@techreport{NBERw16591,
 title = "What Does Stock Ownership Breadth Measure?",
 author = "James J. Choi and Li Jin and Hongjun Yan",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "16591",
 year = "2010",
 month = "December",
 URL = "http://www.nber.org/papers/w16591",
 abstract = {Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year. Small retail investors drive this result. Retail ownership breadth increases appear to be correlated with overpricing. Among institutional investors, however, the opposite holds: Stocks in the top decile of wealth-weighted institutional breadth change outperform the bottom decile by 8% per year, consistent with prior work that interprets breadth as a measure of short-sales constraints.},
}