Table 6. Persistence of long-short breadth change portfolio alphas.
This table shows the one, three, and four-factor alphas from zero-investment portfolios that are formed based on breadth change that is either equal- or wealth-weighted among all, retail, or institutional investors. To form the “Month t + k” portfolio, we sort stocks into quintiles based on their month t tradable market capitalization. Then within each size quintile, we calculate month t breadth change quintile breakpoints (for total and retail breadth change) or 10th and 90th percentile month t breadth change breakpoints (for institutional breadth change). We weight stocks by t + k − 1 tradable market capitalization within each size × breadth change sub-portfolio. We then hold long an equal-weighted portfolio of all the highest breadth change sub-portfolios across the size quintiles and short an equal-weighted portfolio of all the lowest breadth change sub-portfolios across size quintiles during month t + k before stocks are re-sorted into (possibly) new portfolios. The number of months used to construct the estimates decreases as k increases due to the boundaries of our sample period. Standard errors are in parentheses.
| Panel A: One-factor alphas | ||||||
|---|---|---|---|---|---|---|
| Equal-weighted breadth change |
Wealth-weighted breadth change |
|||||
| Total |
Retail |
Inst. |
Total |
Retail |
Inst. |
|
| Month t + 2 | −0.95** | −0.93** | 0.13 | −0.12 | −0.58** | 0.20 |
| (0.21) | (0.21) | (0.23) | (0.18) | (0.17) | (0.25) | |
| Month t + 3 | −0.93** | −0.94** | 0.02 | −0.21 | −0.61** | 0.15 |
| (0.22) | (0.22) | (0.24) | (0.16) | (0.19) | (0.26) | |
| Month t + 4 | −0.63** | −0.63** | −0.45 | −0.02 | −0.35 | 0.14 |
| (0.20) | (0.20) | (0.31) | (0.19) | (0.18) | (0.22) | |
| Month t + 5 | −0.42* | −0.41* | 0.14 | −0.33* | −0.38* | −0.11 |
| (0.18) | (0.18) | (0.27) | (0.16) | (0.17) | (0.23) | |
| Month t + 6 | −0.27 | −0.26 | 0.25 | 0.09 | −0.13 | 0.22 |
| (0.20) | (0.20) | (0.23) | (0.16) | (0.16) | (0.24) | |
| Month t + 7 | −0.19 | −0.19 | −0.35 | 0.12 | −0.13 | 0.09 |
| (0.20) | (0.21) | (0.27) | (0.16) | (0.20) | (0.23) | |
| Month t + 8 | −0.21 | −0.20 | 0.25 | −0.06 | −0.13 | 0.43 |
| (0.18) | (0.18) | (0.24) | (0.16) | (0.13) | (0.24) | |
| Month t + 9 | −0.01 | −0.05 | −0.00 | −0.18 | −0.25 | 0.04 |
| (0.22) | (0.22) | (0.23) | (0.17) | (0.17) | (0.19) | |
| Month t + 10 | −0.19 | −0.18 | −0.39 | −0.16 | −0.29* | −0.20 |
| (0.19) | (0.18) | (0.26) | (0.16) | (0.14) | (0.22) | |
| Month t + 11 | −0.09 | −0.11 | −0.10 | 0.18 | −0.01 | 0.17 |
| (0.18) | (0.18) | (0.23) | (0.17) | (0.15) | (0.20) | |
| Month t + 12 | −0.33* | −0.35* | −0.15 | 0.03 | 0.03 | 0.17 |
| (0.16) | (0.16) | (0.23) | (0.14) | (0.17) | (0.23) | |
| Panel B: Three-factor alphas | ||||||
|---|---|---|---|---|---|---|
| Equal-weighted breadth change |
Wealth-weighted breadth change |
|||||
| Total |
Retail |
Inst. |
Total |
Retail |
Inst. |
|
| Month t + 2 | −1.03** | −1.01** | 0.09 | −0.20 | −0.65** | 0.22 |
| (0.21) | (0.21) | (0.23) | (0.18) | (0.17) | (0.25) | |
| Month t + 3 | −0.93** | −0.94** | −0.04 | −0.17 | −0.63** | 0.30 |
| (0.22) | (0.22) | (0.25) | (0.16) | (0.19) | (0.25) | |
| Month t + 4 | −0.69** | −0.70** | −0.33 | −0.12 | −0.40* | 0.13 |
| (0.19) | (0.19) | (0.31) | (0.19) | (0.17) | (0.23) | |
| Month t + 5 | −0.47* | −0.46* | 0.25 | −0.31 | −0.38* | −0.08 |
| (0.18) | (0.18) | (0.26) | (0.17) | (0.17) | (0.23) | |
| Month t + 6 | −0.26 | −0.24 | 0.23 | 0.11 | −0.14 | 0.26 |
| (0.20) | (0.20) | (0.23) | (0.16) | (0.16) | (0.24) | |
| Month t + 7 | −0.20 | −0.18 | −0.25 | 0.20 | −0.06 | 0.21 |
| (0.21) | (0.21) | (0.27) | (0.16) | (0.20) | (0.22) | |
| Month t + 8 | −0.18 | −0.15 | 0.19 | −0.08 | −0.14 | 0.35 |
| (0.18) | (0.18) | (0.24) | (0.16) | (0.13) | (0.24) | |
| Month t + 9 | 0.06 | 0.01 | 0.11 | −0.10 | −0.24 | 0.11 |
| (0.21) | (0.21) | (0.21) | (0.16) | (0.16) | (0.19) | |
| Month t + 10 | −0.20 | −0.17 | −0.34 | −0.12 | −0.28* | −0.15 |
| (0.19) | (0.18) | (0.26) | (0.16) | (0.14) | (0.22) | |
| Month t + 11 | −0.11 | −0.14 | −0.06 | 0.22 | −0.00 | 0.26 |
| (0.18) | (0.18) | (0.23) | (0.17) | (0.16) | (0.19) | |
| Month t + 12 | −0.30 | −0.32* | −0.15 | 0.07 | 0.02 | 0.17 |
| (0.16) | (0.16) | (0.24) | (0.14) | (0.17) | (0.23) | |
| Panel C: Four-factor alphas | ||||||
|---|---|---|---|---|---|---|
| Equal-weighted breadth change |
Wealth-weighted breadth change |
|||||
| Total |
Retail |
Inst. |
Total |
Retail |
Inst. |
|
| Month t + 2 | −1.02** | −1.00** | 0.07 | −0.20 | −0.65** | 0.22 |
| (0.21) | (0.21) | (0.23) | (0.18) | (0.17) | (0.25) | |
| Month t + 3 | −0.90** | −0.92** | −0.03 | −0.17 | −0.64** | 0.31 |
| (0.22) | (0.22) | (0.25) | (0.16) | (0.19) | (0.25) | |
| Month t + 4 | −0.70** | −0.71** | −0.32 | −0.14 | −0.40* | 0.11 |
| (0.19) | (0.19) | (0.31) | (0.18) | (0.17) | (0.23) | |
| Month t + 5 | −0.43* | −0.42* | 0.25 | −0.30 | −0.34* | −0.08 |
| (0.17) | (0.17) | (0.26) | (0.17) | (0.16) | (0.23) | |
| Month t + 6 | −0.22 | −0.21 | 0.22 | 0.08 | −0.12 | 0.22 |
| (0.20) | (0.20) | (0.23) | (0.16) | (0.15) | (0.23) | |
| Month t + 7 | −0.14 | −0.11 | −0.22 | 0.20 | −0.01 | 0.20 |
| (0.19) | (0.19) | (0.27) | (0.16) | (0.19) | (0.22) | |
| Month t + 8 | −0.15 | −0.12 | 0.15 | −0.10 | −0.15 | 0.31 |
| (0.17) | (0.18) | (0.24) | (0.16) | (0.13) | (0.23) | |
| Month t + 9 | 0.09 | 0.05 | 0.13 | −0.07 | −0.21 | 0.13 |
| (0.20) | (0.21) | (0.21) | (0.15) | (0.16) | (0.19) | |
| Month t + 10 | −0.21 | −0.18 | −0.34 | −0.15 | −0.30* | −0.19 |
| (0.19) | (0.18) | (0.27) | (0.15) | (0.14) | (0.22) | |
| Month t + 11 | −0.08 | −0.10 | −0.01 | 0.22 | 0.01 | 0.26 |
| (0.17) | (0.17) | (0.23) | (0.17) | (0.16) | (0.20) | |
| Month t + 12 | −0.28 | −0.30 | −0.20 | 0.11 | 0.05 | 0.20 |
| (0.16) | (0.16) | (0.24) | (0.15) | (0.17) | (0.24) | |
Significant at the 5% level.
Significant at the 1% level.