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Does stock ownership breadth measure hidden negative information or sentiment?

Author: James J Choi; Li Jin; Hongjun Yan; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2010.
Series: Working paper series (National Bureau of Economic Research), no. 16591.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Additional Physical Format: Print version:
Choi, James J.
Does stock ownership breadth measure hidden negative information or sentiment?.
Cambridge, Mass. : National Bureau of Economic Research, ©2010
(DLC) 2011655827
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: James J Choi; Li Jin; Hongjun Yan; National Bureau of Economic Research.
OCLC Number: 692180765
Description: 1 online resource (28, [16] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 16591.
Responsibility: James J. Choi, Li Jin, Hongjun Yan.

Abstract:

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.

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