Table 4 Annual differences in average return and illiquidity for value and glamour portfolios. The difference in average return and the percentage difference in illiquidity is reported for each year in the sample period 1968–2000. The average return value is the annual average return over the 5 year post-portfolio formation period. The average illiquidity value is the annual average normalized illiquidity over the 5 year post-portfolio formation period. Both measures are reported for the difference between the five, three, and single highest and lowest BM groups

1968

0.0348

0.0483

0.0554

1969

0.0363

0.0502

0.0552

1970

0.0339

0.0485

0.0637

1971

0.0491

0.0664

0.0790

1972

0.0799

0.1241

0.1659

1973

0.0863

0.1159

0.1329

1974

0.1029

0.1437

0.2001

1975

0.0934

0.1396

0.1688

1976

0.0661

0.0974

0.1221

1977

0.0498

0.0797

0.0770

1978

0.0473

0.0436

0.0396

1979

0.0517

0.0581

0.0988

1980

0.0914

0.1537

0.2028

1981

0.1296

0.1758

0.2630

1982

0.0976

0.1236

0.1967

1983

0.0563

0.0730

0.0878

1984

0.0314

0.0528

0.1237

1985

0.0145

0.0272

0.0594

1986

0.0042

0.0114

0.0374

1987

(0.0042)

(0.0014)

0.0456

1988

(0.0015)

(0.0167)

(0.0511)

1989

(0.0013)

(0.0051)

0.0055

1990

0.0338

0.0546

0.0859

1991

0.0463

0.0734

0.0624

1992

0.0507

0.0770

0.0757

1993

0.0434

0.0606

0.0612

1994

0.0288

0.0427

0.0277

1995

0.0067

0.0116

0.0184

1996

0.0393

0.0479

0.1053

1997

0.0053

0.0108

0.0193

1998

0.0179

0.0330

0.0101

1999

0.0285

0.0259

(0.0013)

2000

0.0805

0.1106

0.0657

1968

0.1144

0.2146

0.7260

1969

0.1431

0.1184

0.2123

1970

0.7722

1.0185

1.3674

1971

0.6590

0.9726

1.2666

1972

0.6900

0.9773

1.7456

1973

1.4859

2.8996

3.6753

1974

2.0165

3.7844

5.3174

1975

1.9852

4.0379

5.4605

1976

1.6258

2.8719

3.5562

1977

2.1408

3.2055

3.0029

1978

1.5290

2.3012

2.1092

1979

1.5027

2.2197

3.0403

1980

1.7339

2.4542

2.9349

1981

1.2422

2.0068

2.3274

1982

1.1650

1.5370

1.9587

1983

0.3510

0.6076

0.5071

1984

0.3617

0.5018

0.3503

1985

0.5552

0.6694

0.4570

1986

0.4760

0.6537

0.4371

1987

0.5662

0.6578

0.4516

1988

0.7981

1.0575

0.6920

1989

0.8275

1.1227

0.7630

1990

1.0307

1.4029

0.9643

1991

1.1522

1.4336

0.9256

1992

0.8748

1.0944

0.9229

1993

0.8950

1.1955

0.9548

1994

0.6319

0.9312

0.8464

1995

0.7382

1.2047

1.1497

1996

0.6797

0.9123

0.7582

1997

0.8641

1.1579

0.8753

1998

0.8544

1.2579

1.4663

1999

1.3943

2.1770

1.5087

2000

1.1868

1.5958

1.1139