ZeroTrade6M
Zero-Trade Days (6M) — Liu 2006
Liquidity
Quick facts
| Factor ID | ZeroTrade6M |
| Display name | Zero-Trade Days (6M) |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Liu 2006 |
| Source tables | daily |
| Required fields | vol |
| PIT required | no |
| Coverage | 2010-07-15 – 2026-05-15 · 651,398 rows · 95.1% of panel |
Formula
count(vol==0 over t-126..t-1)
Number of zero-volume trading days in the prior six months.
China adaptation
Same as ZeroTrade1M but over a longer window.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 190 |
| Monthly mean | -0.0152% |
| Monthly std | 0.7540% |
| Annualized Sharpe | -0.07 |
| t-stat (simple) | -0.28 |
| Hit rate (months > 0) | 49.5% |
| Last 12M compounded | 0.07% |
| Cumulative wealth (start = 1) | 0.966 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.55% | 0.971 | 5084 |
| 2025-06 | -1.27% | 0.958 | 5097 |
| 2025-07 | -0.44% | 0.954 | 5105 |
| 2025-08 | +0.83% | 0.962 | 5106 |
| 2025-09 | +0.81% | 0.970 | 5119 |
| 2025-10 | -0.33% | 0.967 | 5128 |
| 2025-11 | +0.80% | 0.975 | 5130 |
| 2025-12 | +0.29% | 0.977 | 5138 |
| 2026-01 | -0.27% | 0.975 | 5140 |
| 2026-02 | -0.70% | 0.968 | 5143 |
| 2026-03 | +0.88% | 0.976 | 5145 |
| 2026-04 | -1.03% | 0.966 | 5136 |
Known data issues
Same as ZeroTrade1M — suspension-driven zeros dominate.
Notes
None recorded.
See also: Liquidity family, Factor library, Factor returns.