ZeroTrade1M
Zero-Trade Days (1M) — Liu 2006
Liquidity
Quick facts
| Factor ID | ZeroTrade1M |
| Display name | Zero-Trade Days (1M) |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Liu 2006 |
| Source tables | daily |
| Required fields | vol |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,541 rows · 99.2% of panel |
Formula
count(vol==0 over t-21..t-1)
Number of zero-volume trading days in the prior month.
China adaptation
A-share suspensions produce zero-volume days that are economically distinct from thin trading.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | -0.0129% |
| Monthly std | 0.8027% |
| Annualized Sharpe | -0.06 |
| t-stat (simple) | -0.23 |
| Hit rate (months > 0) | 50.3% |
| Last 12M compounded | -0.02% |
| Cumulative wealth (start = 1) | 0.969 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.02% | 0.959 | 5129 |
| 2025-06 | -0.19% | 0.958 | 5140 |
| 2025-07 | +0.16% | 0.959 | 5143 |
| 2025-08 | +0.77% | 0.966 | 5147 |
| 2025-09 | +0.23% | 0.969 | 5150 |
| 2025-10 | +0.19% | 0.970 | 5154 |
| 2025-11 | +0.92% | 0.979 | 5162 |
| 2025-12 | -0.41% | 0.975 | 5168 |
| 2026-01 | +0.61% | 0.981 | 5179 |
| 2026-02 | -0.98% | 0.972 | 5180 |
| 2026-03 | -2.40% | 0.948 | 5187 |
| 2026-04 | +2.19% | 0.969 | 5175 |
Known data issues
A-share zero-volume days are dominated by regulatory suspensions rather than genuine thin trading. The illiquidity premium is absent because suspended stocks do not carry the same information asymmetry as thinly traded US stocks.
Notes
In A-shares zero-volume days are dominated by suspensions rather than thin trading.
See also: Liquidity family, Factor library, Factor returns.