Does stock ownership breadth measure hidden negative information or sentiment?
By: James J. Choi, Li Jin, Hongjun Yan
Contributors: Yan, Hongjun; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16591; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16591.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in the fraction of market participants who own a stock predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23 percent per year.  This is consistent with ownership breadth primarily reflecting popularity among noise traders rather than the amount of negative information excluded from prices by short-sales constraints.  But stocks in the top decile of wealth-weighted institutional breadth change outperform the bottom decile by 8 percent per year, suggesting that breadth measured among sophisticated institutional investors who cannot short does reflect missing negative information.  The profitability of institutional trades against retail investors is almost entirely explained by their correlations with retail and institutional breadth changes.  In the time series, average breadth changes negatively predict aggregate stock market returns"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 3/31/2011.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.