(1.13%) for the highest and 0.85% (0.81%) for the lowest quintile across all BE/ME firms, and 0.99% (1.04%) and 0.57% (0.51%), respectively, within large firms. However, there seems to be no association between and returns within small BE/ME firms. For example, average equal- (value-) weighted monthly stock return is 1.51% (1.41%) and 1.58% (1.46%) for the highest and the lowest quintile within BE/ME small firms, respectively. This evidence seems to contradict the previous finding that the value effect is strongest among small firms. Moreover, stocks tend to consistently outperform large stocks in our sample. For instance, average equal- (value-) weighted monthly stock returns are 1.46% (1.36%) for the smallest and 0.82% (0.85%) for the largest quintile across all firms, 1.58% (1.46%) and 0.57% (0.51%), respectively, within the low-BE/ME quintile, and 1.51% (1.41%) and 0.99% (1.04%), respectively, within the quintile. In Table 2 and graphically in Figure 2, we report estimates by AdjDITH BE/ME and size groups. A clear negative association exists between and AdjDITH BE/ME. Unconditionally, estimates decrease monotonically from 0.38% to -0.04% AdjDITH as increases from the lowest to the highest quintile. Depending on the market BE/ME value, estimates decrease from 0.23% to 0.03% across quintiles AdjDITH BE/ME within small stocks and from 0.24% to 0.11% across quintiles within large BE/ME stocks. However, there seems to be a weak positive association between and AdjDITH size. <Insert Table 2 and Figure 2 about here> As for individual trading in Table 2 and graphically in Figure 3, there is evidence of a positive association between and Unconditionally, AdjDIND BE/ME. estimates increase monotonically from -0.67% to 0.73% as AdjDIND BE/ME
(1.13%) for the highest and 0.85% (0.81%) for the lowest BE/ME quintile across all firms, and 0.99% (1.04%) and 0.57% (0.51%), respectively, within large firms. However, there seems to be no association between BE/ME and returns within small firms. For example, average equal- (value-) weighted monthly stock return is 1.51% (1.41%) and 1.58% (1.46%) for the highest and the lowest BE/ME quintile within small firms, respectively. This evidence seems to contradict the previous finding that the value effect is strongest among small firms. Moreover, stocks tend to consistently outperform large stocks in our sample. For instance, average equal- (value-) weighted monthly stock returns are 1.46% (1.36%) for the smallest and 0.82% (0.85%) for the largest quintile across all firms, 1.58% (1.46%) and 0.57% (0.51%), respectively, within the low-BE/ME quintile, and 1.51% (1.41%) and 0.99% (1.04%), respectively, within the quintile. In Table 2 and graphically in Figure 2, we report AdjDITH estimates by BE/ME and size groups. A clear negative association exists between AdjDITH and BE/ME. Unconditionally, AdjDITH estimates decrease monotonically from 0.38% to -0.04% as BE/ME increases from the lowest to the highest quintile. Depending on the market value, AdjDITH estimates decrease from 0.23% to 0.03% across BE/ME quintiles within small stocks and from 0.24% to 0.11% across BE/ME quintiles within large stocks. However, there seems to be a weak positive association between AdjDITH and size. <Insert Table 2 and Figure 2 about here> As for individual trading in Table 2 and graphically in Figure 3, there is evidence of a positive association between AdjDIND and BE/ME. Unconditionally, AdjDIND estimates increase monotonically from -0.67% to 0.73% as BE/ME
092-JPins_20th-PBF_2012%208%2019.docx