% LIQUIDITY FACTOR OF PASTOR AND STAMBAUGH (JPE 2003) UPDATED THROUGH DEC 2014 % % Column 1: Month % Column 2: Levels of aggregate liquidity (Figure 1; equation (5)) % Column 3: Innovations in aggregate 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 2014 it is similarly successful at creating a spread in post-ranking betas. The traded % factor has a positive and significant alpha through 2014, consistent with liquidity risk being priced. % % Month Agg Liq. (eq5) Innov Liq (eq8) Traded Liq (LIQ_V) 196208 -0.017582514 0.004369717 -99 196209 -0.004085483 0.013049508 -99 196210 -0.104229891 -0.07302198 -99 196211 -0.019620252 0.030370516 -99 196212 -0.005288012 0.01428791 -99 196301 -0.055790672 0.011295148 -99 196302 0.014402543 0.027179379 -99 196303 -0.023372166 -0.01910086 -99 196304 0.054126597 0.079539597 -99 196305 0.003541092 -0.012049787 -99 196306 0.009591518 0.00112776 -99 196307 0.014324982 0.021699515 -99 196308 0.033767399 0.03989382 -99 196309 -0.007538195 0.021176333 -99 196310 0.02680561 0.033780631 -99 196311 -0.053130346 -0.058893457 -99 196312 -0.020570904 0.015037958 -99 196401 -0.071359366 -0.053809474 -99 196402 -0.0247466 0.01455957 -99 196403 0.031386002 0.043146428 -99 196404 -0.04066383 -0.026520462 -99 196405 -0.025722419 -0.004852759 -99 196406 -0.056559794 -0.009246268 -99 196407 0.058182491 0.057634048 -99 196408 -0.048509276 -0.043403359 -99 196409 -0.008161616 0.014335716 -99 196410 0.012932947 0.039486833 -99 196411 0.014885003 -0.003058329 -99 196412 -0.02672873 -0.012278263 -99 196501 0.037920508 0.071593885 -99 196502 -0.016425606 0.022787926 -99 196503 0.033963327 0.018633714 -99 196504 0.022358717 0.041886379 -99 196505 -0.012941827 0.035068654 -99 196506 -0.163392854 -0.111628638 -99 196507 -0.08096848 -0.047633817 -99 196508 -0.034744624 0.073394395 -99 196509 0.026999793 0.062864064 -99 196510 0.006197337 -0.02423726 -99 196511 0.044465972 0.067953131 -99 196512 0.040876306 0.02494458 -99 196601 0.039968854 0.023273601 -99 196602 0.035016761 0.046739669 -99 196603 -0.066238824 -0.064216672 -99 196604 0.026812452 0.056303005 -99 196605 -0.121194404 -0.076905033 -99 196606 -0.053360838 -0.010892444 -99 196607 -0.032997534 0.008644063 -99 196608 -0.10665391 -0.085074676 -99 196609 -0.08781642 -0.043587442 -99 196610 -0.206519452 -0.083260861 -99 196611 -0.054098778 0.050154311 -99 196612 -0.023814897 0.045640432 -99 196701 -0.027405442 0.0124881 -99 196702 -0.07257262 0.015732657 -99 196703 -0.008628792 0.036167859 -99 196704 -0.001526762 0.020205721 -99 196705 0.01392071 0.025315405 -99 196706 -0.06197855 -0.047439232 -99 196707 -0.028372898 0.015454465 -99 196708 0.029069793 0.070754329 -99 196709 0.023541225 0.031139949 -99 196710 -0.030537222 -0.040562433 -99 196711 -0.030663795 -0.010120236 -99 196712 0.001591165 0.03500788 -99 196801 -0.021520523 0.003377682 -0.020730968 196802 -0.034595809 -0.017786353 0.021893099 196803 -0.116931838 -0.080931102 0.010261132 196804 0.022450908 0.089222232 0.009063504 196805 -0.020611245 0.010579341 -0.017026481 196806 0.008224888 0.034036851 -0.000337573 196807 -0.010495543 0.009255596 -0.036022655 196808 -0.020198654 -0.007247701 0.0056594 196809 -0.008706623 0.01568734 0.009775848 196810 0.006605193 0.027552838 -0.001356843 196811 -0.000225964 0.016840505 -0.009035536 196812 -0.028572054 -0.009430544 0.012288868 196901 -0.033784758 -0.006227108 0.022415343 196902 -0.025028028 0.01236188 0.05730402 196903 -0.022565304 0.007838573 -0.015186961 196904 -0.012528958 0.010300208 0.015200954 196905 0.011488125 0.04692637 0.008663908 196906 -0.047358946 -0.037871617 0.057603871 196907 -0.122444028 -0.090017276 0.03232117 196908 -0.087129504 -0.043677519 -0.012760972 196909 0.013156871 0.090504307 0.020723512 196910 -0.060644336 -0.025353709 -0.059202497 196911 0.016293009 0.041599532 0.031732891 196912 -0.019720936 -0.024037145 0.026402553 197001 -0.110173381 -0.066136005 0.02112288 197002 -0.081388086 -0.008780259 -0.054682738 197003 -0.138437526 -0.063319302 0.002420451 197004 -0.094261287 -0.02843063 0.040201197 197005 -0.240558562 -0.19596306 -0.077147995 197006 -0.187612336 -0.136577874 -0.033266361 197007 -0.013782635 0.064857525 -0.002497175 197008 -0.066604502 0.007929017 0.000257556 197009 -0.066822888 -0.013064864 -0.01664897 197010 0.096239916 0.097485365 -0.015394011 197011 -0.059825074 -0.045441965 -0.00483046 197012 -0.073008798 -0.013776503 0.048682921 197101 0.017755938 0.044013591 -0.046709163 197102 -0.064480661 -0.036446598 -0.011862921 197103 0.031698493 0.063681011 0.015863635 197104 -0.009982746 0.007375275 0.027683706 197105 -0.019406459 -0.025126596 0.011454419 197106 -0.044140681 -0.011130637 -0.029699577 197107 -0.101409812 -0.031876724 0.001183329 197108 -0.04506365 -0.006320622 0.027211918 197109 0.019807744 0.06158809 0.005094309 197110 -0.056367665 -0.011850215 0.040043327 197111 -0.091977306 -0.036281423 0.007584999 197112 0.00849982 0.048140394 -0.002679788 197201 -0.094112914 -0.080965191 -0.033743274 197202 -0.030595308 0.018493554 0.009939841 197203 -0.011371745 0.02532283 0.033091154 197204 -0.002956203 0.019062129 0.015085179 197205 -0.064446317 -0.042047697 -0.001481258 197206 0.006107311 0.004577729 0.013726388 197207 -0.08958325 -0.06620216 0.016229716 197208 0.014350504 0.023467481 -0.031049819 197209 -0.018951562 0.026895288 -0.014889735 197210 -0.039857779 -0.02237925 -0.015453609 197211 -0.016865767 -0.031199203 -0.007762048 197212 -0.073530578 -0.034443021 0.008821112 197301 -0.056352759 -0.026345049 -0.014858086 197302 -0.048319001 0.02746282 -0.01091379 197303 -0.030718751 -0.013497238 -0.012799924 197304 -0.040650607 -0.009478011 0.023191603 197305 -0.11566844 -0.063803498 -0.00294238 197306 -0.199889288 -0.163466754 -0.032431208 197307 -0.096582013 -0.008639371 0.002582805 197308 -0.097435637 -0.027935086 0.015779524 197309 -0.121543296 -0.000820661 0.017045213 197310 -0.053238019 0.023901007 -0.04302758 197311 -0.300163745 -0.237808204 -0.026586581 197312 -0.13413745 -0.08067028 -0.01694581 197401 -0.162189172 -0.069279226 0.101318032 197402 -0.120028221 -0.054714415 0.039670348 197403 -0.001286667 0.114093969 0.043549255 197404 -0.041920825 0.001053694 0.022131511 197405 -0.101753842 -0.082826784 0.061045419 197406 -0.069363139 -0.063844669 -0.007755686 197407 -0.231121871 -0.135459722 -0.00460426 197408 -0.101842067 -0.062730438 -0.031422272 197409 -0.110298281 -0.066968658 0.023200311 197410 -0.085646798 0.00703177 -0.073523006 197411 -0.083564545 0.033606284 -0.025351189 197412 -0.104666031 -0.042502112 0.019079861 197501 -0.113622803 -0.076058758 0.10827995 197502 -0.075727911 0.018544141 0.037053744 197503 -0.130484163 0.005586976 0.060094361 197504 7.97E-05 0.034443045 0.001324092 197505 -0.066735432 -0.011805811 -0.028674225 197506 0.023377436 0.025190698 -0.01416778 197507 -0.059402694 -0.026391691 -0.007415209 197508 -0.127523121 -0.120167118 -0.010687388 197509 -0.089978793 -0.052219063 -0.015319912 197510 -0.064972768 0.025481187 0.089329308 197511 0.007609221 0.027893178 0.03543367 197512 -0.024581841 -0.020222664 -0.000583791 197601 -0.060278465 -0.033185694 0.01834159 197602 -0.018513659 0.051976145 -0.041167573 197603 -0.018564972 0.008682427 -0.014990479 197604 -0.030321213 -0.048998801 -0.020685058 197605 -0.090128 -0.08679728 -0.039714108 197606 -0.064945927 -0.022205962 -0.00685273 197607 -0.091403456 -0.053644138 -0.027958705 197608 -0.01440666 0.032301872 0.016883907 197609 -0.037756972 0.018103986 -0.015789182 197610 -0.087291914 -0.043533317 0.005868334 197611 -0.081945316 -0.021607498 -0.025099939 197612 -0.025285674 0.055444904 -0.011312188 197701 -0.062479771 -0.044899862 -0.031305555 197702 -0.000435197 0.037313859 -0.010064777 197703 -0.056292351 0.032344746 0.010646436 197704 -0.01072424 -0.009282595 -0.027604596 197705 -0.03332807 -0.01308848 0.015943407 197706 -0.008645491 0.017870555 0.022449209 197707 -0.048158005 -0.012952941 0.001167172 197708 -0.0475812 0.006194455 0.030713639 197709 -0.047210173 -0.019074979 0.011497574 197710 -0.033288915 -0.001142194 -0.01304346 197711 -0.012713391 0.029249809 0.004861031 197712 0.019317685 0.034972536 -0.006193707 197801 -0.042218779 -0.005989336 0.005290181 197802 -0.019297252 0.01420979 -0.001978663 197803 -0.010491407 0.003864539 0.016379695 197804 -0.0078029 0.020167274 0.034562452 197805 0.018013515 0.02276946 0.011628716 197806 0.010747892 0.014774401 0.009079551 197807 -0.043481563 -0.03438786 0.027464859 197808 0.020908268 0.038308871 -0.001042025 197809 -0.005565764 -0.010754207 -0.026364863 197810 -0.108156643 -0.100085127 0.044412279 197811 -0.075025642 -0.029936015 -0.035608554 197812 -0.033950702 0.03698508 0.00197454 197901 -0.014406977 0.025153835 -0.009835082 197902 -0.03296287 0.008298918 -0.028181332 197903 -0.04378322 0.022568588 -0.005569935 197904 0.004782129 0.055718868 0.016530843 197905 -0.080995007 -0.045876625 -0.021702713 197906 -0.011874814 0.024856796 -0.016358543 197907 0.022647808 0.061565709 -0.015944995 197908 0.013034643 0.037199081 0.015613965 197909 -0.074245626 -0.062116548 -0.013033767 197910 -0.154441152 -0.102028877 0.002306348 197911 -0.038538297 0.008637448 -0.066105338 197912 -0.009221364 0.024979376 -0.017383095 198001 -0.059578401 -0.018501852 0.00089557 198002 -0.097828472 -0.041387648 0.01817804 198003 -0.141922484 -0.085786794 0.029781926 198004 -0.051168402 -0.029126037 -0.010888514 198005 0.032840945 0.079411553 -0.008177903 198006 -0.01566578 0.003040109 0.011048867 198007 -0.035191893 -0.015125764 -0.008407886 198008 0.007234324 0.053978663 0.012491962 198009 -0.047583092 -0.016622288 0.015072075 198010 -0.012388416 0.036671391 0.026773995 198011 -0.024230795 0.003710032 0.028132125 198012 -0.056394536 -0.01204082 0.027974165 198101 -0.02295443 0.004940729 0.039945278 198102 -0.007594046 0.001685342 0.000607384 198103 -0.021365687 0.01485616 0.017587569 198104 -0.028108019 0.011324833 -0.013760098 198105 0.007373008 0.029822865 -0.02082504 198106 0.001685314 0.031757868 0.057371684 198107 -0.017633577 0.012179278 -0.015741844 198108 -0.0765564 -0.042279807 -0.004098361 198109 -0.152823773 -0.119011272 0.094349929 198110 -0.045601712 -0.000664162 -0.02065542 198111 -0.031551135 -0.012821013 0.062938763 198112 -0.023608912 0.027986814 -0.00073682 198201 -0.069967468 -0.057728237 -0.021258595 198202 -0.122290156 -0.079995403 -0.012945841 198203 -0.03094834 0.010479749 0.041993687 198204 0.004820028 0.044372045 -0.023657884 198205 -0.002518959 -0.007007835 0.02927402 198206 -0.012278994 0.021930358 0.049721082 198207 0.012591081 0.018612005 -0.015766171 198208 -0.057557817 -0.035302517 -0.00530724 198209 -0.025629974 0.026086159 0.043580276 198210 -0.041616836 -0.00564848 -0.040512303 198211 -0.004942483 0.028994948 0.008891345 198212 0.000640026 0.030443692 -0.030748144 198301 -0.029697305 0.002954622 -0.054076718 198302 0.008460786 0.040542298 -0.030304071 198303 -0.047793006 -0.02575637 0.040400903 198304 -0.00434926 0.02707356 0.03818274 198305 -0.079089786 -0.046401437 0.020175932 198306 -0.000569103 0.052561586 0.000324873 198307 -0.048128193 -0.025924249 0.048484505 198308 -0.040697042 -0.007243694 0.043086275 198309 -0.023968962 0.026226724 0.011669056 198310 0.035982672 0.063144156 0.055823013 198311 0.014443808 0.051298332 -0.073641953 198312 -0.03257912 0.016562476 0.04896063 198401 -0.025235768 -0.00381429 0.066812216 198402 -0.042120287 -0.02623376 0.007606859 198403 -0.009820677 0.031759723 0.004704511 198404 -0.084359871 -0.046703221 0.008343428 198405 0.006224684 0.046611201 0.023845812 198406 -0.016115448 0.025298423 -0.004010062 198407 -0.025851919 0.013851857 0.017499924 198408 0.002582936 0.034399943 -0.027393686 198409 -0.017693605 0.012782759 0.025093085 198410 -0.031042883 -0.01160584 -0.005784124 198411 -0.002790881 0.007439664 0.015994611 198412 -0.03456874 -3.88E-05 -0.004252622 198501 -0.008422875 0.018940746 -0.018037667 198502 -0.014163286 0.007053479 0.028679288 198503 0.007210328 0.008650447 0.034412572 198504 0.009185502 0.03091293 0.036089881 198505 -0.000123605 0.02419513 -0.008777796 198506 -0.006800566 -0.000728641 0.004329084 198507 -0.01838076 0.026310156 -0.011624845 198508 0.028969314 0.038148602 0.026345253 198509 -0.022411428 -0.008938484 0.010978402 198510 -0.016608705 -0.009340652 0.049047925 198511 -0.002016276 0.027137379 0.004979427 198512 -0.011356579 0.029059636 -0.020272355 198601 -0.065521789 -0.031892447 0.020310596 198602 -0.009211296 0.021454109 0.000746023 198603 0.007951281 0.045014009 0.036785814 198604 0.02938251 0.025235492 -0.002574359 198605 0.004684973 0.021549937 0.022069214 198606 -0.069847688 -0.062621282 0.049948474 198607 -0.004261169 0.021026281 -0.012519464 198608 -0.026201335 0.013181291 -0.021968976 198609 -0.005347399 -0.024234489 0.045120117 198610 0.040146295 0.065296254 0.018103755 198611 0.016574595 0.023125257 -0.029526194 198612 0.01129851 0.034701299 -0.007154495 198701 -0.02906233 -0.007746584 -0.071797072 198702 0.005439631 0.027100546 -0.039791198 198703 -0.023641863 0.017991638 -0.017137196 198704 -0.126322684 -0.107905149 -0.040554407 198705 0.005895904 0.032510783 0.009954667 198706 0.008100339 0.057501642 0.026701148 198707 0.016391733 -0.028567176 0.004478087 198708 -0.002212639 0.015367868 -0.056095233 198709 -0.03012279 -0.039013073 0.002251011 198710 -0.461006635 -0.384112574 0.055070917 198711 -0.024268475 -0.070276792 -0.017544224 198712 -0.102085889 -0.026037037 0.001863272 198801 -0.11093769 -0.072920808 0.039317918 198802 -0.033424961 0.062811847 0.002018731 198803 -0.030570298 0.026132393 -0.021569006 198804 0.008880095 0.030208064 -0.023085767 198805 -0.06853687 -0.000146433 -0.003307423 198806 0.007002899 0.020284592 -0.012415975 198807 0.016833663 0.033300148 -0.011189013 198808 -0.025814135 0.027450345 0.034155783 198809 -0.022907456 0.003193617 0.014297748 198810 -0.043188866 0.004438892 0.026170001 198811 -0.065589906 -0.00657467 -0.001175243 198812 -0.024276894 0.002586534 -0.043138658 198901 0.018213379 0.07520381 -0.008327007 198902 -0.002578876 0.013599265 -0.001604314 198903 0.000236276 0.008680862 -0.014444824 198904 -0.021552196 -0.001708665 -0.018061819 198905 0.04316472 0.049636506 -0.035968907 198906 -0.003383504 0.002365899 0.068073552 198907 0.017373333 0.025780095 0.025000895 198908 -0.084886662 -0.052019348 0.008064465 198909 0.027785413 0.01750386 -0.050727625 198910 -0.157862003 -0.112248352 0.024568738 198911 -0.009830392 0.018036427 -0.019272052 198912 -0.021630182 0.008473493 0.022143731 199001 -0.023188345 -0.003624085 -0.036649133 199002 -0.004558274 0.027233968 -0.031401087 199003 -0.022161198 0.036252362 -0.025729537 199004 0.010490197 0.010748171 0.060966021 199005 0.01134741 0.011545822 -0.010024433 199006 0.002401438 -0.001077143 0.025880858 199007 -0.031723661 -0.013286053 0.052746136 199008 0.029455321 0.013263673 0.044896617 199009 -0.015681689 0.063287366 0.023601792 199010 0.053710324 0.049877744 -0.016002993 199011 0.030115084 0.016811964 -0.014972433 199012 -0.055580246 -0.031386918 -0.036438611 199101 0.038957556 0.022660545 -0.092496842 199102 -0.021173361 -0.036432596 -0.019065636 199103 -0.026115824 -0.022814304 -0.00565914 199104 0.006464405 0.04540682 0.021332493 199105 -0.005935594 0.001235594 -0.007937645 199106 0.041703164 0.051328782 0.028188804 199107 -0.001286557 0.004824663 0.016337539 199108 -0.016937894 -0.018806696 -0.016850326 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