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Among them is the exceptional demand for houses caused by baby boomers now at the peak of their family formation years.
We calculated annual return using these monthly returns for May through April of each of the five postportfolio formation years.
Annual return is then calculated using these monthly returns for May through April of each of the five post-portfolio formation years.
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.
The average values across the 33 years in the sample of the annual normalized illiquidity are reported in this table for each of the five post-portfolio formation years.
The NILLIQiy value for each stock is estimated for the subsequent five postportfolio formation years, separately for each of the 33 test years, for all stocks for which at least 100 daily return observations are identifiable between May and April for the given postportfolio formation year.
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We then calculate the average return for each postportfolio formation year, for each of the 10 illiquidity groups.
Portfolio formation takes place at the end of April of every test year by identifying stocks for which normalized illiquidity for the preportfolio formation year is available.
The fixed effects in the model are the mean, and effects for group (group i ), ring formation year (year l ), and height class (height m ).
We then calculated the average return and average normalized illiquidity for each postportfolio formation year, for each of the 10 book-to-market groups.
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.
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