Table 11

Institutional trading on expectation errors: an alternative method to decompose book-to-market

Market-to-bookTotal errorFirm-specific errorSector errorValue-to-Book
Panel A: Quarterly change of size-adjusted institutional ownership: ΔIOADJ
Low−0.1333%0.3508%0.3060%0.1053%−0.5303%
(−0.89)(2.71)***(2.21)**(0.68)(−4.50)***
20.0298%0.0130%−0.0000020.0494%−0.1548%
(0.29)(0.14)(−0.00)(0.48)(−1.43)
30.1923%−0.0230%−0.000138−0.1570%−0.0896%
(2.09)**(−0.25)(−0.14)(−1.78)*(−1.17)
4−0.0609%−0.1825%−0.001174−0.0458%0.0924%
(−0.78)(−1.99)**(−1.36)(−0.38)(0.94)
High−0.3328%−0.4594%−0.004770−0.2510%0.3846%
(−2.64)***(−4.29)***(−4.44)***(−2.33)**(2.61)***
L − H0.1995%0.8102%0.7830%0.3563%−0.9150%
(0.83)(4.26)***(3.90)***(1.60)(−3.91)***
Panel B: Quarterly change of the size-adjusted number of institutional investors: ΔNUMADJ
Low0.5559%0.8344%0.9109%−0.0315%−0.2016%
(3.71)***(6.41)***(7.43)***(−0.15)(−1.69)*
20.2549%0.2245%0.1518%0.1646%0.1533%
(2.47)**(2.35)**(1.63)(1.28)(1.50)
3−0.0933%−0.1179%−0.0867%0.0744%−0.1644%
(−1.12)(−1.57)(−1.08)(0.81)(−2.23)**
4−0.3584%−0.3389%−0.3526%−0.2197%−0.2385%
(−4.67)***(−3.96)***(−4.99)***(−1.72)*(−2.83)***
High−0.6745%−0.9127%−0.9338%−0.2961%0.1378%
(−3.79)***(−5.67)***(−6.05)***(−1.65)(0.81)
L – H1.2304%1.7471%1.8448%0.2646%−0.3394%
(4.02)***(6.37)***(7.19)***(0.76)(−1.27)

Note(s): This table reports the time-series average of the cross-sectional mean of the quarterly changes of size-adjusted institutional ownership and the quarterly changes of size-adjusted number of institutional investors in the stock portfolios by market-to-book and its decomposed components, total pricing error (including firm-specific error and sector error) and value-to-book (Rhodes-Kropf et al., 2005). The row L – H reports the differences of the coefficients between low market-to-book (and mispricing and value-to-book components) and high market-to-book (and mispricing and value-to-book components) firms. The sample period is from 1982Q1 to 2015Q4 (136 quarters). 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

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.

Please sign in to your personal account to gift article access.

Register

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: --

Gift article access

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: --

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 have reached the limit of 10 links within a 30 day period.

Sharing Unavailable

Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.