Breadth of ownership and stock returns

• 成果类型: Article
• 署名作者: Chen, J; Hong, H; Stein, JC
• 署名单位: Harvard University; University of Southern California; Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00223-4
• 发表日期: 2002
• 页码: 171-205
• 关键词: Differences of opinion; Short-sales constraints; Return predictability

摘要

We develop a stock market model with differences of opinion and short-sales constraints. When breadth is low-i.e., when few investors have long positions-this signals that the short-sales constraint is binding tightly, and that prices are high relative to fundamentals. Thus reductions in breadth should forecast lower returns. Using data on mutual fund holdings, we find that stocks whose change in breadth in the prior quarter is in the lowest decile of the sample underperform those in the top decile by 6.38% in the twelve months after formation. Adjusting for size, book-to-market, and momentum, the figure is 4.95%. (C) 2002 Elsevier Science B.V. All rights reserved.