Panel A: Results for the Whole Sample

HIGH: A++ or A+

Q4: A or A-

Q3: B

Q2: C

LOW: C-

H-L

(N = 140)

(N = 1,343)

(N = 2,193)

(N = 657)

(N = 171)

β¹

0.843

0.714

0.641

0.545

0.476

0.367

(8.53)^***

β²

0.511

0.377

0.322

0.264

0.236

0.275

(8.33)^***

RSQ

0.104

0.074

0.060

0.047

0.038

0.066

(8.43)^***

Panel B: Results for the MV Subsamples

HIGH: A++ or A+

Q4: A or A-

Q3: B

Q2: C

LOW: C-

H-L

Large Firm:

β¹

0.888

0.811

0.745

0.666

0.652

0.236

(3.58)^***

β²

0.548

0.437

0.382

0.309

0.339

0.209

(3.70)^***

RSQ

0.113

0.091

0.076

0.062

0.062

0.051

(3.92)^***

Small Firm:

β¹

0.604

0.541

0.562

0.488

0.352

0.252

(2.86)^***

β²

0.311

0.274

0.279

0.246

0.200

0.111

(1.69)^*

RSQ

0.055

0.045

0.047

0.040

0.033

0.022

(2.17)^**