Why Managers Hold Shares of Their Firms: An Empirical Analysis



Table 2: Results for All Firms

This table describes estimation results for value-weighted portfolio returns
consisting of all S&P 500 and S&P 1500 sample firms, respectively, using
the four factor Model (1) as described in the main text. Alphas are on
a monthly basis. Standard errors are in parentheses. The number of
months used to estimate the model is given in the last column.
***, **,
and
* indicate significance at the one, five, and ten percent level, respectively.

Portfolio

α

RMRF

SMB

HML

Mom.

Obs.

S&P 1500

0.08

(0.083)

0.928***
(0.02)

-0.071***

(0.021)

0.009

(0.027)

-0.039***

(0.012)

120

S&P 500

0.132
(0.085)

0.903***

(0.022)

0.12***

(0.023)

-0.029

(0.029)

-0.048***

(0.013)

144

36



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