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Table 2 Descriptive statistics

From: Foreign institutional investors and stock return comovement

 

No. of obs.

Mean

Std. Dev.

5th Pctl.

Median

95th Pctl.

Institutional ownership variables

 IO_TOTALt-1

54,730

0.0942

0.1324

0.0004

0.0405

0.3669

 IO_DOMt-1

54,730

0.0516

0.0929

0.0000

0.0099

0.2350

 IO_FORt-1

54,730

0.0426

0.0859

0.0000

0.0082

0.2061

 IO_FOR_COMMONt-1

54,730

0.0315

0.0718

0.0000

0.0045

0.1573

 IO_FOR_CIVILt-1

54,730

0.0110

0.0305

0.0000

0.0003

0.1586

 IO_FOR_HASDt-1

54,730

0.0256

0.0483

0.0000

0.0080

0.0887

 IO_FOR_LASDt-1

54,730

0.0169

0.0279

0.0000

0.0042

0.0742

 IO_DOM_HIGHt-1

54,730

0.0079

0.0427

0.0000

0.0000

0.0562

 IO_DOM_LOWt-1

54,730

0.0195

0.0388

0.0000

0.0048

0.0944

 IO_FOR_HIGHt-1

54,730

0.0067

0.0394

0.0000

0.0000

0.0503

 IO_FOR_LOWt-1

54,730

0.0129

0.0263

0.0000

0.0029

0.0616

 IO_FOR_COMMON_HIGHt-1

54,730

0.0012

0.0155

0.0000

0.0000

0.0000

 IO_FOR_COMMON_LOWt-1

54,730

0.0066

0.0165

0.0000

0.0001

0.0343

 IO_FOR_CIVIL_HIGHt-1

54,730

0.0068

0.0398

0.0000

0.0000

0.0510

 IO_FOR_CIVIL_LOWt-1

54,730

0.0141

0.0285

0.0000

0.0033

0.0676

 IO_FOR_HASD_HIGHt-1

54,730

0.0010

0.0145

0.0000

0.0000

0.0000

 IO_FOR_HASD_LOWt-1

54,730

0.0053

0.0139

0.0000

0.0000

0.0278

 IO_FOR_LASD_HIGHt-1

54,730

0.0942

0.1324

0.0004

0.0405

0.3669

 IO_FOR_LASD_LOWt-1

54,730

0.0516

0.0929

0.0000

0.0099

0.2350

Return Comovement as test variable

 Comovementt

54,730

−1.2416

0.8791

−2.7325

−1.2330

0.1928

Firm-specific control variables

 SIZEt-1

54,730

9.8190

1.7425

7.2399

9.6344

13.1018

 Comovementt-1

54,730

−1.2798

0.8795

−2.7623

−1.2768

0.1599

 MBt-1

54,730

2.2286

2.8534

0.3714

1.3928

6.8754

 LEVt-1

54,730

0.1232

0.1322

0.0000

0.0843

0.3920

 ACCRt

54,730

0.9351

1.7425

0.0679

0.5772

2.7459

 ROAt

54,730

0.1307

0.1063

0.0197

0.1077

0.3129

 DIVERSt

54,730

3.8330

2.0233

1.0000

3.0000

8.0000

 HERFt

54,730

0.2456

0.2357

0.0295

0.1590

0.8073

 NINDt

54,730

7.0657

1.0714

5.1180

7.1824

8.3311

 NAFt

54,730

1.2639

1.0838

0.0000

1.0986

3.1781

 TURNt

54,730

0.0797

0.1342

0.0029

0.0353

0.3217

 SIZEt

54,690

9.9209

1.7554

7.3093

9.7335

13.2116

 MBt

54,689

2.9010

62.6531

0.3857

1.4056

6.5020

 DPt

54,730

0.0240

0.0866

0.0000

0.0147

0.0761

 PRICEt

54,730

1.5820

2.2509

−2.1483

1.5698

5.7461

 VOLAt

53,399

0.0695

0.1362

0.0024

0.0250

0.2973

 AGEt

54,730

4.8488

0.7569

3.4340

4.9416

5.9636

 RETt-2, t

54,724

0.0322

0.2346

−0.3092

0.0133

0.4421

 RETt-12, t-3

54,220

0.1646

0.5535

−0.4893

0.0754

1.1431

 FSALE

54,730

0.2007

0.4859

0.0000

0.0000

0.8779

  1. Notes. This table reports descriptive statistics. To be included in the sample, a firm must have stock returns and trading volume in the Datastream database and assets and other financial data in the Worldscope database for the period 1997–2006, as well as lagged financial data. The institutional ownership data are obtained from the Thomson One Ownership Module database. The exact definitions of variables are provided in Appendix A