Panel A: Bivariate portfolios sorted on AG and FSCORE

H. AG

L. AG

LAG-HAG

Weak

−0.61%***

0.01%

0.61%***

(−4.26)

(0.03)

(3.32)

Strong

−0.24%***

0.27%***

0.51%***

(−2.81)

(4.12)

(4.09)

S-W

0.36%***

0.26%**

(2.57)

(2.06)

Incongruent Signals

0.87%***

L. AG. Strong - H. AG. Weak

(5.40)

Congruent Signals

0.25%

L. AG. Weak - H. AG. Strong

(1.38)

Panel B: Bivariate portfolios sorted on AG and FSCORE for manipulator firms

H. AG

L. AG

LAG-HAG

Weak

−1.49%***

0.11%

1.61%***

(−5.40)

(0.35)

(3.71)

Strong

−0.74%***

0.20%

0.94%***

(−4.03)

(0.97)

(3.72)

S-W

0.75%***

0.08%

(2.57)

(0.23)

Incongruent Signals

1.69%***

L. AG.Strong - H. AG. Weak

(5.11)

Congruent Signals

0.28%

L. AG. Weak - H. AG. Strong

(1.89)

Panel C: Bivariate portfolios sorted on AG and FSCORE for non-manipulator firms

H. AG

L. AG

LAG-HAG

Weak

−0.41%***

−0.04%

0.37%**

(−3.27)

(−0.33)

(2.24)

Strong

−0.10%

0.27%***

0.38%***

(−1.24)

(4.12)

(3.00)

S-W

0.31%**

0.32%***

(2.15)

(2.50)

Incongruent Signals

0.68%***

L. AG. Strong - H. AG. Weak

(4.53)

Congruent Signals

0.06%

L. AG. Weak - H. AG. Strong

(0.36)