Why Managers Hold Shares of Their Firms: An Empirical Analysis



Table 4: (continued)

In Panel H, portfolios are constructed based on the rank of the managerial
ownership of that officer who owns the highest fraction of the firm’s
outstanding shares. We examine portfolios consisting of the 100 and 250
firms with the highest managerial ownership, respectively. 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: Difference Portfolios

CEO Ownership

> 5%

> 10%

Obs.

Long-Short Portfolios

0.629**

( 0.338 )

0.897***

( 0.390 )

120

Panel B: Industry-Adjusted Returns

Fama-French Industries

0.639*

( 0.382 )

0.911**

( 0.439 )

120

Panel C: Temporal Stability

Jan 1996 - Feb 2000 (S&P 1500)

0.660

( 0.463 )

0.934*

( 0.565 )

50

Mar 2000 - Dec 2004 (S&P 1500)

0.483

( 0.477 )

0.769*

( 0.421 )

70

Jan 1996 - Dec 2004 (S&P 500)

0.989***

( 0.365 )

1.238***

( 0.417 )

120

Panel D: Alternative Samples

DFGM 1997-2005

0.885**

( 0.389 )

1.184**

( 0.478 )

108

DFGM 1997-2002

1.366**

( 0.549 )

1.788***

( 0.669 )

72

Panel E: Weighting Scheme

Equal Weighted Portfolio

0.238

( 0.159 )

0.381**

( 0.166 )

120

Panel F: No Rebalancing

Buy-and-Hold Returns

0.712**

( 0.311 )

0.907**

( 0.379 )

120

39



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