Table 4 Changes in the number of...

Table 4

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

	All	Glamour	Middle	Value	V – G
Panel A: Quarterly change of the number of institutional investors: ΔNUM
All		1.5031	1.1549	0.6366	−0.8665
All		(5.36)***	(4.97)***	(3.75)***	(−4.57)***
Low FSCORE	0.5276	0.6990	0.6152	0.2348	−0.4642
Low FSCORE	(3.45)***	(4.06)***	(3.32)***	(1.61)	(−3.31)***
Mid FSCORE	1.2410	1.7203	1.2643	0.7373	−0.9831
Mid FSCORE	(5.25)***	(5.28)***	(5.28)***	(4.03)***	(−4.35)***
High FSCORE	1.3981	2.2153	1.2985	0.8579	−1.3574
High FSCORE	(5.11)***	(5.53)***	(4.34)***	(4.33)***	(−4.31)***
H - L	0.8705	1.5163	0.6833	0.6231
H - L	(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%
All		(−3.34)***	(−0.81)	(3.97)***	(3.83)***
Low FSCORE	−0.7424%	−0.8363%	−0.6266%	−0.7553%	0.0810%
Low FSCORE	(−6.21)***	(−3.04)***	(−3.54)***	(−3.77)***	(0.21)
Mid FSCORE	0.0775%	−0.4694%	−0.0125%	0.7790%	1.2484%
Mid FSCORE	(1.78)*	(−3.46)***	(−0.17)	(4.78)***	(4.62)***
High FSCORE	0.7046%	0.1712%	0.4461%	1.6173%	1.4461%
High FSCORE	(6.72)***	(1.07)	(3.53)***	(7.54)***	(5.31)***
H – L	1.4470%	1.0075%	1.0726%	2.3727%
H – L	(7.09)***	(3.23)***	(4.40)***	(8.92)***

	All	Glamour	Middle	Value	V – G
Panel A: Quarterly change of the number of institutional investors: ΔNUM
All		1.5031	1.1549	0.6366	−0.8665
All		(5.36)***	(4.97)***	(3.75)***	(−4.57)***
Low FSCORE	0.5276	0.6990	0.6152	0.2348	−0.4642
Low FSCORE	(3.45)***	(4.06)***	(3.32)***	(1.61)	(−3.31)***
Mid FSCORE	1.2410	1.7203	1.2643	0.7373	−0.9831
Mid FSCORE	(5.25)***	(5.28)***	(5.28)***	(4.03)***	(−4.35)***
High FSCORE	1.3981	2.2153	1.2985	0.8579	−1.3574
High FSCORE	(5.11)***	(5.53)***	(4.34)***	(4.33)***	(−4.31)***
H - L	0.8705	1.5163	0.6833	0.6231
H - L	(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%
All		(−3.34)***	(−0.81)	(3.97)***	(3.83)***
Low FSCORE	−0.7424%	−0.8363%	−0.6266%	−0.7553%	0.0810%
Low FSCORE	(−6.21)***	(−3.04)***	(−3.54)***	(−3.77)***	(0.21)
Mid FSCORE	0.0775%	−0.4694%	−0.0125%	0.7790%	1.2484%
Mid FSCORE	(1.78)*	(−3.46)***	(−0.17)	(4.78)***	(4.62)***
High FSCORE	0.7046%	0.1712%	0.4461%	1.6173%	1.4461%
High FSCORE	(6.72)***	(1.07)	(3.53)***	(7.54)***	(5.31)***
H – L	1.4470%	1.0075%	1.0726%	2.3727%
H – L	(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

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