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