Table 5 Institutional trading on...

Table 5

Institutional trading on expectation errors: regression analysis

	(1)	(2)	(3)	(4)	(5)	(6)
	ΔIO	ΔNUM	ΔIO	ΔNUM	ΔIOADJ	ΔNUMADJ
Glamour	0.0028	2.2153	0.0021	−1.6506	0.0327	0.0670
Glamour	(2.57)**	(5.53)***	(1.71)*	(−2.57)**	(6.68)***	(9.90)***
Glamour * Low FSCORE	−0.0022	−1.5163	−0.0004	−0.3915	−0.0055	−0.0088
Glamour * Low FSCORE	(−2.54)**	(−4.89)***	(−0.69)	(−2.54)**	(−2.05)**	(−3.90)***
Glamour * Mid FSCORE	−0.0007	−0.4950	−0.0002	−0.2894	−0.0010	−0.0038
Glamour * Mid FSCORE	(−1.30)	(−2.70)***	(−0.42)	(−2.07)**	(−0.59)	(−2.42)**
Middle	0.0028	1.2643	0.0027	−2.2985	0.0304	0.0594
Middle	(2.92)***	(5.28)***	(2.36)**	(−3.41)***	(6.66)***	(9.61)***
Middle * Low FSCORE	−0.0016	−0.6492	−0.0007	0.0052	−0.0049	−0.0055
Middle * Low FSCORE	(−3.76)***	(−4.38)***	(−1.97)*	(0.06)	(−3.23)***	(−3.38)***
Middle * High FSCORE	0.0001	0.0342	−0.0002	−0.0436	0.0019	0.0018
Middle * High FSCORE	(0.26)	(0.28)	(−0.61)	(−0.42)	(1.50)	(1.57)
Value	−0.0010	0.2348	−0.0005	−2.3640	0.0155	0.0447
Value	(−0.87)	(1.61)	(−0.44)	(−3.93)***	(2.99)***	(7.18)***
Value * Mid FSCORE	0.0025	0.5025	0.0017	0.0018	0.0104	0.0116
Value * Mid FSCORE	(4.60)***	(5.72)***	(3.54)***	(0.03)	(4.22)***	(5.93)***
Value * High FSCORE	0.0035	0.6231	0.0020	−0.0441	0.0131	0.0150
Value * High FSCORE	(5.21)***	(4.68)***	(3.47)***	(−0.45)	(4.38)***	(6.26)***
SIZE			0.0002	0.6722	−0.0042	−0.0076
SIZE			(1.06)	(5.00)***	(−9.66)***	(−12.02)***
INVOP			0.0010	0.1413	0.0017	0.0025
INVOP			(2.59)**	(1.62)	(0.78)	(1.31)
AG			0.0002	0.0033	−0.0010	0.0013
AG			(0.59)	(0.04)	(−0.55)	(0.70)
MOM			0.0085	2.2451	0.0273	0.0390
MOM			(14.43)***	(12.81)***	(11.67)***	(13.46)***
TURN			−0.0043	−1.3606	−0.0196	−0.0359
TURN			(−6.01)***	(−8.30)***	(−7.43)***	(−11.29)***
ROE			0.0008	0.0312	0.0062	0.0041
ROE			(4.20)***	(1.06)	(3.57)***	(4.15)***
DY			−0.0091	−6.0749	0.0269	−0.0262
DY			(−1.32)	(−2.09)**	(0.90)	(−0.90)
IVOL			0.0062	1.5533	0.0256	−0.0185
IVOL			(2.05)**	(1.85)*	(1.73)*	(−1.41)
LEV			−0.0012	−0.1124	−0.0092	−0.0124
LEV			(−1.55)	(−0.61)	(−2.55)**	(−3.72)***
CASH			0.0014	−0.0122	0.0004	−0.0067
CASH			(1.67)*	(−0.06)	(0.09)	(−1.60)
SUE			0.0005	0.2057	0.0029	0.0046
SUE			(8.36)***	(10.46)***	(9.27)***	(14.95)***
ΔSPINDEX			0.0062	20.3572	0.0424	0.2113
ΔSPINDEX			(1.55)	(9.64)***	(2.10)**	(2.87)***
R-squared	0.037	0.067	0.067	0.171	0.020	0.044
N of firms	11,856	11,856	10,194	10,194	10,194	10,194
N	430,110	430,110	374,783	374,783	374,783	374,783

	(1)	(2)	(3)	(4)	(5)	(6)
	ΔIO	ΔNUM	ΔIO	ΔNUM	ΔIOADJ	ΔNUMADJ
Glamour	0.0028	2.2153	0.0021	−1.6506	0.0327	0.0670
Glamour	(2.57)**	(5.53)***	(1.71)*	(−2.57)**	(6.68)***	(9.90)***
Glamour * Low FSCORE	−0.0022	−1.5163	−0.0004	−0.3915	−0.0055	−0.0088
Glamour * Low FSCORE	(−2.54)**	(−4.89)***	(−0.69)	(−2.54)**	(−2.05)**	(−3.90)***
Glamour * Mid FSCORE	−0.0007	−0.4950	−0.0002	−0.2894	−0.0010	−0.0038
Glamour * Mid FSCORE	(−1.30)	(−2.70)***	(−0.42)	(−2.07)**	(−0.59)	(−2.42)**
Middle	0.0028	1.2643	0.0027	−2.2985	0.0304	0.0594
Middle	(2.92)***	(5.28)***	(2.36)**	(−3.41)***	(6.66)***	(9.61)***
Middle * Low FSCORE	−0.0016	−0.6492	−0.0007	0.0052	−0.0049	−0.0055
Middle * Low FSCORE	(−3.76)***	(−4.38)***	(−1.97)*	(0.06)	(−3.23)***	(−3.38)***
Middle * High FSCORE	0.0001	0.0342	−0.0002	−0.0436	0.0019	0.0018
Middle * High FSCORE	(0.26)	(0.28)	(−0.61)	(−0.42)	(1.50)	(1.57)
Value	−0.0010	0.2348	−0.0005	−2.3640	0.0155	0.0447
Value	(−0.87)	(1.61)	(−0.44)	(−3.93)***	(2.99)***	(7.18)***
Value * Mid FSCORE	0.0025	0.5025	0.0017	0.0018	0.0104	0.0116
Value * Mid FSCORE	(4.60)***	(5.72)***	(3.54)***	(0.03)	(4.22)***	(5.93)***
Value * High FSCORE	0.0035	0.6231	0.0020	−0.0441	0.0131	0.0150
Value * High FSCORE	(5.21)***	(4.68)***	(3.47)***	(−0.45)	(4.38)***	(6.26)***
SIZE			0.0002	0.6722	−0.0042	−0.0076
SIZE			(1.06)	(5.00)***	(−9.66)***	(−12.02)***
INVOP			0.0010	0.1413	0.0017	0.0025
INVOP			(2.59)**	(1.62)	(0.78)	(1.31)
AG			0.0002	0.0033	−0.0010	0.0013
AG			(0.59)	(0.04)	(−0.55)	(0.70)
MOM			0.0085	2.2451	0.0273	0.0390
MOM			(14.43)***	(12.81)***	(11.67)***	(13.46)***
TURN			−0.0043	−1.3606	−0.0196	−0.0359
TURN			(−6.01)***	(−8.30)***	(−7.43)***	(−11.29)***
ROE			0.0008	0.0312	0.0062	0.0041
ROE			(4.20)***	(1.06)	(3.57)***	(4.15)***
DY			−0.0091	−6.0749	0.0269	−0.0262
DY			(−1.32)	(−2.09)**	(0.90)	(−0.90)
IVOL			0.0062	1.5533	0.0256	−0.0185
IVOL			(2.05)**	(1.85)*	(1.73)*	(−1.41)
LEV			−0.0012	−0.1124	−0.0092	−0.0124
LEV			(−1.55)	(−0.61)	(−2.55)**	(−3.72)***
CASH			0.0014	−0.0122	0.0004	−0.0067
CASH			(1.67)*	(−0.06)	(0.09)	(−1.60)
SUE			0.0005	0.2057	0.0029	0.0046
SUE			(8.36)***	(10.46)***	(9.27)***	(14.95)***
ΔSPINDEX			0.0062	20.3572	0.0424	0.2113
ΔSPINDEX			(1.55)	(9.64)***	(2.10)**	(2.87)***
R-squared	0.037	0.067	0.067	0.171	0.020	0.044
N of firms	11,856	11,856	10,194	10,194	10,194	10,194
N	430,110	430,110	374,783	374,783	374,783	374,783

Note(s): This table presents the estimations results of the institutional trading on expectation errors using model (3) in Fama-MacBeth cross-sectional regressions. The dependent variables are the change of institutional ownership, the change of the number of institutional investors, the size-adjusted change of the institutional ownership and the size-adjusted change of the number of institutional investors in each quarter. The indicator variables Glamour, Middle and Value equal to 1 if the firms are in the groups of glamour stock, middle stock and value stock, respectively. The dummy variables LowFSCORE, MidFSCORE and HighFSCORE equal to 1 if the firms have FSCORE less than four, between four and six and greater than six, respectively. The t-statistics are reported in parentheses calculated with Newey and West (1987) robust standard errors. The lag is one quarter. The sample period is from 1982Q1 to 2015Q4 (136 quarters)

*** Significant at the 1% level

** Significant at the 5% level

* Significant at the 10% level

Source(s): Created by authors

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