The Pastor-Stambaugh Liquidity series includes ‘non-traded’ and ‘traded’ liquidity factors, with the latter series derived from dividing common stocks (in the CRSP monthly stocks file data) into 10 groups based on each stock’s sensitivity to the ‘non-traded’ liquidity innovation factor (as described in the paper).
The Sadka Liquidity measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.
In order to use this service, you must request an account. University of Texas at Austin faculty, Ph.D. students, and Master’s students may request an account by choosing the "register for a WRDS account" link via the web page linked above. Accounts will be activated within 48 business hours.