MARC Record from Library of Congress

LEADER: 02154nam a22002897a 4500
001 2011655827
003 DLC
005 20110331152241.0
007 cr |||||||||||
008 110331s2010 mau sb 000 0 eng
010 $a 2011655827
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aChoi, James J.
245 10 $aDoes stock ownership breadth measure hidden negative information or sentiment?$h[electronic resource] /$cJames J. Choi, Li Jin, Hongjun Yan.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2010.
490 1 $aNBER working paper series ;$vworking paper 16591
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 3/31/2011.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
700 1 $aYan, Hongjun.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 16591.
856 40 $uhttp://www.nber.org/papers/w16591