Data

Liquidity factor data updated through December 2020.

  • 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 "Fund tradeoffs," Journal of Financial Economics, 2020.