stratified portfolio that shows a largest increase in institutional (or individual) ownership. Similarly, firms within each of the other nine portfolios are re-aggregated in the same manner. In Table 5, we report the average monthly stock returns by deciles based on adjusted changes in institutional ownership (AdjDITH). The portfolios are constructed to isolate them from any possible influence of level of institutional ownership. This sorting procedure produces 10 portfolios with similar institutional ownership levels. Similar to Kim and Nofsinger (2005), the average level of shares held by all institutions is about 61%. The average ownership of individual investors is around 32%. The reported returns are the monthly averages in the 12 months following each June. The portfolio returns are equal and value weighted. We adopt two methods to adjust the monthly stock returns. First, we measure the abnormal returns for each portfolio with the intercept of the Carhart (1997) four-factor model. The second method is the benchmark-adjusted procedure. Abnormal returns are calculated using size- and average portfolio returns. To construct the benchmark BE/ME-adjusted portfolios, we independently sort whole-listed stocks into size and deciles. BE/ME Next, we compute a monthly value-weighted average return for each of the 100 (10 x 10) portfolios. The monthly abnormal return for each stock is the difference between the stock’s monthly raw return and its monthly benchmark portfolio return. Evidence indicates that the with higher earn lower subsequent AdjDITH returns. Equal- (value-) weighted monthly raw returns decrease from an average of 1.12% (0.90%) for the lowest to 0.66% (0.45%) for the highest decile. The AdjDITH equal- (value-) weighted average of the monthly raw return difference between stocks in the highest decile and stocks in the lowest decile is -0.46% (-0.45%), which is
stratified portfolio that shows a largest increase in institutional (or individual) ownership. Similarly, firms within each of the other nine portfolios are re-aggregated in the same manner. In Table 5, we report the average monthly stock returns by deciles based on adjusted changes in institutional ownership (AdjDITH). The portfolios are constructed to isolate them from any possible influence of level of institutional ownership. This sorting procedure produces 10 portfolios with similar institutional ownership levels. Similar to Kim and Nofsinger (2005), the average level of shares held by all institutions is about 61%. The average ownership of individual investors is around 32%. The reported returns are the monthly averages in the 12 months following each June. The portfolio returns are equal and value weighted. We adopt two methods to adjust the monthly stock returns. First, we measure the abnormal returns for each portfolio with the intercept of the Carhart (1997) four-factor model. The second method is the benchmark-adjusted procedure. Abnormal returns are calculated using size- and BE/ME-adjusted average portfolio returns. To construct the benchmark portfolios, we independently sort whole-listed stocks into size and BE/ME deciles. Next, we compute a monthly value-weighted average return for each of the 100 (10 x 10) portfolios. The monthly abnormal return for each stock is the difference between the stock’s monthly raw return and its monthly benchmark portfolio return. Evidence indicates that the with higher AdjDITH earn lower subsequent returns. Equal- (value-) weighted monthly raw returns decrease from an average of 1.12% (0.90%) for the lowest to 0.66% (0.45%) for the highest AdjDITH decile. The equal- (value-) weighted average of the monthly raw return difference between stocks in the highest decile and stocks in the lowest decile is -0.46% (-0.45%), which is
092-JPins_20th-PBF_2012%208%2019.docx