Table 5

Institutional trading on expectation errors: regression analysis

(1)(2)(3)(4)(5)(6)
ΔIOΔNUMΔIOΔNUMΔIOADJΔNUMADJ
Glamour0.00282.21530.0021−1.65060.03270.0670
(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
(−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
(−1.30)(−2.70)***(−0.42)(−2.07)**(−0.59)(−2.42)**
Middle0.00281.26430.0027−2.29850.03040.0594
(2.92)***(5.28)***(2.36)**(−3.41)***(6.66)***(9.61)***
Middle * Low FSCORE−0.0016−0.6492−0.00070.0052−0.0049−0.0055
(−3.76)***(−4.38)***(−1.97)*(0.06)(−3.23)***(−3.38)***
Middle * High FSCORE0.00010.0342−0.0002−0.04360.00190.0018
(0.26)(0.28)(−0.61)(−0.42)(1.50)(1.57)
Value−0.00100.2348−0.0005−2.36400.01550.0447
(−0.87)(1.61)(−0.44)(−3.93)***(2.99)***(7.18)***
Value * Mid FSCORE0.00250.50250.00170.00180.01040.0116
(4.60)***(5.72)***(3.54)***(0.03)(4.22)***(5.93)***
Value * High FSCORE0.00350.62310.0020−0.04410.01310.0150
(5.21)***(4.68)***(3.47)***(−0.45)(4.38)***(6.26)***
SIZE  0.00020.6722−0.0042−0.0076
  (1.06)(5.00)***(−9.66)***(−12.02)***
INVOP  0.00100.14130.00170.0025
  (2.59)**(1.62)(0.78)(1.31)
AG  0.00020.0033−0.00100.0013
  (0.59)(0.04)(−0.55)(0.70)
MOM  0.00852.24510.02730.0390
  (14.43)***(12.81)***(11.67)***(13.46)***
TURN  −0.0043−1.3606−0.0196−0.0359
  (−6.01)***(−8.30)***(−7.43)***(−11.29)***
ROE  0.00080.03120.00620.0041
  (4.20)***(1.06)(3.57)***(4.15)***
DY  −0.0091−6.07490.0269−0.0262
  (−1.32)(−2.09)**(0.90)(−0.90)
IVOL  0.00621.55330.0256−0.0185
  (2.05)**(1.85)*(1.73)*(−1.41)
LEV  −0.0012−0.1124−0.0092−0.0124
  (−1.55)(−0.61)(−2.55)**(−3.72)***
CASH  0.0014−0.01220.0004−0.0067
  (1.67)*(−0.06)(0.09)(−1.60)
SUE  0.00050.20570.00290.0046
  (8.36)***(10.46)***(9.27)***(14.95)***
ΔSPINDEX  0.006220.35720.04240.2113
  (1.55)(9.64)***(2.10)**(2.87)***
R-squared0.0370.0670.0670.1710.0200.044
N of firms11,85611,85610,19410,19410,19410,194
N430,110430,110374,783374,783374,783374,783

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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