Size-adjusted Returns

Characteristics

Portfolio

Mean

(t-statistic)

Firms

AG

MSCORE

SZ

Panel A: Univariate Portfolios

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)

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)

Panel B: Bivariate Portfolios

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)

L. AG. L. MSCORE - H. AG. H. MSCORE

0.80%***

(5.10)