This graph measures how well AGR predicts stock returns – The positive spreads (blue) indcates that AGR accurately predicts the difference in accounting and governance practices.
GMI’s Accounting and Governance Risk (AGR) rating is an assessment of a company’s accounting and governance practices.
The graphs below report on the relationship between AGR and total stock return over the last 3 years for the universe of rated companies in our North American region that have a market capitalization of at least $50 million and those in the Western European region that have a market capitalization of at least 50 million Euros. The universe is split into 10 segments by AGR rating and rebalanced monthly to capture changes in risk rating. Equal-weighted returns and spreads between the best-rated and worst-rated portfolios are calculated based on a one-month holding period. The average spread between the best and worst portfolios over the time period is represented by the green horizontal line, while the individual monthly spreads are shown as bars.