Table 6 Changes in institutional...

Table 6

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

	Glamour stocks			Value stocks
	Low FSCORE	High FSCORE	H – L	Low FSCORE	High FSCORE	H – L
	Panel A: Independent institutions vs. passive institutions
Independent	−0.4427%	0.0420%	0.4847%	−0.5553%	0.7691%	1.3243%
Independent	(−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%
Passive	(−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%
Independent – Passive	(−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%
Investment company	(−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%
Investment advisor	(−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%
Bank	(−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%
Insurance company	(−0.07)	(1.66)*	(1.13)	(−0.90)	(0.22)	(0.84)
Pension fund	0.0563%	0.1223%	0.0659%	−0.1906%	0.0192%	0.2099%
Pension fund	(1.16)	(4.60)***	(1.12)	(−3.96)***	(0.30)	(2.48)**

	Glamour stocks			Value stocks
	Low FSCORE	High FSCORE	H – L	Low FSCORE	High FSCORE	H – L
	Panel A: Independent institutions vs. passive institutions
Independent	−0.4427%	0.0420%	0.4847%	−0.5553%	0.7691%	1.3243%
Independent	(−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%
Passive	(−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%
Independent – Passive	(−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%
Investment company	(−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%
Investment advisor	(−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%
Bank	(−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%
Insurance company	(−0.07)	(1.66)*	(1.13)	(−0.90)	(0.22)	(0.84)
Pension fund	0.0563%	0.1223%	0.0659%	−0.1906%	0.0192%	0.2099%
Pension fund	(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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