Making sense in asset markets: Strategies for Implicit Organizations

Figures & data

Figure 1. Types of organization (within the shaded area) and non-organizations (outside) distinguished through formalization (contracts) and visibility of their membership mechanism.

Table 1. Descriptive statistics (excluding time dummies) for Xetra sample (first number, n = 4277) and NYSE sample (second number, n = 10193): mean, standard deviation, and correlation

	Mean	Standard deviation	Log volume	EquRec	UnivBuy	UnivSell
Log volume	10.65/12.22	2.68/2.06
EquRec	0.02/0.02	0.16/0.13	0.06**/0.12**
UnivBuy	0.05/0.02	0.21/0.14	0.11**/0.11**	−0.04*/−0.02*
UnivSell	0.001/0.003	0.02/0.06	0.01/0.05**	−0.01/−0.01	−0.01/−0.01
Return	1.09/1.03	0.16/0.19	−0.01/0.01	0.04*/0.04**	0.02/0.03**	−0.01/−0.01

^* Level of significance at p < 0.05.

^** Level of significance at p < 0.01.

Table 2. Reciprocal regression (ML estimation for generalized linear model with gamma distribution) on stock returns for a 90-day time window for Xetra sample

	Model 1	Model 2	Model 3
	Estimate
Intercept	0.985**	0.985**	0.985**
	(0.012)	(0.012)	(0.012)
Control variables
Log of volume	0	0.0001	0.0001
	(0)	(0.0001)	(0.0001)
14 Time dummies	Included**	Included**	Included**
Explanatory variables
Ambigous rec.			−0.026*
			(0.012)
Unambigous buying rec.		−0.014	−0.015
		(0.009)	(0.009)
Unambigous selling rec.		0.014	−0.013
		(0.105)	(0.105)
F-value for including variables		1.14	4.426**
Cox–Snell pseudo R^2	0.2839	0.2843	0.285

Notes: Table contains estimated parameters of generalized linear model. Values in parentheses are standard errors.

^* Level of significance at p < 0.05.

^** Level of significance at p < 0.01.

Table 3. Reciprocal regression (ML estimation for generalized linear model with gamma distribution) on stock returns for a 93-day time window for NYSE sample

	Model 1	Model 2	Model 3
Intercept	1.018**	1.017**	1.015**
	(0.012)	(0.012)	(0.012)
Control variables
LogVol	−0.001*	−0.001*	−0.001*
	(0.001)	(0.001)	(0.001)
39 Time dummies	Included**	Included**	Included**
Explanatory variables
EquRec	*		−0.02*
			(0.01)
UnivBuy		−0.01	−0.011+
		(0.009)	(0.001)
UnivSell		0.049+	0.048+
		(0.026)	(0.026)
F-value for including variables		2.553**	4.038**
Cox–Snell pseudo R^2	0.3491	0.3494	0.3497

Notes: Table contains ML estimates for parameters of generalized linear model. Values in parentheses are standard errors.

⁺ Level of significance at p < 0.10.

^* Level of significance at p < 0.05.

^** Level of significance at p < 0.01.

Figure 2. Xetra sample regression parameter estimates for ambiguous and unambiguous recommendations on returns for investment windows from 10 to 100 trading days.

Horizontal dashed lines indicate the approximate threshold level of significance beyond p < 0.05 (bold for ambiguous recommendations and thin for buying recommendations).

Figure 3. NYSE sample generalized linear regression parameter estimates for ambiguous and unambiguous recommendations on returns for investment windows from 10 to 100 trading days.

Horizontal dashed line indicates the threshold of reaching significance at p < 0.05.