where industry is measured by the two-digits SIC industry. Adjusted change in DITH individual ownership (AdjDIND) is defined similarly. The time line for the measures of book-to-market ratio, market capitalization, institutional and individual investors’ trading, and the subsequent stock return performance is illustrated in Figure 1. < Insert Figure 1 about here> Following the previous literature, we do not include firms until they are in the PACAP database for two years to reduce survival biases. These requirements should reduce the influence of small, young growth stocks on the results. To prevent extreme observations from influencing our results, we follow the literature (Fama and French, 1992; Dichev, 1998) and winsorize the top 99% and bottom 1% of all relevant variables. The resulting sample data are summarized in Table 1. As a first step in analyzing the data, we compute the correlations between the variables. As demonstrated in Panel B of Table 1, is negatively correlated with AdjDITH BE/ME and size. In addition, is positively associated with and negatively AdjDIND BE/ME associated with ME. <Insert Table 1 about here> Relations between size, and BE/ME, AdjDITH, AdjDIND In this section, we present preliminary results on the associations between size, and In Table 2, we report equal- and BE/ME, AdjDITH, AdjDIND. value-weighted monthly stock returns and average lagged institutional ownership (LITH), lagged individual ownership (LIND), adjusted institutional trading (AdjDITH), and adjusted individual trading (AdjDIND) estimates for 25 portfolios based on and as in Fama and French (1993). BE/ME ME, First, high stocks outperform low stocks over the sample period. BE/ME BE/ME For example, average equal- (value-) weighted monthly stock returns are 1.15%
where industry DITH is measured by the two-digits SIC industry. Adjusted change in individual ownership (AdjDIND) is defined similarly. The time line for the measures of book-to-market ratio, market capitalization, institutional and individual investors’ trading, and the subsequent stock return performance is illustrated in Figure 1. < Insert Figure 1 about here> Following the previous literature, we do not include firms until they are in the PACAP database for two years to reduce survival biases. These requirements should reduce the influence of small, young growth stocks on the results. To prevent extreme observations from influencing our results, we follow the literature (Fama and French, 1992; Dichev, 1998) and winsorize the top 99% and bottom 1% of all relevant variables. The resulting sample data are summarized in Table 1. As a first step in analyzing the data, we compute the correlations between the variables. As demonstrated in Panel B of Table 1, AdjDITH is negatively correlated with BE/ME and size. In addition, AdjDIND is positively associated with BE/ME and negatively associated with ME. <Insert Table 1 about here> Relations between BE/ME, size, AdjDITH, and AdjDIND In this section, we present preliminary results on the associations between BE/ME, size, AdjDITH, and AdjDIND. In Table 2, we report equal- and value-weighted monthly stock returns and average lagged institutional ownership (LITH), lagged individual ownership (LIND), adjusted institutional trading (AdjDITH), and adjusted individual trading (AdjDIND) estimates for 25 portfolios based on BE/ME and ME, as in Fama and French (1993). First, high BE/ME stocks outperform low BE/ME stocks over the sample period. For example, average equal- (value-) weighted monthly stock returns are 1.15%