BetaLiquidityPS · Liquidity · Pastor and Stambaugh (2003)

Pastor-Stambaugh liquidity beta

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.01%

95% interval −0.59% to 0.63%

Next year

0.03%

95% interval −0.60% to 0.66%

Next five years

0.06%

95% interval −0.67% to 0.78%

Next quarter

0.01%

95% interval −0.58% to 0.63%

Next year

0.03%

95% interval −0.60% to 0.66%

Next five years

0.07%

95% interval −0.66% to 0.78%

Next quarter

0.30%

95% interval −0.51% to 1.14%

Next year

0.32%

95% interval −0.56% to 1.20%

Next five years

0.36%

95% interval −0.74% to 1.43%

Next quarter

0.31%

95% interval −0.51% to 1.13%

Next year

0.32%

95% interval −0.56% to 1.19%

Next five years

0.37%

95% interval −0.73% to 1.42%

Cumulative market-adjusted return

−0.1% since 1963Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q1–2024Q4	0.51%	10.16%	0.05	0.39
2020Q1–2024Q4	−5.14%	9.38%	−0.55	−1.22
2024Q1–2024Q4	12.93%	12.82%	1.01	1.01
1963Q1–2024Q4	0.51%	10.16%	0.05	0.39
2020Q1–2024Q4	−5.14%	9.38%	−0.55	−1.22
2024Q1–2024Q4	12.93%	12.82%	1.01	1.01
1963Q1–2024Q4	2.16%	14.17%	0.15	1.19
2020Q1–2024Q4	−4.68%	13.83%	−0.34	−0.76
2024Q1–2024Q4	23.71%	12.72%	1.86	1.86
1963Q1–2024Q4	2.16%	14.17%	0.15	1.19
2020Q1–2024Q4	−4.68%	13.83%	−0.34	−0.76
2024Q1–2024Q4	23.71%	12.72%	1.86	1.86

Horizon	Mean	95% interval	P(neg)
Next quarter	0.003	−0.116 – 0.124	0.49
Next year	0.005	−0.119 – 0.130	0.47
Next five years	0.013	−0.132 – 0.153	0.43
Next quarter	0.003	−0.115 – 0.125	0.49
Next year	0.005	−0.118 – 0.130	0.47
Next five years	0.013	−0.130 – 0.153	0.43
Next quarter	0.043	−0.073 – 0.162	0.23
Next year	0.045	−0.079 – 0.170	0.24
Next five years	0.051	−0.104 – 0.202	0.25
Next quarter	0.044	−0.072 – 0.160	0.23
Next year	0.046	−0.079 – 0.169	0.23
Next five years	0.052	−0.103 – 0.199	0.24