Panel C of Table III shows results

Panel C of Table III shows results when returns are value weighted within portfolios on a monthly basis.8 The primary reason for displaying valueweighted returns is to investigate whether results based on equally weighted portfolios are confined largely to small firms, an attribute that has characterized many studies of expected returns. For investors or money managers who approximately value weight stocks, especially large-cap stocks, a relevant question is whether any portfolio skew toward or away from high investment stocks materially affects portfolio performance. Again, many return anomalies observed in equally weighted portfolios tend to attenuate when value-weighting methods are used, and so we expect some such attenuation in our results. Indeed, we find that the return difference between the lowest and highest quintile portfolios by cegth2 is reduced to 0.34% (t-stat = 2.07). Nevertheless, average value-weighted returns increase monotonically across cegth2 portfolios. Dividing firms by market value of equity into small, medium, and large groups reveals that significant differences between value-weighted returns on extreme cegth2-sorted portfolios persist for small- and medium-sized firms, with differences in extreme portfolios of0.36% for small firms (t-stat = 2.36) and 0.37% for medium-sized firms (t-stat = 3.04). Although the lowest returns are observed in the high growth portfolios, returns do not increase monotonically across cegth2 portfolios of small- and medium-sized firms. In contrast, among large firms returns increase monotonically from high to low cegth2 portfolios, but the 0.32% difference in returns between the extreme portfolios is significantly differentfrom 0 at merely the 10% level (t-stat = 1.83).