Journal
JOURNAL OF FINANCIAL ECONOMICS
Volume 66, Issue 2-3, Pages 171-205Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/S0304-405X(02)00223-4
Keywords
differences of opinion; short-sales constraints; return predictability
Categories
Ask authors/readers for more resources
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available