Why Managers Hold Shares of Their Firms: An Empirical Analysis



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



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