Note: White (1980) heteroskedasticity-consistent t-statistics in parentheses. 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 falling in the top or bottom 1% of either opening price or assets deflated earnings or
returns have been excluded. 36,394 firm-year observations from 1964 to 1990.