Table 4

Changes in the number of institutional investors in value/glamour strategy conditional on FSCORE

AllGlamourMiddleValueV – G
Panel A: Quarterly change of the number of institutional investors: ΔNUM
All 1.50311.15490.6366−0.8665
 (5.36)***(4.97)***(3.75)***(−4.57)***
Low FSCORE0.52760.69900.61520.2348−0.4642
(3.45)***(4.06)***(3.32)***(1.61)(−3.31)***
Mid FSCORE1.24101.72031.26430.7373−0.9831
(5.25)***(5.28)***(5.28)***(4.03)***(−4.35)***
High FSCORE1.39812.21531.29850.8579−1.3574
(5.11)***(5.53)***(4.34)***(4.33)***(−4.31)***
H - L0.87051.51630.68330.6231 
(4.83)***(4.89)***(3.08)***(4.68)*** 
Panel B: Quarterly change of the size-adjusted number of institutional investors: ΔNUMADJ
All −0.4551%−0.0482%0.5419%0.9969%
 (−3.34)***(−0.81)(3.97)***(3.83)***
Low FSCORE−0.7424%−0.8363%−0.6266%−0.7553%0.0810%
(−6.21)***(−3.04)***(−3.54)***(−3.77)***(0.21)
Mid FSCORE0.0775%−0.4694%−0.0125%0.7790%1.2484%
(1.78)*(−3.46)***(−0.17)(4.78)***(4.62)***
High FSCORE0.7046%0.1712%0.4461%1.6173%1.4461%
(6.72)***(1.07)(3.53)***(7.54)***(5.31)***
H – L1.4470%1.0075%1.0726%2.3727% 
(7.09)***(3.23)***(4.40)***(8.92)*** 

Note(s): This table reports the time-series average of the cross-sectional mean of the changes in the number of institutional investors 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 of the coefficients between value and glamour firms. Panel A gives the results on the quarterly changes of the number of institutional investors. Panel B presents the results on the quarterly changes of size-adjusted number of institutional investors. 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
[ViewLarge]
This Feature Is Available To Subscribers Only

or Create an Account

Close Modal
Close Modal

Gift article access

As a benefit of your subscription, you can share temporary access to restricted articles.

Each link will stop working after 30 days or 10 uses. You may create up to 10 links in a 30 day period.

Please sign in to your personal account to gift article access.

Register

Gift article access

As a benefit of your subscription, you can share temporary access to restricted articles.

Each link will stop working after 30 days or 10 uses. You may create up to 10 links in a 30 day period.

Gift articles remaining: --

Gift article access

Each link will stop working after 30 days or 10 uses. You may create up to 10 links in a 30 day period.

Gift articles remaining: --

Gift article access

As a benefit of your subscription, you can share temporary access to restricted articles.

Each link will stop working after 30 days or 10 uses.

You have reached the limit of 10 links within a 30 day period.

Sharing Unavailable

Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.