1\begin{tabular}{lrrrrrr}2\toprule3Subgroup & N & Base rate & AUC LB2 & AUC LB5 & $\Delta$ log loss & 95\% CI \\4\midrule5all & 53,667 & 0.315 & 0.803 & 0.801 & +0.0016 & [+0.0010, +0.0023] \\6size small & 19,065 & 0.388 & 0.780 & 0.780 & +0.0007 & [-0.0006, +0.0019] \\7size large & 17,796 & 0.247 & 0.811 & 0.807 & +0.0026 & [+0.0012, +0.0042] \\8illiq high & 21,817 & 0.372 & 0.788 & 0.787 & +0.0007 & [-0.0006, +0.0019] \\9illiq low & 14,864 & 0.251 & 0.807 & 0.805 & +0.0022 & [+0.0006, +0.0038] \\10lev high & 21,545 & 0.286 & 0.800 & 0.798 & +0.0021 & [+0.0010, +0.0031] \\11lev low & 16,726 & 0.342 & 0.817 & 0.815 & +0.0015 & [+0.0002, +0.0027] \\12loss firms & 17,786 & 0.376 & 0.765 & 0.764 & +0.0009 & [-0.0003, +0.0022] \\13profit firms & 35,881 & 0.284 & 0.817 & 0.815 & +0.0019 & [+0.0009, +0.0029] \\14ex covid & 53,667 & 0.315 & 0.803 & 0.801 & +0.0016 & [+0.0010, +0.0023] \\15after close release & 24,829 & 0.313 & 0.804 & 0.802 & +0.0013 & [+0.0004, +0.0021] \\16before open release & 22,615 & 0.316 & 0.803 & 0.801 & +0.0023 & [+0.0013, +0.0034] \\17sector finance & 9,737 & 0.186 & 0.864 & 0.862 & +0.0017 & [+0.0001, +0.0036] \\18sector nonfinance & 43,930 & 0.343 & 0.783 & 0.782 & +0.0016 & [+0.0008, +0.0024] \\19window clean & 51,290 & 0.311 & 0.804 & 0.803 & +0.0017 & [+0.0011, +0.0024] \\20window straddles prev release & 2,377 & 0.390 & 0.764 & 0.764 & -0.0010 & [-0.0040, +0.0019] \\21dense bars & 10,866 & 0.316 & 0.796 & 0.795 & +0.0018 & [-0.0005, +0.0042] \\22sparse bars & 42,801 & 0.315 & 0.805 & 0.803 & +0.0015 & [+0.0007, +0.0023] \\23\bottomrule24\end{tabular}25