Panel A: Cross-sectional regressions of yearly size-adjusted returns (SRET_t+1) on AG, formally the regressions equation is as follows:

${\text{SRET}}_{i,t+1}={\text{AG}}_{i,t}+\ln {\left(\text{SZ}\right)}_{i,t}+\ln {\left(\text{BM}\right)}_{i,t}+u_{i,t}$

AG

ln(SZ)

ln(BM)

SRET_t+1

−0.07***

0.01***

0.02***

(−4.13)

(3.51)

(2.54)

Panel B: Cross-sectional regressions of yearly size-adjusted returns (SRET_t+1) on MSCORE, formally the regressions equation is as follows:

${\text{SRET}}_{i,t+1}={\text{MSCORE}}_{i,t}+\ln {\left(\text{SZ}\right)}_{i,t}+\ln {\left(\text{BM}\right)}_{i,t}+u_{i,t}$

MSCORE

ln(SZ)

ln(BM)

SRET_t+1

−0.01

0.01***

0.02**

(−0.13)

(3.28)

(2.48)

Panel C: Cross-sectional regressions of yearly size-adjusted returns (SRET_t+1) on AG and MSCORE, formally the regressions equation is as follows:

${\text{SRET}}_{i,t+1}={\text{AG}}_{i,t}+{\text{MSCORE}}_{i,t}+\ln {\left(\text{SZ}\right)}_{i,t}+\ln {\left(\text{BM}\right)}_{i,t}+u_{i,t}$

AG

MSCORE

ln(SZ)

ln(BM)

SRET_t+1

−0.09***

0.01*

0.01***

0.02***

(−4.38)

(1.98)

(3.53)

(2.53)