Institutional trading on expectation errors: alternative fundamental measures
| Glamour stocks | Value stocks | |||||
|---|---|---|---|---|---|---|
| Low profitability | High profitability | H – L | Low profitability | High profitability | H – L | |
| ROA | −0.1938% | −0.1745% | 0.0194% | −0.7281% | 1.2379% | 1.9661% |
| (−0.71) | (−1.53) | (0.06) | (−3.27)*** | (4.61)*** | (6.06)*** | |
| ROE | −0.3822% | 0.1021% | 0.4844% | −0.8107% | 1.2788% | 2.0895% |
| (−1.71)* | (0.72) | (1.98)** | (−3.88)*** | (4.35)*** | (5.60)*** | |
| GP | −0.5104% | 0.2541% | 0.7644% | −0.4043% | 0.6861% | 1.0904% |
| (−1.92)* | (1.59) | (2.50)** | (−2.66)*** | (2.58)** | (3.48)*** | |
| OP | −0.2877% | 0.0635% | 0.3512% | −0.2746% | 0.3871% | 0.6617% |
| (−1.24) | (0.47) | (1.52) | (−1.40) | (1.33) | (2.06)** | |
| COP | −0.1933% | −0.1943% | −0.0010% | −0.1531% | 1.0956% | 1.2487% |
| (−0.68) | (−1.64) | (−0.00) | (−0.94) | (3.90)*** | (4.18)*** | |
| Glamour stocks | Value stocks | |||||
|---|---|---|---|---|---|---|
| Low profitability | High profitability | H – L | Low profitability | High profitability | H – L | |
| ROA | −0.1938% | −0.1745% | 0.0194% | −0.7281% | 1.2379% | 1.9661% |
| (−0.71) | (−1.53) | (0.06) | (−3.27)*** | (4.61)*** | (6.06)*** | |
| ROE | −0.3822% | 0.1021% | 0.4844% | −0.8107% | 1.2788% | 2.0895% |
| (−1.71)* | (0.72) | (1.98)** | (−3.88)*** | (4.35)*** | (5.60)*** | |
| GP | −0.5104% | 0.2541% | 0.7644% | −0.4043% | 0.6861% | 1.0904% |
| (−1.92)* | (1.59) | (2.50)** | (−2.66)*** | (2.58)** | (3.48)*** | |
| OP | −0.2877% | 0.0635% | 0.3512% | −0.2746% | 0.3871% | 0.6617% |
| (−1.24) | (0.47) | (1.52) | (−1.40) | (1.33) | (2.06)** | |
| COP | −0.1933% | −0.1943% | −0.0010% | −0.1531% | 1.0956% | 1.2487% |
| (−0.68) | (−1.64) | (−0.00) | (−0.94) | (3.90)*** | (4.18)*** | |
Note(s): This table reports the time-series average of the cross-sectional mean of the changes in size-adjusted institutional ownership in the stock portfolios by BM and alternative fundamental signals. The financial measures include ROA, ROE, gross profitability (GP), operating profitability (OP) and cash-based operating profitability (COP). Panel A give results from full sample period. Panels B and C present results for 1982–199 and 2000–2015. The row H – L reports the differences of the coefficients between high profitability and low profitability firms. 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
As a benefit of your subscription, you can share temporary access to restricted articles.
Each link will stop working after 30 days or 10 uses. You may create up to 10 links in a 30 day period.
Please sign in to your personal account to gift article access.
As a benefit of your subscription, you can share temporary access to restricted articles.
Each link will stop working after 30 days or 10 uses. You may create up to 10 links in a 30 day period.
Gift articles remaining: --
Each link will stop working after 30 days or 10 uses. You may create up to 10 links in a 30 day period.
Gift articles remaining: --
As a benefit of your subscription, you can share temporary access to restricted articles.
Each link will stop working after 30 days or 10 uses.
You have reached the limit of 10 links within a 30 day period.
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.