Why Managers Hold Shares of Their Firms: An Empirical Analysis

Table 4: Robustness Checks

This table reports monthly α estimates in % from Model (1) as described
in the main text for value-weighted (Panels A to D and Panels F to
H) managerial ownership portfolios. We report results for managerial
ownership portfolios consisting of S&P 1500 firms with more than 5%
and 10% CEO ownership, respectively (except in the last line in Panel C
and in Panel D). In Panel A, estimation results for difference portfolios
consisting of a long position in the managerial owernship portfolio and a
short position in the no managerial ownership portfolio are reported. In
Panel B, results for industry adjusted managerial ownership portfolios are
presented. Each firm return is adjusted by the return of the Fama-French
industry return of the industry this firm belongs to before constructing
portfolios. Panel C presents results for an estimation based on subsamples.
The first line reports results for a sample period including all months from
January 1996 till February 2002 (the peak of the tech bubble). The second
line contains results for March 2002 till December 2004. The last line
contains results for S&P 500 sample firms for the period January 1996 till
December 2004. In Panel D, instead of using our Execucomp data, we use
ownership data provided by Dlugosz, Fahlenbrach, Gompers, and Metrick
(2006) (DFGM). We examine managerial ownership portfolios with a cutoff
of 5% and 10% managerial ownership, respectively. In addition to the time
period 1997 to 2002, for which the alternative data is available, we also
examine the period 1997 to 2005, assuming that managerial ownership
remains constant from 2002 to 2005. In Panel E, we calculate portfolio
returns by equal-weighting individual stock returns of the constituent
firms. Panel F presents the results from buy-and-hold strategies, where
the portfolio was set up in 1996 and not readjusted. We examine a
buy-and-hold strategy with a 5% and with a 10% cutoff for managerial
ownership. In Panel G, we present results for the full universe of S&P 1500
firms as well as for managerial ownership portfolios with cutoffs of 5%
and 10% managerial ownership where all missing returns are replaced by -1.

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