All firms listed on Compustat Merged Expanded Annual Industrial with OTC file or Compustat Merged Research Annual Industrial with OTC file and CRSP NYSE/AMEX Monthly Returns and Master file. Observations are grouped by the calendar year of the fiscal year-end. Observations falling in the top or bottom 1% of either price or asset deflated earnings or returns in each year are excluded. White (1980) heteroskedasticity-consistent t-statistics in parentheses.