Table 5. Monthly returns on breadth change portfolios.

This table shows the raw return in excess of the riskfree rate and one, three, and four-factor alphas from portfolios that are formed based on the prior month’s equal- or wealth-weighted breadth change among the total, retail, or institutional investor sample. At the end of each month t, we first sort stocks into tradable market capitalization quintiles, and then calculate month t breadth change breakpoints within each size quintile. We value-weight stocks within each market cap × breadth change sub-portfolio. For the total and retail investor samples, to form the “Quintile n” portfolio, we equally weight across the market cap quintiles the five nth quintile breadth change sub-portfolios, and hold the stocks for one month before re-forming the portfolios. The “5 − 1” return is the difference between the Quintile 5 and Quintile 1 portfolio returns. For institutions, to form the “< 10th percentile” portfolio, we equally weight across the size quintiles the five sub-portfolios whose breadth change is less than the 10th percentile and hold the stocks for one month before re-forming the portfolio. The other portfolios are formed in an analogous fashion. The “≥ 90th – < 10th” return is the difference between the “≥ 90th percentile” return and the “< 10th percentile” return. Returns are expressed in percentages, so that a 1 percent return is coded as 1, rather than 0.01. Standard errors are in parentheses.

Panel A: Total breadth change portfolios
	Equal-weighted breadth change				Wealth-weighted breadth change
	Raw return	CAPM alpha	3-factor alpha	4-factor alpha	Raw return	CAPM alpha	3-factor alpha	4-factor alpha
Quintile (lowest breadth change)	1 2.87**	1.01**	1.10**	1.12**	2.18**	0.37	0.49*	0.52**
	(0.77)	(0.27)	(0.21)	(0.21)	(0.74)	(0.25)	(0.20)	(0.19)
Quintile 2	2.41**	0.49	0.54**	0.58**	2.16**	0.28	0.32	0.35*
	(0.79)	(0.27)	(0.19)	(0.17)	(0.77)	(0.27)	(0.19)	(0.17)
Quintile 3	1.93*	0.13	0.26	0.28	1.91*	0.03	0.11	0.15
	(0.74)	(0.26)	(0.18)	(0.18)	(0.79)	(0.31)	(0.21)	(0.19)
Quintile 4	1.80*	−0.09	0.00	0.04	1.70*	−0.15	−0.06	−0.03
	(0.78)	(0.27)	(0.21)	(0.19)	(0.77)	(0.28)	(0.20)	(0.19)
Quintile 5 (highest breadth change)	0.84	−1.01**	−0.87**	−0.83**	1.82*	−0.08	0.08	0.10
	(0.76)	(0.28)	(0.22)	(0.20)	(0.77)	(0.23)	(0.18)	(0.17)
5 – 1	−2.04**	−2.02**	−1.97**	−1.94**	−0.36*	−0.45*	−0.41*	−0.42*
	(0.20)	(0.21)	(0.21)	(0.20)	(0.18)	(0.18)	(0.18)	(0.18)

Panel B: Retail breadth change portfolios
	Equal-weighted breadth change				Wealth-weighted breadth change
	Raw return	CAPM alpha	3-factor alpha	4-factor alpha	Raw return	CAPM alpha	3-factor alpha	4-factor alpha
Quintile 1 (lowest breadth change)	2.88**	1.02**	1.11**	1.13**	2.59**	0.73**	0.86**	0.88**
	(0.77)	(0.27)	(0.21)	(0.21)	(0.76)	(0.26)	(0.21)	(0.20)
Quintile 2	2.46**	0.52	0.57**	0.61**	2.18**	0.31	0.36	0.40*
	(0.79)	(0.27)	(0.19)	(0.17)	(0.77)	(0.28)	(0.19)	(0.17)
Quintile 3	1.91*	0.13	0.25	0.27	1.93*	0.11	0.20	0.23
	(0.74)	(0.26)	(0.18)	(0.17)	(0.75)	(0.28)	(0.19)	(0.18)
Quintile 4	1.79*	−0.08	−0.00	0.04	1.86*	−0.03	0.06	0.09
	(0.77)	(0.27)	(0.21)	(0.19)	(0.78)	(0.27)	(0.19)	(0.18)
Quintile 5 (highest breadth change)	0.86	−1.00**	−0.85**	−0.81**	1.19	−0.70**	−0.57**	−0.53**
	(0.77)	(0.27)	(0.22)	(0.19)	(0.77)	(0.25)	(0.19)	(0.17)
5 – 1	−2.03**	−2.02**	−1.96**	−1.93**	−1.39**	−1.43**	−1.43**	−1.42**
	(0.21)	(0.21)	(0.21)	(0.21)	(0.16)	(0.17)	(0.17)	(0.17)

Panel C: Institutional breadth change portfolios
	Equal-weighted breadth change				Wealth-weighted breadth change
	Raw return	CAPM alpha	3-factor alpha	4-factor alpha	Raw return	CAPM alpha	3-factor alpha	4-factor alpha
< 10th	2.35**	0.56	0.63*	0.67*	1.92*	0.06	0.12	0.15
percentile	(0.76)	(0.32)	(0.29)	(0.28)	(0.75)	(0.22)	(0.18)	(0.17)
10th to 90th	1.92*	0.04	0.13	0.17	1.87*	0.00	0.09	0.13
percentiles	(0.77)	(0.26)	(0.18)	(0.16)	(0.77)	(0.26)	(0.18)	(0.17)
≥ 90th	1.92*	0.04	0.18	0.19	2.51**	0.66*	0.83**	0.81**
percentile	(0.77)	(0.25)	(0.20)	(0.20)	(0.76)	(0.26)	(0.23)	(0.23)
≥ 90th – < 10th	−0.44	−0.52	−0.45	−0.48	0.58*	0.60*	0.71*	0.67**
	(0.31)	(0.32)	(0.32)	(0.32)	(0.27)	(0.28)	(0.27)	(0.26)

^*Significant at the 5% level.

^**Significant at the 1% level.