Changes in institutional holdings in the liquid group (IMAGE)
Caption
This figure shows changes in institutional ownership (IO) for decile portfolios (G01-G10) sorted by values based on the ex ante probability of price crashes (CRASHP) and ex ante probability of price jackpots (JACKP) in the liquid group. At the end of each quarter t, decile portfolios are constructed by grouping high-liquid stocks based on CRASHP or JACKP. G01 represents the portfolio at the bottom 10% of CRASHP (JACKP), and G10 is the portfolio at the top 10% of CRASHP (JACKP). In part (a), we plot the time-series and cross-sectional average of change in IO between the end of quarter t and the end of quarter t-6 for each decile. Parts (b) and (c) display changes in IO around the entry into stocks of the top 10% of values based on CRASHP and JACKP, respectively. For the stocks that enter into C10 (or J10) at the end of quarter t, we present the average number of IO of the stocks in excess of the mean of each measure for all stocks in the same quarter, for six-quarters before and after the entry into C10 (or J10). The sample is from the fourth quarter of 2005 to the third quarter of 2021
Credit
Yi Fang (Jilin University, China) Hui Niu (Nanjing University of Finance and Economics, China)
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