The timing of institutional trading on expectation errors
| Q−1 | Q0 | Q1 | Q2 | Q3 | Q4 | |
|---|---|---|---|---|---|---|
| Panel A: Low FSCORE glamour stocks (overpriced) | ||||||
| Total | −0.1595% | −0.6315% | −0.5732% | −0.7359% | −0.4657% | −0.4424% |
| (−0.32) | (−1.73)* | (−1.12) | (−1.23) | (−0.98) | (−1.05) | |
| Independent | −0.3135% | −0.5472% | −0.2810% | −0.7072% | −0.5377% | −0.3327% |
| (−0.71) | (−1.82)* | (−0.63) | (−1.77)* | (−1.19) | (−0.86) | |
| Passive | 0.1636% | −0.0200% | −0.1797% | −0.1086% | 0.1267% | 0.0576% |
| (1.16) | (−0.08) | (−1.01) | (−0.38) | (0.67) | (0.28) | |
| Panel B: High FSCORE value stocks (underpriced) | ||||||
| Total | 1.0498% | 1.8216% | 1.3383% | 0.8960% | 0.4400% | 0.6021% |
| (2.01)* | (3.60)*** | (3.46)*** | (2.27)** | (0.76) | (1.54) | |
| Independent | 0.9928% | 1.3801% | 1.0578% | 0.8173% | 0.4035% | 0.6319% |
| (3.39)*** | (4.35)*** | (4.89)*** | (2.49)** | (1.39) | (2.32)** | |
| Passive | 0.0212% | 0.6533% | 0.0771% | 0.1420% | 0.0723% | −0.0380% |
| (0.06) | (1.53) | (0.23) | (0.76) | (0.18) | (−0.16) | |
| Panel C: High FSCORE glamour stocks | ||||||
| Total | 1.6130% | 1.7692% | 1.0306% | 0.0908% | −0.0561% | 0.0622% |
| (6.02)*** | (4.34)*** | (3.09)*** | (0.21) | (−0.12) | (0.22) | |
| Independent | 0.8247% | 0.8576% | 0.3290% | 0.0929% | −0.4090% | 0.0573% |
| (3.85)*** | (3.35)*** | (1.60) | (0.26) | (−1.01) | (0.21) | |
| Passive | 0.7651% | 0.8139% | 0.6706% | 0.5364% | 0.1505% | 0.1190% |
| (4.08)*** | (4.25)*** | (2.31)** | (1.42) | (0.78) | (0.76) | |
| Panel D: Low FSCORE value stocks | ||||||
| Total | −1.7024% | −1.2388% | −1.9303% | −0.6064% | −0.7266% | −0.8969% |
| (−3.62)*** | (−3.13)*** | (−4.03)*** | (−1.06) | (−1.69)* | (−2.36)** | |
| Independent | −1.4131% | −0.3876% | −1.3752% | −0.1374% | −0.3480% | −0.4453% |
| (−2.92)*** | (−1.25) | (−3.34)*** | (−0.29) | (−0.97) | (−1.25) | |
| Passive | −0.2592% | −0.8917% | −0.5492% | −0.5362% | −0.3244% | −0.4451% |
| (−1.76)* | (−3.87)*** | (−2.47)** | (−2.01)* | (−1.52) | (−1.78)* | |
| Q−1 | Q0 | Q1 | Q2 | Q3 | Q4 | |
|---|---|---|---|---|---|---|
| Total | −0.1595% | −0.6315% | −0.5732% | −0.7359% | −0.4657% | −0.4424% |
| (−0.32) | (−1.73)* | (−1.12) | (−1.23) | (−0.98) | (−1.05) | |
| Independent | −0.3135% | −0.5472% | −0.2810% | −0.7072% | −0.5377% | −0.3327% |
| (−0.71) | (−1.82)* | (−0.63) | (−1.77)* | (−1.19) | (−0.86) | |
| Passive | 0.1636% | −0.0200% | −0.1797% | −0.1086% | 0.1267% | 0.0576% |
| (1.16) | (−0.08) | (−1.01) | (−0.38) | (0.67) | (0.28) | |
| Total | 1.0498% | 1.8216% | 1.3383% | 0.8960% | 0.4400% | 0.6021% |
| (2.01)* | (3.60)*** | (3.46)*** | (2.27)** | (0.76) | (1.54) | |
| Independent | 0.9928% | 1.3801% | 1.0578% | 0.8173% | 0.4035% | 0.6319% |
| (3.39)*** | (4.35)*** | (4.89)*** | (2.49)** | (1.39) | (2.32)** | |
| Passive | 0.0212% | 0.6533% | 0.0771% | 0.1420% | 0.0723% | −0.0380% |
| (0.06) | (1.53) | (0.23) | (0.76) | (0.18) | (−0.16) | |
| Total | 1.6130% | 1.7692% | 1.0306% | 0.0908% | −0.0561% | 0.0622% |
| (6.02)*** | (4.34)*** | (3.09)*** | (0.21) | (−0.12) | (0.22) | |
| Independent | 0.8247% | 0.8576% | 0.3290% | 0.0929% | −0.4090% | 0.0573% |
| (3.85)*** | (3.35)*** | (1.60) | (0.26) | (−1.01) | (0.21) | |
| Passive | 0.7651% | 0.8139% | 0.6706% | 0.5364% | 0.1505% | 0.1190% |
| (4.08)*** | (4.25)*** | (2.31)** | (1.42) | (0.78) | (0.76) | |
| Total | −1.7024% | −1.2388% | −1.9303% | −0.6064% | −0.7266% | −0.8969% |
| (−3.62)*** | (−3.13)*** | (−4.03)*** | (−1.06) | (−1.69)* | (−2.36)** | |
| Independent | −1.4131% | −0.3876% | −1.3752% | −0.1374% | −0.3480% | −0.4453% |
| (−2.92)*** | (−1.25) | (−3.34)*** | (−0.29) | (−0.97) | (−1.25) | |
| Passive | −0.2592% | −0.8917% | −0.5492% | −0.5362% | −0.3244% | −0.4451% |
| (−1.76)* | (−3.87)*** | (−2.47)** | (−2.01)* | (−1.52) | (−1.78)* | |
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 in each quarter before and during institutional trading window. The quarters Q1- Q4 are institutional trading window, which are at least four months after the fiscal year-end. Q0 is one quarter before the trading window, which can be the quarter that financial statement information is released. Q−1 is two quarter prior to the trading window and the quarter of fiscal year-end (or after the fiscal year-end). The changes in size-adjusted institutional ownership by total institutions, independent institutions and passive institutions are presented. Panels A and B give institutional trading on expectation error in value/glamour stocks (low FSCORE glamour stocks and high FSCORE value stocks). Panels C and D show the results of value/glamour stocks without mispricing (high FSCORE glamour stocks and low FSCORE value stocks). The sample period is from 1982 to 2015Q4. t-statistics are reported in parentheses calculated with Newey and West (1987) robust standard errors
*** Significant at the 1% level
** Significant at the 5% level
* Significant at the 10% level
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