Note(s): This table presents the estimations results of abnormal returns to underpriced value stocks and overpriced glamour stocks conditional on institutional trading. The monthly alphas from the Fama-French four-factor models are reported in the stock portfolios by FSCORE and BM, conditional on institutional buying/selling in the Q0 (one quarter before the trading window and can be the quarter that financial statement information is released). The stocks in the institutional buying are stocks with positive change in institutional ownership, i.e. ΔIO >0 and the stocks in institutional selling are those with negative change in institutional ownership, i.e. ΔIO <0. Panel A gives portfolio abnormal returns on overall value stocks and potentially underpriced value stocks conditional on institutional buying. Stocks in the institutional buying group are further sorted into “top buy” (above median value of positive change in institutional ownership) and “bottom buy” (below median value of positive change in institutional ownership) in value stocks, mid-FSCORE value stocks and high-FSCORE value stocks respectively. Panel B reports portfolio abnormal returns on overall glamour stocks and potentially overpriced glamour stocks conditional on institutional selling. Stocks in the institutional selling group are further sorted into “top sell” (below median value of negative change in institutional ownership) and “bottom sell” (above median value of positive change in institutional ownership) in glamour stocks, mid-FSCORE glamour stocks and low-FSCORE glamour stocks respectively. The row Top – Bottom reports the alphas from the portfolio of long top institution buying/selling stocks and short bottom institutional buying/selling stocks. The sample period is from 1982Q1 to 2015Q4 (408 months). t-statistics are reported in parentheses calculated with Newey and West (1987) robust standard errors. The lag is three months

*** Significant at the 1% level

** Significant at the 5% level

* Significant at the 10% level