. Author manuscript; available in PMC: 2014 Jul 1.

Published in final edited form as: Rev Financ. 2013 Oct 25;17(4):1239–1278. doi: 10.1093/rof/rfs026

Table 8. Future returns: Fama-MacBeth regressions.

This table shows coefficients from monthly Fama-MacBeth regressions where the dependent variable is the stock’s month t + 1 return. Each month, we run cross-sectional regressions separately within each tradable market capitalization quintile and average the coefficients from these five regressions. The coefficients reported in the table are time-series averages of these averaged coefficients, and the standard errors in parentheses are based on the time-series standard deviations of these averaged coefficients. Most of the explanatory variables are as defined in Table 2. “Top 10% of Δwealth-weighted inst. breadth” is a dummy variable for a stock being in the top ten percentiles of month t’s wealth-weighted institutional breadth change distribution within its tradable market capitalization quintile. “Earnings announced” is a dummy variable for the company announcing earnings in month t. Average R² is the average of the cross-sectional regressions’ R² values. Stock-months are excluded from the sample if there are not a positive number of retail investors and a positive number of institutional investors in the stock at both t and t − 1.

Δlog(Institutional	0.333^**	0.329^**	0.179	0.087	0.202	0.238	0.095
ownership_i,t)	(0.088)	(0.098)	(0.096)	(0.092)	(0.141)	(0.263)	(0.115)
ΔEqual-weighted retail			−39.540^**	−37.554^**	−28.319^*	−35.886^**
breadth_i,t			(4.539)	(4.685)	(12.866)	(5.962)
Top 10% of Δwealth-				0.606^*	−0.362	0.003
weighted inst. breadth_i,t				(0.267)	(0.989)	(0.434)
log(Total market cap_i,t)	−0.396	−0.266	−0.283	−0.300	0.349	−0.348	−0.350
	(0.203)	(0.210)	(0.208)	(0.205)	(0.423)	(0.257)	(0.209)
Book-to-market_i,t	1.343^*	1.566^**	1.319^*	1.382^*	2.189	−0.508	1.756^**
	(0.575)	(0.555)	(0.548)	(0.548)	(1.122)	(0.999)	(0.536)
Return_{i,t–11→t–1} ÷ 100	0.763	1.051^*	1.291^*	1.267^*	1.642	2.680^*	1.021^*
	(0.523)	(0.529)	(0.523)	(0.523)	(0.918)	(1.064)	(0.491)
Return_i,t÷ 100		−1.731	−5.855^**	−6.158^**	0.901	−4.849^*	−5.694^**
	(1.530)	(1.570)	(1.581)	(2.850)	(2.169)		(1.582)
Prior quarter turnover_i,t		−0.622^**	−0.560^*	−0.547^*	−0.718	−0.329	−0.294
		(0.232)	(0.234)	(0.239)	(0.374)	(0.334)	(0.238)
Liquidity ratio_i,t		−1.934^**	−1.898^**	−1.910^**	−3.317^**	−2.921	−1.510^*
		(0.635)	(0.631)	(0.673)	(1.015)	(1.701)	(0.748)
High relative volume_i,t		−0.643^**	−0.529^*	−0.518^*	0.953	−0.131	−0.492^*
		(0.246)	(0.246)	(0.248)	(1.780)	(0.305)	(0.240)
Low relative volume_i,t		0.231	0.178	0.189	−0.746	0.351	0.244
		(0.227)	(0.229)	(0.233)	(0.440)	(0.304)	(0.234)
Earnings announced_i,t					−0.409
					(0.408)
Earnings announced_i,t×					−3.644
ΔEW retail breadth_i,t							(15.576)
Earnings announced_i,t×					0.913
Top 10% of ΔWW					(0.971)
inst. breadth_i,t
λ _i,t					−14.384 (23.070)
Equal-weighted							−52.075^**
retail IN_i,t							(6.884)
Equal-weighted							20.728^**
retail OUT_i,t							(6.265)
Wealth-weighted							−0.456
inst. IN_i,t							(1.832)
Wealth-weighted							0.426
inst. OUT_i,t							(1.514)
Constant	7.254^*	6.911^*	7.082^*	7.271^*	−1.435	8.635^*	8.000^*
	(3.227)	(3.262)	(3.260)	(3.218)	(6.090)	(3.828)	(3.295)
# months	137	137	137	137	34	137	137
Average R²	0.104	0.211	0.233	0.247	0.270	0.363	0.281

Significant at the 5% level.

^**

Significant at the 1% level.