Why Managers Hold Shares of Their Firms: An Empirical Analysis

Raw Returns

Industry-Adjusted Returns

(1)

(2)

(3)

(4)

Shrown

0.005

-0.020

0.012

-0.011

( 0.006 )

( 0.012 )

( 0.008 )

( 0.013 )

D(10%)

0.647^**

( 0.267 )

0.600^**

( 0.294 )

G

0.006

0.006

-0.007

-0.006

( 0.018 )

( 0.018 )

( 0.028 )

( 0.028 )

NASDUM

1.399

1.456

1.822

0.127

( 1.049 )

( 1.052 )

( 1.213 )

( 0.187 )

SP500

0.105

0.109

0.124

1.892

( 0.176 )

( 0.175 )

( 0.189 )

( 1.221 )

LOGBM

0.179*

0.183^*

0.220^*

0.222^*

( 0.100 )

( 0.100 )

( 0.130 )

( 0.130 )

LOGSIZE

-0.268

-0.273

-0.309

-0.313

( 0.205 )

( 0.204 )

( 0.203 )

( 0.202 )

Price

-0.001

-0.001

-0.004

-0.004

( 0.002 )

( 0.002 )

( 0.005 )

( 0.005 )

NYDVOL

0.228

0.229

0.359^*

0.360^*

( 0.159 )

( 0.159 )

( 0.195 )

( 0.195 )

NADVOL

0.145

0.142

0.246

0.242

( 0.188 )

( 0.188 )

( 0.223 )

( 0.223 )

Yield

-48.653

-50.046

-45.150

-45.877

( 41.526 )

( 41.540 )

( 44.061 )

( 43.951 )

Ret2-3

-0.481

-0.507

-0.559

-0.586

( 0.858 )

( 0.861 )

( 0.900 )

( 0.903 )

Ret4-6

0.038

0.040

-0.207

-0.195

( 0.685 )

( 0.687 )

( 0.733 )

( 0.735 )

Ret7-12

0.361

0.384

0.042

0.071

( 0.448 )

( 0.448 )

( 0.498 )

( 0.498 )

SGROWTH

0.018

0.019

0.034

0.035

( 0.022 )

( 0.022 )

( 0.043 )

( 0.043 )

Constant

2.833^*

2.922^*

1.076

1.146

( 1.621 )

( 1.612 )________

( 1.639 )

( 1.629 )