Table 3 Average returns, normalized illiquidity portfolios. Ten portfolios are formed using normalized illiquidity for the pre-portfolio formation year ending in April for each year in the 33-year period between 1968 through 2000 for all AMEX and NYSE stocks identified on CRSP. 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. The normalized illiquidity, NILLIQ, is calculated using the methodology detailed in the description of Table 2. 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 normalized illiquidity group

From: Value investing or investing in illiquidity? The profitability of contrarian investment strategies, revisited