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 |