Table 10

Institutional trading on expectation errors: alternative fundamental measures

Glamour stocksValue stocks
Low profitabilityHigh profitabilityH – LLow profitabilityHigh profitabilityH – 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

Source(s): Created by authors
[ViewLarge]
This Feature Is Available To Subscribers Only

or Create an Account

Close Modal
Close Modal