Liquidity factor data updated through December 2023.

  • Click here to see the plot of the aggregate liquidity series. (Note: Out of sample, the series indicates large drops in liquidity during the 2007-2008 financial crisis as well as during the COVID-19 shock in March 2020.)
  • Click here to see how the liquidity factor has been priced out of sample.
  • Click here to see returns on decile portfolios sorted on historical liquidity betas.


Data from "Dissecting green returns," Journal of Financial Economics, 2022.


Data from "Fund tradeoffs," Journal of Financial Economics, 2020.