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

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