Table 2. Summary statistics of variables used in cross-sectional analysis.

The cross-sectional means and standard deviations are calculated separately within each month. The table reports the time-series average of these means and standard deviations. Equal-weighted total breadth change is the change between month-ends t − 1 and t in the number of investors holding stock i divided by the total number of investors. Wealth-weighted total breadth change is like equal-weighted total breadth change, but weights investors by the value of their SSE stock portfolio at the open of month t. Institutional and retail breadth changes are defined analogously on the retail or institutional subsample. Equal-weighted retail IN is the percent of retail investors who held no position in the stock at t − 1 but held a positive position in it at t. Equal-weighted retail OUT is the percent of retail investors who held a positive position in the stock at t − 1 but held no position in it at t. Wealth-weighted institutional IN and OUT are defined analogously over institutions, weighting them by their SSE stock portfolio value at the open of month t. Breadth changes, IN, and OUT are expressed as percentages, so that a 1 percent value is coded as 1, rather than 0.01. The variable λ_i,t is the Merton shadow cost of incomplete information defined in equation (2), and Δlog(Institutional ownership_i,t) is the change between month-ends t − 1 and t in the log of the fraction of the stock’s tradable A shares held by institutions. Return_{i,t–11→t − 1} is the stock’s cumulative return from month t − 11 to t − 1. Liquidity ratio is the sum of the stock’s yuan trading volume divided by the sum of the stock’s absolute daily returns during month t. High relative volume and low relative volume are dummies for whether the stock’s share trading volume during the prior week was in the top tenth or bottom tenth of the ten most recent weeks, respectively. The sample is stock-months where there are a positive number of individual investors and a positive number of institutional investors at both t and t − 1.

	Mean	Standard deviation
Returni, t+1	1.944	9.422
ΔEqual-weighted total breadthi,t	−0.002	0.051
ΔEqual-weighted retail breadth i,t	−0.002	0.051
Equal-weighted retail INi,t	0.067	0.074
Equal-weighted retail OUTi,t	0.069	0.075
ΔEqual-weighted institutional breadth i,t	−0.009	0.194
ΔWealth-weighted total breadthi,t	−0.031	0.265
ΔWealth-weighted retail breadth i,t	−0.025	0.115
ΔWealth-weighted institutional breadth i,t	−0.114	2.123
Wealth-weighted institutional INi,t	0.542	1.558
Wealth-weighted institutional OUTi,t	0.656	1.684
λ i,t	0.011	0.039
Δlog(Institutional ownershipi,t)	0.009	0.806
log(Total market capi,t)	14.562	0.786
Book-to-marketi,t	0.409	0.193
Returni,t–11→t−1	17.413	37.316
Prior quarter turnoveri,t	1.105	0.603
Liquidity ratioi,t	0.936	1.387
High relative volumei,t	0.124	0.275
Low relative volumei,t	0.145	0.271