Why Managers Hold Shares of Their Firms: An Empirical Analysis

Table 5: Multivariate Evidence

This table contains the results of Fama and MacBeth (1973) regressions of
Model (2) as described in the main text. The dependent variable is the indi-
vidual firm’s monthly raw return (Columns 1 and 2) and industry adjusted
return (Columns 3 and 4), respectively. Independent variables are Shrown,
the share of stocks owned by the CEO of the firm; D(10%), a dummy vari-
able that takes on the value one if Shrown is larger than 10%, and zero
otherwise; and the Gompers, Ishii, and Metrick (2003) G-Index. The re-
maining control variables are the same as used by Brennan, Chordia, and
Subrahmanyam (1998) and Gompers, Ishii, and Metrick (2003) and are de-
scribed in detail in Appendix 2 of the latter paper. Numbers are in percent.
Standard errors are in parentheses. ***, **, and * indicate significance at the
one, five, and ten percent level, respectively.

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