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
More intriguing information
1. A parametric approach to the estimation of cointegration vectors in panel data2. Auctions in an outcome-based payment scheme to reward ecological services in agriculture – Conception, implementation and results
3. Cryothermal Energy Ablation Of Cardiac Arrhythmias 2005: State Of The Art
4. Fiscal Insurance and Debt Management in OECD Economies
5. Backpropagation Artificial Neural Network To Detect Hyperthermic Seizures In Rats
6. The name is absent
7. Palvelujen vienti ja kansainvälistyminen
8. A Location Game On Disjoint Circles
9. Credit Markets and the Propagation of Monetary Policy Shocks
10. Optimal Tax Policy when Firms are Internationally Mobile