Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, 1993). The Fama-French data source is Kenneth French’s web site at Dartmouth.
The Pastor-Stambaugh Liquidity series are described by L. Pastor and R. F. Stambaugh in “Liquidity risk and expected stock returns” (2003, Journal of Political Economy 111, 642-685). This set 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 described in R. Sadka in “Momentum and Post-Earnings- Announcement Drift Anomailes: The Role of Liquidity Risk” (Journal of Financial Economics 80, 309-349). The measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.
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