zerotrade6M · Liquidity · Liu (2006)

Days with zero trades

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.90%

95% interval 0.29% to 1.48%

Next year

0.92%

95% interval 0.30% to 1.48%

Next five years

0.96%

95% interval 0.33% to 1.51%

Next quarter

0.71%

95% interval −0.37% to 1.87%

Next year

0.84%

95% interval −0.19% to 1.89%

Next five years

1.23%

95% interval 0.27% to 2.06%

Next quarter

1.18%

95% interval 0.10% to 1.98%

Next year

1.20%

95% interval 0.22% to 1.96%

Next five years

1.26%

95% interval 0.48% to 1.94%

Next quarter

1.80%

95% interval 0.59% to 2.87%

Next year

1.87%

95% interval 0.73% to 2.87%

Next five years

2.07%

95% interval 1.06% to 2.92%

Cumulative market-adjusted return

+3,626% since 1926Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q4–2024Q4	4.27%	10.70%	0.40	3.95
2020Q1–2024Q4	−0.90%	16.23%	−0.06	−0.12
2024Q1–2024Q4	1.63%	11.11%	0.15	0.15
1926Q4–2024Q4	6.59%	13.33%	0.49	4.90
2020Q1–2024Q4	−5.68%	20.71%	−0.27	−0.61
2024Q1–2024Q4	−7.54%	10.34%	−0.73	−0.73
1926Q4–2024Q4	5.61%	13.45%	0.42	4.13
2020Q1–2024Q4	−3.26%	19.49%	−0.17	−0.37
2024Q1–2024Q4	−12.11%	16.39%	−0.74	−0.74
1926Q4–2024Q4	9.69%	14.95%	0.65	6.43
2020Q1–2024Q4	−1.19%	24.51%	−0.05	−0.11
2024Q1–2024Q4	−2.46%	15.83%	−0.16	−0.16

Horizon	Mean	95% interval	P(neg)
Next quarter	0.169	0.054 – 0.278	0.00
Next year	0.171	0.057 – 0.278	0.00
Next five years	0.179	0.062 – 0.282	0.00
Next quarter	0.106	−0.056 – 0.281	0.12
Next year	0.126	−0.029 – 0.284	0.06
Next five years	0.184	0.039 – 0.310	0.01
Next quarter	0.175	0.015 – 0.296	0.02
Next year	0.178	0.033 – 0.293	0.01
Next five years	0.187	0.072 – 0.289	0.00
Next quarter	0.242	0.080 – 0.385	0.00
Next year	0.251	0.097 – 0.385	0.00
Next five years	0.277	0.141 – 0.392	0.00