Table 5 Regression analysis: OLS regressions are performed for five samples: (a) Sample of differences across the five highest and five lowest BM groups for the variables average post-portfolio formation returns and normalized illiquidity; (b) Same as (a), for the three highest and three lowest BM groups; (c) Same as (a), for the highest and lowest BM groups; (d) Sample of average annual returns and illiquidity across BM groups and post-portfolio formation years; (e) Sample of annual returns for each stock for each post-portfolio formation year

(a)

(b)

(c)

(d)

(e)

Five highest/lowest BM group average return annual difference

Three highest/lowest BM group average annual return difference

Highest/lowest BM group average annual return difference

Average annual return, 10 BM groups

Annual return, all stocks