returns. In this section, we examine the interactive relation between premium AdjDITH (or premium) and (or size) premium. We use independent double AdjDIND BE/ME on (or size) and (or to explore the effect of BE/ME AdjDITH AdjDIND) institutional trading (or individual trading) on and size premiums. BE/ME Specifically, at the end of each June, we sort all stocks into 25 portfolios independently based on (or size) and (or The results are BE/ME AdjDITH AdjDIND). shown in Table 8. the evidence indicates that and size premiums appear to have a BE/ME weak relation to and For example, Panel A indicates that there is AdjDITH AdjDIND. no systematic pattern of premium (returns on stocks with high minus BE/ME BE/ME returns on stocks with low across and portfolios. The size BE/ME) AdjDITH AdjDIND premium in Panel B also shows similar evidence. Second, and AdjDITH AdjDIND premiums have little association with and size. For instance, and BE/ME AdjDITH premiums show no systematic pattern across and size portfolios. As AdjDIND BE/ME a result, although stocks with high (low) tend to experience institutional BE/ME (net-buying), the influences of and institutional trading on stock BE/ME returns seem to be weakly related. For a robustness check, we use the dependent sorting procedure (i.e., AdjDITH (or is sorted first followed by (or size)) to explore the effect of AdjDIND) BE/ME (or on and size premiums. The results shown in Table 9 AdjDITH AdjDIND) BE/ME suggest that and size premiums are not driven by and BE/ME AdjDITH AdjDIND. Specifically, holding constant, value and size premiums remain significantly AdjDITH different from zero. <Insert Tables 8 and 9 about here>
returns. In this section, we examine the interactive relation between AdjDITH premium (or AdjDIND premium) and BE/ME (or size) premium. We use independent double on BE/ME (or size) and AdjDITH (or AdjDIND) to explore the effect of institutional trading (or individual trading) on BE/ME and size premiums. Specifically, at the end of each June, we sort all stocks into 25 portfolios independently based on BE/ME (or size) and AdjDITH (or AdjDIND). The results are shown in Table 8. the evidence indicates that BE/ME and size premiums appear to have a weak relation to AdjDITH and AdjDIND. For example, Panel A indicates that there is no systematic pattern of BE/ME premium (returns on stocks with high BE/ME minus returns on stocks with low BE/ME) across AdjDITH and AdjDIND portfolios. The size premium in Panel B also shows similar evidence. Second, AdjDITH and AdjDIND premiums have little association with BE/ME and size. For instance, AdjDITH and AdjDIND premiums show no systematic pattern across BE/ME and size portfolios. As a result, although stocks with high (low) BE/ME tend to experience institutional (net-buying), the influences of BE/ME and institutional trading on stock returns seem to be weakly related. For a robustness check, we use the dependent sorting procedure (i.e., AdjDITH (or AdjDIND) is sorted first followed by BE/ME (or size)) to explore the effect of AdjDITH (or AdjDIND) on BE/ME and size premiums. The results shown in Table 9 suggest that BE/ME and size premiums are not driven by AdjDITH and AdjDIND. Specifically, holding AdjDITH constant, value and size premiums remain significantly different from zero. <Insert Tables 8 and 9 about here>
092-JPins_20th-PBF_2012%208%2019.docx