Panel B of table 3 reports portfolios of a subsample of high BM firms formed based on SCORE with the one-year and two-year investment horizons. Similar to results for all sample firms discussed earlier, our results for a subsample of high BM firms indicate that higher SCORE firms earn more positive subsequent abnormal returns than do lower SCORE firms. Specifically, the mean (median) of one-year MAR for the high and low group is 24.09% (12.97%) and 5.39% (–3.82%), respectively. Consequently, a mean (median) return difference (High – Low) is 18.70% (16.78%), respectively. Similarly, for two-year MAR, the mean (median) for the high and low group is 50.27% (35.11%) and 18.71% (3.89%). As a result, a mean (median) return difference (High – Low) is 31.56% (31.22%). Our results are consistent with Piotroski (2000).