Table 2 Summary statistics Variable N...

Table 2

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	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

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

Source(s): Created by authors

[ViewLarge]

Sharing Unavailable