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We aren't made aware of the conversation between Atticus and Jem when they left the jail. All we are told is as follows:
Atticus and Jem were well ahead of us, and I assumed that Atticus was giving him hell for not going home, but I was wrong. As they passed under a streetlight, Atticus reached out and massaged Jem’s hair, his one gesture of affection.
To Kill a Mockingbird