| Size-adjusted Returns | Characteristics | ||||
Portfolio | Mean | (t-statistic) | Firms | AG | MSCORE | SZ |
Panel A: Univariate Portfolios |
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Low AG. | 0.23%*** | (3.08) | 461 | −0.17 | −0.99 | 11.62 |
High AG. | −0.36%*** | (−3.87) | 461 | 0.82 | 3.56 | 12.03 |
L - H AG. | 0.59%*** | (4.15) |
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Low MSCORE | −0.26%*** | (−3.46) | 1,920 | 0.12 | −3.86 | 12.38 |
High MSCORE | 0.06%*** | (3.54) | 385 | 0.47 | 14.39 | 11.74 |
H - L MSCORE | 0.32%*** | (3.51) |
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Panel B: Bivariate Portfolios |
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L. AG. H. MSCORE | 0.08% | (0.50) | 78 | −0.21 | 19.52 | 11.22 |
L. AG. L. MSCORE | 0.26%*** | (3.34) | 376 | −0.16 | −5.11 | 11.70 |
H. AG. H. MSCORE | −0.54%*** | (−4.42) | 142 | 1.19 | 26.47 | 11.71 |
H. AG. L. MSCORE | −0.24%*** | (−2.59) | 311 | 0.64 | −4.60 | 12.17 |
L. AG. H. MSCORE - H. AG. L. MSCORE | 0.32% | (1.71) |
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L. AG. L. MSCORE - H. AG. H. MSCORE | 0.80%*** | (5.10) |
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