Table 4. Correlation of breadth change measures with each other.

Each month, we calculate the cross-sectional correlation of each breadth measure with the other breadth measures. The table reports the time-series mean of these correlations, with the standard error (computed as the time-series standard deviation of the correlation divided by the square root of the number of months) in parentheses below.

		Equal-weighted breadth change			Wealth-weighted breadth change
		Total	Retail	Inst.	Total	Retail	Inst.
Equal- weighted	Total	1.000**	1.000**	0.058**	0.128**	0.643**	−0.117**
		(0.000)	(0.000)	(0.016)	(0.028)	(0.015)	(0.015)
breadth change	Retail		1.000**	0.054**	0.127**	0.643**	−0.117**
			(0.000)	(0.016)	(0.028)	(0.015)	(0.015)
	Inst.			1.000**	0.294**	0.141**	0.305**
				(0.000)	(0.014)	(0.016)	(0.013)
Wealth- weighted	Total				1.000**	0.347**	0.811**
					(0.000)	(0.032)	(0.026)
breadth change	Retail					1.000**	−0.030*
						(0.000)	(0.012)
	Inst.						1.000**
							(0.000)

^*Significant at the 5% level.

^**Significant at the 1% level.