Table 9 Institutional trading on...

Table 9

Institutional trading on expectation errors in the global markets

	(1)	(2)	(3)	(4)	(5)	(5)
	ΔIO			ΔIOADJ
	Global ex. US	Developed exl. US	Emerging	Global ex. US	Developed exl. US	Emerging
Glamour	0.0028	0.0022	0.0021	−0.0007	0.0059	−0.0093
Glamour	(2.37)***	(1.15)	(1.48)	(−0.15)	(1.23)	(−1.49)
Glamour * Low FSCORE	−0.0014	−0.0015	−0.0012	−0.0144	−0.0132	−0.0257
Glamour * Low FSCORE	(−4.14)***	(−3.50)***	(−2.54)**	(−2.52)**	(−2.08)**	(−1.76)*
Glamour * Mid FSCORE	−0.0005	−0.0005	−0.0001	−0.0040	−0.0051	0.0008
Glamour * Mid FSCORE	(−2.22)**	(−1.98)*	(−0.40)	(−1.17)	(−1.22)	(0.12)
Middle	0.0017	0.0010	0.0015	−0.0073	−0.0046	−0.0041
Middle	(1.49)	(0.54)	(1.06)	(−2.98)***	(−2.58)**	(−1.05)
Middle * Low FSCORE	−0.0011	−0.0013	−0.0007	−0.0021	−0.0031	0.0052
Middle * Low FSCORE	(−4.05)***	(−3.65)***	(−2.15)**	(−0.43)	(−0.53)	(0.62)
Middle * High FSCORE	0.0006	0.0007	0.0003	0.0081	0.0071	0.0090
Middle * High FSCORE	(3.56)***	(3.42)***	(1.13)	(2.90)***	(2.04)**	(1.55)
Value	−0.0004	−0.0013	0.0003	−0.0104	−0.0069	−0.0162
Value	(−0.33)	(−0.71)	(0.22)	(−2.03)**	(−1.26)	(−1.14)
Value * Mid FSCORE	0.0011	0.0013	0.0003	0.0025	0.0005	0.0138
Value * Mid FSCORE	(3.69)***	(3.60)***	(1.11)	(0.62)	(0.09)	(1.02)
Value * High FSCORE	0.0015	0.0017	0.0012	0.0128	0.0095	0.0284
Value * High FSCORE	(4.40)***	(4.10)***	(3.35)***	(2.90)***	(1.75)*	(1.74)*
Country dummies	Yes	Yes	Yes	Yes	Yes	Yes
R-squared	0.0581	0.0471	0.0735	0.0019	0.0024	0.0049
N of firms	23,011	14,770	8,241	23,011	14,770	8,241
N	567,655	395,872	171,783	567,655	395,872	171,783

	(1)	(2)	(3)	(4)	(5)	(5)
	ΔIO			ΔIOADJ
	Global ex. US	Developed exl. US	Emerging	Global ex. US	Developed exl. US	Emerging
Glamour	0.0028	0.0022	0.0021	−0.0007	0.0059	−0.0093
Glamour	(2.37)***	(1.15)	(1.48)	(−0.15)	(1.23)	(−1.49)
Glamour * Low FSCORE	−0.0014	−0.0015	−0.0012	−0.0144	−0.0132	−0.0257
Glamour * Low FSCORE	(−4.14)***	(−3.50)***	(−2.54)**	(−2.52)**	(−2.08)**	(−1.76)*
Glamour * Mid FSCORE	−0.0005	−0.0005	−0.0001	−0.0040	−0.0051	0.0008
Glamour * Mid FSCORE	(−2.22)**	(−1.98)*	(−0.40)	(−1.17)	(−1.22)	(0.12)
Middle	0.0017	0.0010	0.0015	−0.0073	−0.0046	−0.0041
Middle	(1.49)	(0.54)	(1.06)	(−2.98)***	(−2.58)**	(−1.05)
Middle * Low FSCORE	−0.0011	−0.0013	−0.0007	−0.0021	−0.0031	0.0052
Middle * Low FSCORE	(−4.05)***	(−3.65)***	(−2.15)**	(−0.43)	(−0.53)	(0.62)
Middle * High FSCORE	0.0006	0.0007	0.0003	0.0081	0.0071	0.0090
Middle * High FSCORE	(3.56)***	(3.42)***	(1.13)	(2.90)***	(2.04)**	(1.55)
Value	−0.0004	−0.0013	0.0003	−0.0104	−0.0069	−0.0162
Value	(−0.33)	(−0.71)	(0.22)	(−2.03)**	(−1.26)	(−1.14)
Value * Mid FSCORE	0.0011	0.0013	0.0003	0.0025	0.0005	0.0138
Value * Mid FSCORE	(3.69)***	(3.60)***	(1.11)	(0.62)	(0.09)	(1.02)
Value * High FSCORE	0.0015	0.0017	0.0012	0.0128	0.0095	0.0284
Value * High FSCORE	(4.40)***	(4.10)***	(3.35)***	(2.90)***	(1.75)*	(1.74)*
Country dummies	Yes	Yes	Yes	Yes	Yes	Yes
R-squared	0.0581	0.0471	0.0735	0.0019	0.0024	0.0049
N of firms	23,011	14,770	8,241	23,011	14,770	8,241
N	567,655	395,872	171,783	567,655	395,872	171,783

Note(s): This table presents the estimations results of the institutional trading on expectation errors in global markets using regression model (3). The global sample contains 34 markets outside the USA, including 19 developed markets and 15 emerging markets. The dependent variables are the change of institutional ownership and the size-adjusted change of the institutional ownership 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. We apply the Fama and MacBeth (1973) procedure with country dummy variables. The t-statistics reported in parentheses are adjusted by firm-clustered standard errors. The lag is one quarter. The sample period is from 2000Q2 to 2013Q4 (55 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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