Table 1 Average returns, book-to-market portfolios. Ten portfolios are formed using book-to-market data at the end of April for each year in the 33-year period between 1968 through 2000 for all AMEX and NYSE stocks identified on CRSP, following the methodology detailed in Lakonishok et al. (1994). For each year, returns are extracted for the subsequent 60-month period. Annual return is then calculated using these monthly returns for May through April of each of the five post-portfolio formation years. If a stocks monthly returns disappear then the investor is assumed to invest for the remainder of the year in a randomly chosen stock within the same decile grouping on the basis of market capitalization. Book-to-market is calculated as the book value of the stock for the fiscal year prior to the test year divided by the market value of the stock for April of the test year. The average values across the 33 years in the sample of the annual returns are reported in this table for each of the five post-portfolio formation years. As well, the average annual return and cumulative return are reported for each book-to-market group. “Glamour” and “Value” refer to the groups with the lowest and highest values of book-to-market, respectively

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