Table 3

Changes in institutional ownership in value/glamour strategy conditional on FSCORE

AllGlamourMiddleValueV – G
Panel A: Quarterly change of institutional ownership: ΔIO
All 0.1820%0.2487%0.1120%−0.0700%
 (2.02)**(2.59)**(1.11)(−1.38)
Low FSCORE0.0333%0.0596%0.1198%−0.0953%−0.1549%
(0.36)(0.65)(1.23)(−0.87)(−2.06)**
Mid FSCORE0.2223%0.2099%0.2782%0.1536%−0.0563%
(2.37)**(2.22)**(2.92)***(1.51)(−1.09)
High FSCORE0.2768%0.2789%0.2883%0.2504%−0.0285%
(2.74)***(2.57)**(2.61)**(2.36)**(−0.36)
H – L0.2435%0.2193%0.1685%0.3458% 
(5.19)***(2.54)**(3.08)***(5.21)*** 
Panel B: Quarterly change of size-adjusted institutional ownership: ΔIOADJ
All −0.1138%0.0490%0.0611%0.1749%
 (−0.84)(0.85)(0.50)(0.71)
Low FSCORE−0.6461%−0.5646%−0.3950%−1.0359%−0.4713%
(−6.36)***(−2.17)**(−3.03)***(−4.54)***(−1.18)
Mid FSCORE0.0689%−0.0848%0.0626%0.2508%0.3356%
(1.87)*(−0.64)(0.85)(1.75)*(1.35)
High FSCORE0.5423%0.3327%0.4332%0.9117%0.5791%
(6.62)***(1.69)*(3.87)***(4.46)***(2.01)**
H – L1.1884%0.8973%0.8282%1.9476% 
(7.58)***(2.87)***(4.39)***(6.91)*** 

Note(s): This table reports the time-series average of the cross-sectional mean of the changes in institutional ownership in the stock portfolios by FSCORE and BM. The row H – L reports the differences of the coefficients between high FSCORE and low FSCORE firms. The column V – G reports the differences between value and glamour firms. Panel A gives the results on the quarterly changes of institutional ownership. Panel B presents the results on the quarterly changes of size-adjusted institutional ownership. The sample period is from 1982Q1 to 2015Q4 (136 quarters). t-statistics are reported in parentheses calculated with Newey and West (1987) robust standard errors. The lag is one quarter

*** Significant at the 1% level.

** Significant at the 5% level.

* Significant at the 10% level.

Source(s): Created by authors
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