zerotrade1M · Liquidity · Liu (2006)

Days with zero trades

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.98%

95% interval 0.43% to 1.54%

Next year

0.98%

95% interval 0.39% to 1.55%

Next five years

0.97%

95% interval 0.28% to 1.61%

Next quarter

1.15%

95% interval 0.42% to 1.98%

Next year

1.21%

95% interval 0.44% to 2.01%

Next five years

1.40%

95% interval 0.49% to 2.21%

Next quarter

1.36%

95% interval 0.40% to 2.17%

Next year

1.37%

95% interval 0.48% to 2.16%

Next five years

1.41%

95% interval 0.63% to 2.15%

Next quarter

1.91%

95% interval 0.96% to 2.82%

Next year

1.95%

95% interval 1.01% to 2.82%

Next five years

2.07%

95% interval 1.12% to 2.90%

Cumulative market-adjusted return

+3,364% since 1927Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q1–2024Q4	4.32%	11.77%	0.37	3.64
2020Q1–2024Q4	2.72%	11.00%	0.25	0.55
2024Q1–2024Q4	8.10%	8.97%	0.90	0.90
1927Q1–2024Q4	6.84%	13.27%	0.52	5.10
2020Q1–2024Q4	−2.36%	16.83%	−0.14	−0.31
2024Q1–2024Q4	5.30%	4.61%	1.15	1.15
1927Q1–2024Q4	6.17%	14.59%	0.42	4.19
2020Q1–2024Q4	−2.12%	17.03%	−0.12	−0.28
2024Q1–2024Q4	−11.65%	13.69%	−0.85	−0.85
1927Q1–2024Q4	9.39%	14.84%	0.63	6.26
2020Q1–2024Q4	0.41%	21.21%	0.02	0.04
2024Q1–2024Q4	−1.71%	7.18%	−0.24	−0.24

Horizon	Mean	95% interval	P(neg)
Next quarter	0.167	0.073 – 0.262	0.00
Next year	0.167	0.067 – 0.265	0.00
Next five years	0.166	0.048 – 0.275	0.00
Next quarter	0.174	0.064 – 0.298	0.00
Next year	0.183	0.067 – 0.303	0.00
Next five years	0.211	0.074 – 0.333	0.00
Next quarter	0.186	0.055 – 0.298	0.01
Next year	0.188	0.065 – 0.296	0.00
Next five years	0.194	0.087 – 0.295	0.00
Next quarter	0.258	0.130 – 0.380	0.00
Next year	0.263	0.136 – 0.380	0.00
Next five years	0.279	0.150 – 0.391	0.00