ZeroTrade12M
Zero-Trade Days (12M) — Liu 2006
Liquidity
Quick facts
| Factor ID | ZeroTrade12M |
| Display name | Zero-Trade Days (12M) |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Liu 2006 |
| Source tables | daily |
| Required fields | vol |
| PIT required | no |
| Coverage | 2011-01-24 – 2026-05-15 · 617,718 rows · 90.2% of panel |
Formula
count(vol==0 over t-252..t-1)
Number of zero-volume trading days in the prior twelve months.
China adaptation
Same as ZeroTrade1M but over a full year.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | -0.0669% |
| Monthly std | 0.7205% |
| Annualized Sharpe | -0.32 |
| t-stat (simple) | -1.26 |
| Hit rate (months > 0) | 48.9% |
| Last 12M compounded | -0.11% |
| Cumulative wealth (start = 1) | 0.880 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -0.33% | 0.878 | 5046 |
| 2025-06 | +1.24% | 0.889 | 5055 |
| 2025-07 | +0.38% | 0.892 | 5057 |
| 2025-08 | -0.19% | 0.891 | 5062 |
| 2025-09 | -0.30% | 0.888 | 5069 |
| 2025-10 | +0.84% | 0.895 | 5075 |
| 2025-11 | +0.77% | 0.902 | 5081 |
| 2025-12 | -0.99% | 0.893 | 5088 |
| 2026-01 | -0.20% | 0.891 | 5095 |
| 2026-02 | +0.14% | 0.893 | 5099 |
| 2026-03 | -1.29% | 0.881 | 5105 |
| 2026-04 | -0.14% | 0.880 | 5101 |
Known data issues
Same as ZeroTrade1M — suspension-driven zeros dominate.
Notes
None recorded.
See also: Liquidity family, Factor library, Factor returns.