Table 11 Institutional trading on...

Table 11

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

	Market-to-book	Total error	Firm-specific error	Sector error	Value-to-Book
Panel A: Quarterly change of size-adjusted institutional ownership: ΔIOADJ
Low	−0.1333%	0.3508%	0.3060%	0.1053%	−0.5303%
Low	(−0.89)	(2.71)***	(2.21)**	(0.68)	(−4.50)***
2	0.0298%	0.0130%	−0.000002	0.0494%	−0.1548%
2	(0.29)	(0.14)	(−0.00)	(0.48)	(−1.43)
3	0.1923%	−0.0230%	−0.000138	−0.1570%	−0.0896%
3	(2.09)**	(−0.25)	(−0.14)	(−1.78)*	(−1.17)
4	−0.0609%	−0.1825%	−0.001174	−0.0458%	0.0924%
4	(−0.78)	(−1.99)**	(−1.36)	(−0.38)	(0.94)
High	−0.3328%	−0.4594%	−0.004770	−0.2510%	0.3846%
High	(−2.64)***	(−4.29)***	(−4.44)***	(−2.33)**	(2.61)***
L − H	0.1995%	0.8102%	0.7830%	0.3563%	−0.9150%
L − H	(0.83)	(4.26)***	(3.90)***	(1.60)	(−3.91)***
Panel B: Quarterly change of the size-adjusted number of institutional investors: ΔNUMADJ
Low	0.5559%	0.8344%	0.9109%	−0.0315%	−0.2016%
Low	(3.71)***	(6.41)***	(7.43)***	(−0.15)	(−1.69)*
2	0.2549%	0.2245%	0.1518%	0.1646%	0.1533%
2	(2.47)**	(2.35)**	(1.63)	(1.28)	(1.50)
3	−0.0933%	−0.1179%	−0.0867%	0.0744%	−0.1644%
3	(−1.12)	(−1.57)	(−1.08)	(0.81)	(−2.23)**
4	−0.3584%	−0.3389%	−0.3526%	−0.2197%	−0.2385%
4	(−4.67)***	(−3.96)***	(−4.99)***	(−1.72)*	(−2.83)***
High	−0.6745%	−0.9127%	−0.9338%	−0.2961%	0.1378%
High	(−3.79)***	(−5.67)***	(−6.05)***	(−1.65)	(0.81)
L – H	1.2304%	1.7471%	1.8448%	0.2646%	−0.3394%
L – H	(4.02)***	(6.37)***	(7.19)***	(0.76)	(−1.27)

	Market-to-book	Total error	Firm-specific error	Sector error	Value-to-Book
Panel A: Quarterly change of size-adjusted institutional ownership: ΔIOADJ
Low	−0.1333%	0.3508%	0.3060%	0.1053%	−0.5303%
Low	(−0.89)	(2.71)***	(2.21)**	(0.68)	(−4.50)***
2	0.0298%	0.0130%	−0.000002	0.0494%	−0.1548%
2	(0.29)	(0.14)	(−0.00)	(0.48)	(−1.43)
3	0.1923%	−0.0230%	−0.000138	−0.1570%	−0.0896%
3	(2.09)**	(−0.25)	(−0.14)	(−1.78)*	(−1.17)
4	−0.0609%	−0.1825%	−0.001174	−0.0458%	0.0924%
4	(−0.78)	(−1.99)**	(−1.36)	(−0.38)	(0.94)
High	−0.3328%	−0.4594%	−0.004770	−0.2510%	0.3846%
High	(−2.64)***	(−4.29)***	(−4.44)***	(−2.33)**	(2.61)***
L − H	0.1995%	0.8102%	0.7830%	0.3563%	−0.9150%
L − H	(0.83)	(4.26)***	(3.90)***	(1.60)	(−3.91)***
Panel B: Quarterly change of the size-adjusted number of institutional investors: ΔNUMADJ
Low	0.5559%	0.8344%	0.9109%	−0.0315%	−0.2016%
Low	(3.71)***	(6.41)***	(7.43)***	(−0.15)	(−1.69)*
2	0.2549%	0.2245%	0.1518%	0.1646%	0.1533%
2	(2.47)**	(2.35)**	(1.63)	(1.28)	(1.50)
3	−0.0933%	−0.1179%	−0.0867%	0.0744%	−0.1644%
3	(−1.12)	(−1.57)	(−1.08)	(0.81)	(−2.23)**
4	−0.3584%	−0.3389%	−0.3526%	−0.2197%	−0.2385%
4	(−4.67)***	(−3.96)***	(−4.99)***	(−1.72)*	(−2.83)***
High	−0.6745%	−0.9127%	−0.9338%	−0.2961%	0.1378%
High	(−3.79)***	(−5.67)***	(−6.05)***	(−1.65)	(0.81)
L – H	1.2304%	1.7471%	1.8448%	0.2646%	−0.3394%
L – H	(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

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