Migration of stocks across size and value portfolios contributes to the size and value premiums in average stock returns. The size premium is almost entirely generated by the small-capitalization stocks that earn extreme positive returns and thus become big-cap stocks. The value premium comes from (1) value stocks that improve in type because their companies are acquired by other companies or because they earn high returns and migrate to a neutral or growth portfolio, (2) growth stocks that earn low returns and thus move to a neutral or value portfolio, and (3) the slightly higher returns on value stocks that do not migrate compared with the returns on growth stocks that do not migrate.