zerotrade12M · Liquidity · Liu (2006)

Days with zero trades

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.83%

95% interval 0.21% to 1.43%

Next year

0.85%

95% interval 0.23% to 1.42%

Next five years

0.89%

95% interval 0.27% to 1.45%

Next quarter

0.83%

95% interval −0.21% to 1.92%

Next year

0.94%

95% interval −0.07% to 1.93%

Next five years

1.25%

95% interval 0.29% to 2.07%

Next quarter

1.22%

95% interval 0.08% to 2.06%

Next year

1.25%

95% interval 0.22% to 2.05%

Next five years

1.33%

95% interval 0.52% to 2.04%

Next quarter

1.82%

95% interval 0.78% to 2.79%

Next year

1.87%

95% interval 0.86% to 2.78%

Next five years

2.01%

95% interval 1.05% to 2.84%

Cumulative market-adjusted return

+2,797% since 1927Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q2–2024Q4	4.02%	10.58%	0.38	3.75
2020Q1–2024Q4	−1.59%	17.28%	−0.09	−0.21
2024Q1–2024Q4	4.39%	11.49%	0.38	0.38
1927Q2–2024Q4	6.38%	13.73%	0.46	4.59
2020Q1–2024Q4	−5.71%	19.74%	−0.29	−0.65
2024Q1–2024Q4	−4.98%	9.15%	−0.54	−0.54
1927Q2–2024Q4	5.98%	13.61%	0.44	4.34
2020Q1–2024Q4	−2.75%	19.52%	−0.14	−0.32
2024Q1–2024Q4	−10.74%	14.34%	−0.75	−0.75
1927Q2–2024Q4	9.13%	15.04%	0.61	6.00
2020Q1–2024Q4	−2.15%	24.33%	−0.09	−0.20
2024Q1–2024Q4	4.10%	15.33%	0.27	0.27

Horizon	Mean	95% interval	P(neg)
Next quarter	0.157	0.040 – 0.269	0.00
Next year	0.160	0.044 – 0.269	0.00
Next five years	0.168	0.051 – 0.274	0.00
Next quarter	0.121	−0.031 – 0.280	0.07
Next year	0.137	−0.010 – 0.281	0.04
Next five years	0.182	0.043 – 0.302	0.01
Next quarter	0.179	0.012 – 0.303	0.02
Next year	0.183	0.032 – 0.301	0.01
Next five years	0.196	0.076 – 0.300	0.00
Next quarter	0.243	0.104 – 0.370	0.00
Next year	0.249	0.114 – 0.370	0.00
Next five years	0.267	0.139 – 0.378	0.00