Table 3: Managerial Ownership Portfolios
This table describes estimation results of the four factor model Model (1)
as described in the main text for value-weighted managerial ownership
portfolios. Portfolios are constructed based on the fraction of the firm’s out-
standing shares owned by the officer with the highest managerial ownership.
The cutoff for managerial ownership of the respective portfolio is based on
the Execucomp data-item Shrownpc and is given in the first column. Stocks
are selected from the S&P 1500 and S&P 500 universe, respectively. 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.
Panel A: S&P 1500
|
Shrown |
α |
RMRF |
SMB |
HML |
Mom. |
Obs. |
|
>5 |
0.684** ( 0.283 ) |
1.112*** ( 0.068 ) |
-0.136* ( 0.072 ) |
-0.396*** ( 0.092 ) |
-0.043 ( 0.039 ) |
120 |
|
>7.5 |
0.809*** ( 0.308 ) |
1.118*** ( 0.074 ) |
-0.188** ( 0.079 ) |
-0.47*** ( 0.1 ) |
-0.05 ( 0.043 ) |
120 |
|
>10 |
0.953*** ( 0.339 ) |
1.115*** ( 0.081 ) |
-0.239*** ( 0.087 ) |
-0.547*** ( 0.11 ) |
-0.034 ( 0.047 ) |
120 |
|
>12.5 |
1.121*** ( 0.385 ) |
1.201*** ( 0.093 ) |
-0.211** ( 0.099 ) |
-0.546*** ( 0.125 ) |
-0.039 ( 0.054 ) |
120 |
|
>15 1.261*** ( 0.42 ) Panel B: S&P 500 |
1.163*** ( 0.101 ) |
-0.185* ( 0.107 ) |
-0.566*** ( 0.136 ) |
-0.04 ( 0.059 ) |
120 | |
|
Shrown |
α |
RMRF |
SMB |
HML |
Mom. |
Obs. |
|
>5 |
0.777** ( 0.314 ) |
1.031*** ( 0.079 ) |
-0.277*** ( 0.086 ) |
-0.59*** ( 0.108 ) |
-0.085* ( 0.047 ) |
144 |
|
>7.5 |
0.893*** ( 0.335 ) |
1.033*** ( 0.085 ) |
-0.317*** ( 0.092 ) |
-0.649*** ( 0.115 ) |
-0.091* ( 0.051 ) |
144 |
|
>10 |
1.038*** ( 0.362 ) |
1.023*** ( 0.091 ) |
-0.356*** ( 0.1 ) |
-0.725*** ( 0.124 ) |
-0.073 ( 0.055 ) |
144 |
|
>12.5 |
1.199*** ( 0.41 ) |
1.11*** ( 0.104 ) |
-0.31*** ( 0.113 ) |
-0.728*** ( 0.141 ) |
-0.084 ( 0.062 ) |
144 |
|
>15 |
1.038*** ( 0.362 ) |
1.023*** ( 0.091 ) |
-0.356*** ( 0.1 ) |
-0.725*** ( 0.124 ) |
-0.073 ( 0.055 ) |
144 |
37