 199208 -0.00621409 -0.00541282 0.04941239 199209 0.01438352 0.03322946 -0.02205370 199210 -0.05938596 -0.05362167 -0.02261128 199211 0.00064737 0.02993699 -0.05800390 199212 0.00917333 0.02459487 -0.02896337 199301 0.01066734 0.04036970 -0.01195302 199302 -0.03036431 -0.00961736 0.04968702 199303 -0.03524591 -0.00788312 -0.04252483 199304 0.00905223 0.03738092 -0.01497970 199305 -0.01625854 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