All: George Young and I have made substantial revisions to the SSRN paper available at the link below. It is much improved. https://ssrn.com/abstract=6616298<https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fssrn.com%2Fabstract%3D6616298&data=05%7C02%7Cmichael.crain%40fau.edu%7C497ca0ed62164e3db1b108df047740e9%7C63c3c9c1e824413fb4352f0cabb2828f%7C0%7C0%7C639234582373508934%7CUnknown%7CTWFpbGZsb3d8eyJFbXB0eU1hcGkiOnRydWUsIlYiOiIwLjAuMDAwMCIsIlAiOiJXaW4zMiIsIkFOIjoiTWFpbCIsIldUIjoyfQ%3D%3D%7C0%7C%7C%7C&sdata=gAgZq2zfVMpKvQcbCAv6derwB1U6w3weW4m6UJ4VaIc%3D&reserved=0> Some new highlights you might be interested in: * Table 2, Panel B. In the earlier version, I had a coding error that formed the 10A/B/W/X/Y/Z portfolios monthly instead of annually each July 1 Annual sorts follow the literature (cf. Fama and French). The returns look more conventional compared to the practice literature. * Table 4. Low-price stocks ($5 per share), sometimes called penny stocks, contribute higher returns in 10Z. When these stocks are removed, 10Z returns are lower than 10Y returns. * Table 11. There are more unprofitable firms in 10Z than profitable ones. Also, the ratio of unprofitable to profitable firms increases monotonically from 10W to 10Z. * Table D.1 (p. 97 of the paper). Overall, the unhealthy financial ratios of 10Z are concentrated in the penny stocks (< $5 a share). * Table I.1. Delistings for performance are concentrated in 10Z firms. I believe this provides strong evidence against using a 10Z size premium. Dr. Michael A. Crain, CPA, CFA, ABV, CFE