Table 4. Average parameter values from the cross-sectional regressions of annual book-to-market ratio and size on changes in institutional and individual ownership The annual logarithm of book-to-market ratio (size) is regressed on the adjusted changes in institutional ownership (AdjDITH) and adjusted changes in individual ownership (AdjDIND). Average parameter values are the time series averages, and are time-series averages t-statistics divided by the time-series standard errors (198 months). Ln denotes the natural logarithm. The variable definitions are presented in Table 1. are shown in parentheses. The t-statistics asterisks *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. Regression Specification, Average Parameter Values (%) and t-statistics Dependent variable Intercept AdjDITH AdjDIND -0.61*** -0.70*** (-7.36) (-2.79) Ln(BE/ME) -0.61*** 0.74*** (-7.40) (4.77) 10.40*** 0.42 (98.95) (0.54) Ln(ME) 10.41*** -1.94*** (99.49) (-4.90)
Table 4. Average parameter values from the cross-sectional regressions of annual book-to-market ratio and size on changes in institutional and individual ownership The annual logarithm of book-to-market ratio (size) is regressed on the adjusted changes in institutional ownership (AdjDITH) and adjusted changes in individual ownership (AdjDIND). Average parameter values are the time series averages, and t-statistics are time-series averages divided by the time-series standard errors (198 months). Ln denotes the natural logarithm. The variable definitions are presented in Table 1. t-statistics are shown in parentheses. The asterisks *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. Regression Specification, Average Parameter Values (%) and t-statistics Dependent variable Intercept AdjDITH AdjDIND Ln(BE/ME) -0.61*** -0.70*** (-7.36) (-2.79) -0.61*** 0.74*** (-7.40) (4.77) Ln(ME) 10.40*** 0.42 (98.95) (0.54) 10.41*** -1.94*** (99.49) (-4.90)
092-JPins_20th-PBF_2012%208%2019.docx