Summary statistics
| Variable | N | Mean | Median | Std. dev | Min | Max |
|---|---|---|---|---|---|---|
| Panel A: Change in institutional ownership variables | ||||||
| IO | 434,072 | 38.04% | 32.86% | 0.30 | 0.00 | 1 |
| NUM | 434,072 | 83.86 | 30 | 144.80 | 1 | 2,413 |
| IO_INDEP | 434,072 | 26.66% | 21.14% | 0.23 | 0 | 1 |
| IO_GREY | 434,072 | 11.48% | 8.48% | 0.11 | 0 | 1 |
| ΔIO | 430,110 | 0.19% | 0.02% | 0.06 | −1.00 | 1.00 |
| ΔNUM | 430,110 | 1.06 | 0 | 14.39 | −1211 | 1067 |
| ΔIO_INDEP | 430,110 | 0.18% | 0.00% | 0.05 | −0.96 | 1.00 |
| ΔIO_GREY | 430,110 | 0.01% | 0.00% | 0.03 | −0.98 | 1.00 |
| ΔIOADJ | 430,110 | 0.00% | 0.25% | 0.30 | −18.69 | 18.40 |
| ΔNUMADJ | 430,110 | 0.00% | 0.45% | 0.23 | −20.26 | 12.97 |
| ΔIOADJ_INDEP | 430,110 | 0.00% | 0.18% | 0.24 | −18.95 | 19.07 |
| ΔIOADJ_GREY | 430,110 | 0.00% | 0.24% | 0.18 | −13.96 | 19.76 |
| Panel B: Stock portfolios by FSCORE and BM | ||||||
| High FSCORE | 434,072 | 18.94% | 0 | 0.39 | 0 | 1 |
| Mid FSCORE | 434,072 | 56.71% | 0 | 0.50 | 0 | 1 |
| Low FSCORE | 434,072 | 24.36% | 0 | 0.43 | 0 | 1 |
| Value | 434,072 | 29.54% | 0 | 0.46 | 0 | 1 |
| Middle | 434,072 | 41.13% | 0 | 0.49 | 0 | 1 |
| Glamour | 434,072 | 29.33% | 0 | 0.46 | 0 | 1 |
| Glamour * Low FSCORE | 434,072 | 8.43% | 0 | 0.28 | 0 | 1 |
| Glamour * Mid FSCORE | 434,072 | 16.12% | 0 | 0.37 | 0 | 1 |
| Glamour * High FSCORE | 434,072 | 4.78% | 0 | 0.21 | 0 | 1 |
| Middle * Low FSCORE | 434,072 | 8.40% | 0 | 0.28 | 0 | 1 |
| Middle * Mid FSCORE | 434,072 | 24.25% | 0 | 0.43 | 0 | 1 |
| Middle * High FSCORE | 434,072 | 8.48% | 0 | 0.28 | 0 | 1 |
| Value * Low FSCORE | 434,072 | 7.52% | 0 | 0.26 | 0 | 1 |
| Value * Mid FSCORE | 434,072 | 16.33% | 0 | 0.37 | 0 | 1 |
| Value * High FSCORE | 434,072 | 5.68% | 0 | 0.23 | 0 | 1 |
| Panel C: Firm-level variables | ||||||
| FSCORE | 434,072 | 4.80 | 5 | 1.83 | 0 | 9 |
| BM | 434,072 | 0.69 | 0.55 | 0.62 | −0.81 | 3.32 |
| SIZE | 434,072 | 5.04 | 4.90 | 2.13 | 0.75 | 10.55 |
| INVOP | 395,453 | 0.15 | 0.09 | 0.36 | −0.55 | 2.16 |
| AG | 434,072 | 0.16 | 0.07 | 0.44 | −0.52 | 2.66 |
| MOM | 430,696 | 0.10 | 0.04 | 0.42 | −0.69 | 1.92 |
| TURN | 434,059 | 0.36 | 0.20 | 0.44 | 0.00 | 2.53 |
| ROE | 434,072 | −0.05 | 0.08 | 0.69 | −4.15 | 2.56 |
| DY | 434,067 | 0.01 | 0 | 0.02 | 0 | 0.10 |
| IVOL | 418,476 | 0.14 | 0.13 | 0.08 | 0.04 | 0.45 |
| LEV | 434,072 | 0.23 | 0.20 | 0.20 | 0 | 0.89 |
| CASH | 434,033 | 0.17 | 0.09 | 0.21 | 0.00 | 0.91 |
| SUE | 417,191 | −0.13 | 0.07 | 1.79 | −9.76 | 4.25 |
| ΔSPINDEX | 434,072 | 0.00 | 0 | 0.04 | −1 | 1 |
| Variable | Mean | Median | Std. dev | Min | Max | |
|---|---|---|---|---|---|---|
| IO | 434,072 | 38.04% | 32.86% | 0.30 | 0.00 | 1 |
| NUM | 434,072 | 83.86 | 30 | 144.80 | 1 | 2,413 |
| IO_INDEP | 434,072 | 26.66% | 21.14% | 0.23 | 0 | 1 |
| IO_GREY | 434,072 | 11.48% | 8.48% | 0.11 | 0 | 1 |
| ΔIO | 430,110 | 0.19% | 0.02% | 0.06 | −1.00 | 1.00 |
| ΔNUM | 430,110 | 1.06 | 0 | 14.39 | −1211 | 1067 |
| ΔIO_INDEP | 430,110 | 0.18% | 0.00% | 0.05 | −0.96 | 1.00 |
| ΔIO_GREY | 430,110 | 0.01% | 0.00% | 0.03 | −0.98 | 1.00 |
| ΔIOADJ | 430,110 | 0.00% | 0.25% | 0.30 | −18.69 | 18.40 |
| ΔNUMADJ | 430,110 | 0.00% | 0.45% | 0.23 | −20.26 | 12.97 |
| ΔIOADJ_INDEP | 430,110 | 0.00% | 0.18% | 0.24 | −18.95 | 19.07 |
| ΔIOADJ_GREY | 430,110 | 0.00% | 0.24% | 0.18 | −13.96 | 19.76 |
| High FSCORE | 434,072 | 18.94% | 0 | 0.39 | 0 | 1 |
| Mid FSCORE | 434,072 | 56.71% | 0 | 0.50 | 0 | 1 |
| Low FSCORE | 434,072 | 24.36% | 0 | 0.43 | 0 | 1 |
| Value | 434,072 | 29.54% | 0 | 0.46 | 0 | 1 |
| Middle | 434,072 | 41.13% | 0 | 0.49 | 0 | 1 |
| Glamour | 434,072 | 29.33% | 0 | 0.46 | 0 | 1 |
| Glamour * Low FSCORE | 434,072 | 8.43% | 0 | 0.28 | 0 | 1 |
| Glamour * Mid FSCORE | 434,072 | 16.12% | 0 | 0.37 | 0 | 1 |
| Glamour * High FSCORE | 434,072 | 4.78% | 0 | 0.21 | 0 | 1 |
| Middle * Low FSCORE | 434,072 | 8.40% | 0 | 0.28 | 0 | 1 |
| Middle * Mid FSCORE | 434,072 | 24.25% | 0 | 0.43 | 0 | 1 |
| Middle * High FSCORE | 434,072 | 8.48% | 0 | 0.28 | 0 | 1 |
| Value * Low FSCORE | 434,072 | 7.52% | 0 | 0.26 | 0 | 1 |
| Value * Mid FSCORE | 434,072 | 16.33% | 0 | 0.37 | 0 | 1 |
| Value * High FSCORE | 434,072 | 5.68% | 0 | 0.23 | 0 | 1 |
| FSCORE | 434,072 | 4.80 | 5 | 1.83 | 0 | 9 |
| BM | 434,072 | 0.69 | 0.55 | 0.62 | −0.81 | 3.32 |
| SIZE | 434,072 | 5.04 | 4.90 | 2.13 | 0.75 | 10.55 |
| INVOP | 395,453 | 0.15 | 0.09 | 0.36 | −0.55 | 2.16 |
| AG | 434,072 | 0.16 | 0.07 | 0.44 | −0.52 | 2.66 |
| MOM | 430,696 | 0.10 | 0.04 | 0.42 | −0.69 | 1.92 |
| TURN | 434,059 | 0.36 | 0.20 | 0.44 | 0.00 | 2.53 |
| ROE | 434,072 | −0.05 | 0.08 | 0.69 | −4.15 | 2.56 |
| DY | 434,067 | 0.01 | 0 | 0.02 | 0 | 0.10 |
| IVOL | 418,476 | 0.14 | 0.13 | 0.08 | 0.04 | 0.45 |
| LEV | 434,072 | 0.23 | 0.20 | 0.20 | 0 | 0.89 |
| CASH | 434,033 | 0.17 | 0.09 | 0.21 | 0.00 | 0.91 |
| SUE | 417,191 | −0.13 | 0.07 | 1.79 | −9.76 | 4.25 |
| ΔSPINDEX | 434,072 | 0.00 | 0 | 0.04 | −1 | 1 |
Note(s): This table presents the summary statistics for the sample. The sample is from 1982Q1 to 2015Q4 (136 quarters). The variable definitions are in Appendix 2
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