Table 6

Changes in institutional ownership in value and glamour portfolios by institution types

Glamour stocksValue stocks
Low FSCOREHigh FSCOREH – LLow FSCOREHigh FSCOREH – L
 Panel A: Independent institutions vs. passive institutions
Independent−0.4427%0.0420%0.4847%−0.5553%0.7691%1.3243%
(−2.15)**(0.26)(1.94)*(−2.84)***(5.19)***(5.84)***
Passive−0.0541%0.3975%0.4516%−0.4887%0.1046%0.5933%
(−0.45)(3.06)***(2.76)***(−4.07)***(0.85)(3.54)***
Independent – Passive−0.3886%−0.3554%0.0331%−0.0666%0.6644%0.7310%
(−1.87)*(−2.22)**(0.12)(−0.29)(3.93)***(2.73)***
 Panel B: Independent institutions
Investment company−0.0049%0.0122%0.0171%−0.1650%0.1707%0.3357%
(−0.08)(0.24)(0.23)(−2.84)***(3.90)***(4.43)***
Investment advisor−0.4181%0.0454%0.4635%−0.3988%0.5950%0.9938%
(−2.09)**(0.30)(1.90)*(−2.15)**(4.00)***(4.87)***
 Panel C: Passive institutions
Bank−0.1067%0.1940%0.3007%−0.2553%0.0716%0.3269%
(−1.23)(1.87)*(2.27)**(−2.99)***(0.73)(2.49)**
Insurance company−0.0042%0.0834%0.0876%−0.0401%0.0108%0.0509%
(−0.07)(1.66)*(1.13)(−0.90)(0.22)(0.84)
Pension fund0.0563%0.1223%0.0659%−0.1906%0.0192%0.2099%
(1.16)(4.60)***(1.12)(−3.96)***(0.30)(2.48)**

Note(s): This table reports the time-series average of the cross-sectional mean of the changes in the size-adjusted institutional ownership in value and glamour stocks across institution types. Independent institutions include investment company and investment advisor. Passive institutions include bank, insurance company and pension fund. The column H – L reports the differences of the coefficients between high FSCORE and low FSCORE firms. Panel A gives the results on the aggregate independent and passive institutions. The row INDEP – GREY reports the differences of the coefficients between the independent institution and passive institution. Panel B presents the results on the independent institutional ownership. Panel C reports the results on the passive 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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