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) |